Matches in SemOpenAlex for { <https://semopenalex.org/work/W2901322038> ?p ?o ?g. }
Showing items 1 to 76 of
76
with 100 items per page.
- W2901322038 abstract "In discussions and critiques on the validity of the Efficient Market Hypothesis, there are two important research focuses: statistical analyses showing that the basic assumption of statistical independence in price series is violated and empirical findings that show that significant market anomalies exist. In this work, we combine both viewpoints by analyzing two important mathematical factor anomalies: low volatility and momentum. By applying an explicit trend model, we show that both anomalies require trending. Additionally, we show that the trend model used exhibits log-normal trend characteristics. Furthermore, the model allows us to describe how low volatility uses implicitly asymmetric trend characteristics while momentum directly exploits trends. Using Mandelbrot’s model of fractional Brownian Motions, we can finally link statistical analyses (measuring the Hurst exponent and persistence in returns) to the empirically observed momentum factor. Experimentally, the Hurst exponent in itself allows for a momentum strategy, and it can also be utilized to significantly improve low volatility strategies. In contrast to Mandelbrot’s approach, we offer a non-stationary view that allows us to describe both investment strategies using the trend model." @default.
- W2901322038 created "2018-11-29" @default.
- W2901322038 creator A5013458404 @default.
- W2901322038 creator A5026902637 @default.
- W2901322038 creator A5039879155 @default.
- W2901322038 creator A5069753329 @default.
- W2901322038 date "2018-01-01" @default.
- W2901322038 modified "2023-09-27" @default.
- W2901322038 title "Trend Momentum II: Driving Forces of Low Volatility and Momentum" @default.
- W2901322038 doi "https://doi.org/10.2139/ssrn.3120232" @default.
- W2901322038 hasPublicationYear "2018" @default.
- W2901322038 type Work @default.
- W2901322038 sameAs 2901322038 @default.
- W2901322038 citedByCount "0" @default.
- W2901322038 crossrefType "journal-article" @default.
- W2901322038 hasAuthorship W2901322038A5013458404 @default.
- W2901322038 hasAuthorship W2901322038A5026902637 @default.
- W2901322038 hasAuthorship W2901322038A5039879155 @default.
- W2901322038 hasAuthorship W2901322038A5069753329 @default.
- W2901322038 hasConcept C105795698 @default.
- W2901322038 hasConcept C106159729 @default.
- W2901322038 hasConcept C108819105 @default.
- W2901322038 hasConcept C112401455 @default.
- W2901322038 hasConcept C121332964 @default.
- W2901322038 hasConcept C121864883 @default.
- W2901322038 hasConcept C149782125 @default.
- W2901322038 hasConcept C162324750 @default.
- W2901322038 hasConcept C163716315 @default.
- W2901322038 hasConcept C186797051 @default.
- W2901322038 hasConcept C33923547 @default.
- W2901322038 hasConcept C60718061 @default.
- W2901322038 hasConcept C62520636 @default.
- W2901322038 hasConcept C91602232 @default.
- W2901322038 hasConcept C96835011 @default.
- W2901322038 hasConceptScore W2901322038C105795698 @default.
- W2901322038 hasConceptScore W2901322038C106159729 @default.
- W2901322038 hasConceptScore W2901322038C108819105 @default.
- W2901322038 hasConceptScore W2901322038C112401455 @default.
- W2901322038 hasConceptScore W2901322038C121332964 @default.
- W2901322038 hasConceptScore W2901322038C121864883 @default.
- W2901322038 hasConceptScore W2901322038C149782125 @default.
- W2901322038 hasConceptScore W2901322038C162324750 @default.
- W2901322038 hasConceptScore W2901322038C163716315 @default.
- W2901322038 hasConceptScore W2901322038C186797051 @default.
- W2901322038 hasConceptScore W2901322038C33923547 @default.
- W2901322038 hasConceptScore W2901322038C60718061 @default.
- W2901322038 hasConceptScore W2901322038C62520636 @default.
- W2901322038 hasConceptScore W2901322038C91602232 @default.
- W2901322038 hasConceptScore W2901322038C96835011 @default.
- W2901322038 hasLocation W29013220381 @default.
- W2901322038 hasOpenAccess W2901322038 @default.
- W2901322038 hasPrimaryLocation W29013220381 @default.
- W2901322038 hasRelatedWork W1736876980 @default.
- W2901322038 hasRelatedWork W2051897132 @default.
- W2901322038 hasRelatedWork W2066464136 @default.
- W2901322038 hasRelatedWork W2122549800 @default.
- W2901322038 hasRelatedWork W2127318110 @default.
- W2901322038 hasRelatedWork W2146986584 @default.
- W2901322038 hasRelatedWork W2162599984 @default.
- W2901322038 hasRelatedWork W2191286246 @default.
- W2901322038 hasRelatedWork W2284013528 @default.
- W2901322038 hasRelatedWork W2545816326 @default.
- W2901322038 hasRelatedWork W2911226201 @default.
- W2901322038 hasRelatedWork W2921994385 @default.
- W2901322038 hasRelatedWork W2952891027 @default.
- W2901322038 hasRelatedWork W3121384486 @default.
- W2901322038 hasRelatedWork W3122619861 @default.
- W2901322038 hasRelatedWork W3123201534 @default.
- W2901322038 hasRelatedWork W3125377260 @default.
- W2901322038 hasRelatedWork W3126819316 @default.
- W2901322038 hasRelatedWork W1488710860 @default.
- W2901322038 hasRelatedWork W3093197152 @default.
- W2901322038 isParatext "false" @default.
- W2901322038 isRetracted "false" @default.
- W2901322038 magId "2901322038" @default.
- W2901322038 workType "article" @default.