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dc.contributor.authorK. J. Hongen
dc.contributor.authorS. Satchellen
dc.date.accessioned2016-04-22T15:01:22Z
dc.date.available2016-04-22T15:01:22Z
dc.date.issued2013-06-18en
dc.identifier.otherCWPE1322
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/255268
dc.description.abstractThis article assumes general stationary processes for prices and derives the autocorrelation function for a general Moving Average (MA) trading rule to investigate why this rule is used. The result shows that the MA rule is popular because it can identify price momentum and is a simple way of tracing and exploiting price autocorrelation structure without necessarily knowing its precise structure. We focus on analyzing the impact of price momentum on the profitability of the MA rule because the price momentum effect tends to be stronger and more persistent than the return momentum effect.en
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.titleTime Series Momentum Trading Strategy and Autocorrelation Amplificationen
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5761


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