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What is Volatility-Adjusted Trading Model Analysis about?

This paper extends the concept of signed path dependence (SPD) by developing a volatility-adjusted model that incorporates a dynamic volatility indicator to assess the predictive power of asset returns. The authors propose a trading strategy that activates contrarian positions during high-volatility periods, demonstrating that the SPD effect is significant in such regimes while being weaker in low-volatility conditions. Empirical results indicate that this strategy improves portfolio performance during mark

Author

jfsg.gyn007

Language

EN