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Physical approach to price momentum and its application to momentum strategy
price momentum momentum/contrarian strategies spontaneous symmetry breaking of arbitrage
2012/9/14
We introduce various definitions for price momentum of financial instruments in quantitative and mathematical ways. Measurement of the price momentum de-rived from the concept of momentum in physics c...
Bayesian logistic betting strategy against probability forecasting
exponential family game-theoretic probability Japan Meteorological Agency probability of precipitation strong law of large numbers
2012/4/28
We propose a betting strategy based on Bayesian logistic regression modeling for the probability forecasting game in the framework of game-theoretic probability by Shafer and Vovk (2001). We prove som...
An Obdurate Trading Strategy Perspective on the Forward Premium Anomaly
Currency trading strategies uncovered interest parity forward premium anomaly
2010/9/7
Many FX traders appear to be involved in strategies that explicity assume that the violations of uncovered interest rate parity will continue over their investment horizon. Models that try to explain ...