Optimal Dynamic Strategies on Gaussian Returns
A 2019 paper by Firoozye and Koshiyama on momentum and trend following across several asset classes, using classical time-series methods: the abstract mentions a Sharpe ratio and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“We demonstrate these results are applicable asymptotically for a wide range of stationary time-series.”
AssetMulti-asset
StrategyMomentumshort-term reversal
TechniqueClassical time serieslinear factor model
ClaimSharpe ratio
Also stated: Price and volume
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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