Dissecting Investment Strategies in the Cross Section and Time Series

By Jamil Baz, Nicolas M. Granger, Campbell R. Harvey, N. Roux, Sandy Rattray. 2015

61 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Bryan Lim
2. Stephen J. Roberts
3. Stefan Zohren
4. Weiwei Jiang

In Finance

1. Bryan Lim
2. Stephen J. Roberts
3. Stefan Zohren

Citations in the corpus

• Enhancing Time-Series Momentum Strategies Using Deep Neural Networks (2019, methodology): “Although the intuition underpinning the strategy is clear, specific implementation details can vary widely between signals with a plethora of methods available to estimate the magnitude of price trends [5, 6, 4] and map them to actual traded positions [7, 8, 9].”