Extending the Omega model with momentum and reversal strategies to intraday trading

This study develops the Omega model integrated with momentum and reversal strategies using high-frequency data on the component stocks of the S&P 500 Index and the NASDAQ 100. The Omega model based on the momentum strategy (M_Omega), the reversal strategy (R_Omega), and both strategies (M_R_Omeg...

Descripción completa

Detalles Bibliográficos
Autores principales: Yu, Jing-Rung, Wei, Chieh-Hui, Lai, Chi-Ju, Lee, Wen-Yi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2023
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10490999/
https://www.ncbi.nlm.nih.gov/pubmed/37682858
http://dx.doi.org/10.1371/journal.pone.0291119

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10490999/
https://www.ncbi.nlm.nih.gov/pubmed/37682858
http://dx.doi.org/10.1371/journal.pone.0291119

Ejemplares similares