Momentum Strategy
Two centuries of trend following Y. Lempérière, C. Deremble, P. Seager, M. Potters, J. P. Bouchaud
short paper Tail Risk Premia vs. Pure Alpha
- 2013 Demystifying Managed Futures Hurst, Pedersen - AQR
A Century of Evidence on Trend-Following Investing
articles
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2015 - Gary Antonacci - Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
https://www.olivermsa.com/msa-methodology.html
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Richard Martin 2021 Design and analysis of momentum trading strategies
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2013 EDHEC Momentum Strategies in Futures Markets and Trend-Following Funds
2011 Trend Filtering Methods for Momentum Strategies
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2016 The Trend is Your Friend: Time-series Momentum Strategies across Equity and Commodity Markets
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2013 Time Series Momentum Trading Strategy and Autocorrelation Amplification K. J. Hong and S. Satchell
Robert Engle Dynamic Conditional Beta is Alive and Well
RIGHT-WAY RISK!!!! SEE my paper
The Factor Archives: Momentum
The Factor Archives: Momentum What Works on Wall Street Podcast
Factor momentum Rob Arnott Mark Clements Vitali Kalesnik Juhani Linnainmaa†