Core literature on the TSMOM anomaly and its application across asset classes.
Moskowitz, Ooi, Pedersen · Journal of Financial Economics · 2012
Yukun Liu, A. Tsyvinski · The Review of financial studies · 2018
Andrew C. Szakmary, Qian Shen, Subhash C. Sharma · 2010
Factor models and momentum anomalies specific to cryptocurrency markets.
Liu, Tsyvinski, Wu · Journal of Finance · 2022
Wei Zhang, Yi Li, Xiong Xiong et al. · Journal of Banking & Finance · 2021
Stop-loss rules, volatility-based sizing, and adaptive risk frameworks for systematic strategies.
T. Walther, Tony Klein, Elie Bouri · Journal of international financial markets, institutions, and money · 2019
Sanford J. Grossman, Jean-Luc Vila · Journal of Financial and Quantitative Analysis · 1992
Deep learning and transformer architectures applied to time-series momentum and trend-following.
Haoyi Zhou, Shanghang Zhang, Jieqi Peng et al. · AAAI Conference on Artificial Intelligence · 2020
Jiayu Qiu, Bin Wang, Changjun Zhou · PLoS ONE · 2020
Lim, Zohren, Roberts · 2019
Dynamic allocation, risk parity, and hierarchical portfolio construction methods.
L. Martellini, Volker Ziemann · 2007
Liquidity, funding rates, slippage models, and execution quality in crypto perpetual markets.
I. Makarov, A. Schoar · Journal of Financial Economics · 2020
A. H. Dyhrberg, Sean Foley, Jiri Svec · Economics Letters · 2018
Alfred Lehar, Christine A. Parlour · Journal of Finance · 2024
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