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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2023
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| Materias: | |
| 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 |