Trend Filtering Methods for Momentum Strategies

By Benjamin Bruder, Tung-Lam Dao, J. Richard, Thierry Roncalli. 2011

26 citations recorded by the source corpus.

Subfields: Applied Mathematics, Finance, Signal Processing

How researchers see this paper

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

In Applied Mathematics

1. Stephen J. Roberts

In Finance

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

In Signal Processing

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

Citations in the corpus

• Enhancing Time-Series Momentum Strategies Using Deep Neural Networks (2019, background): “For instance, [6] documents a wide range of linear and non-linear filters to measure trends and a statistic to test for its significance – although methods to size positions with these estimates are not directly discussed.”