About this document
Trend Filtering for Momentum Strategies by niranjannlg is a document available to read on EtoBox.
This white paper discusses trend filtering methods that can be used for momentum investment strategies. It begins by reviewing various linear and nonlinear trend filtering techniques from time series analysis, including moving averages, wavelet analysis, and singular spectrum analysis. It then discusses how trend filtering can be used either to explain past price behavior or predict future returns, noting that the choice of method and calibration depends on the objective. The paper demonstrates the persiste
- Author
- niranjannlg
- Language
- EN