A Century of Evidence on Trend-Following Investing

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How researchers see this paper

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Enhancing Time-Series Momentum Strategies Using Deep Neural Networks (2019, background): “Momentum as a risk premium in finance has been extensively documented in the academic literature, with evidence of persistent abnormal returns demonstrated across a range of asset classes, prediction horizons and time periods [2, 3, 4].”
Enhancing the momentum strategy through deep regression (2019, background): “It is believed that trends in prices are recurrent phenomena and they are mainly due to human behavioral biases such as anchoring and herding (Hurst et al. 2017).”
Which Trend Is Your Friend? (2016, methodology): “The Kalman filter (Kalman 1960) can be used to optimally estimate hidden variables of dynamic linear systems with noisy observations.”