On Long Memory Behaviour and Predictability of Financial Markets
Vo and Roberts (2017) study momentum and trend following. The abstract mentions profits but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“By examining local long-range dependence (measured by the rolling Rescaled Range estimates of the Hurst index) of an empirical example, the local market inefficiency is inferred, and excess profitability of a simple trend-following trading strategy is observed.”
StrategyMomentum
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Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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