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
2015 - Gary Antonacci - Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
https://www.olivermsa.com/msa-methodology.html
Richard Martin 2021 Design and analysis of momentum trading strategies
2013 EDHEC Momentum Strategies in Futures Markets and Trend-Following Funds
2011 Trend Filtering Methods for Momentum Strategies
2016 The Trend is Your Friend: Time-series Momentum Strategies across Equity and Commodity Markets
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†