Understanding intraday momentum strategies. Issue 12 (8th September 2022)
- Record Type:
- Journal Article
- Title:
- Understanding intraday momentum strategies. Issue 12 (8th September 2022)
- Main Title:
- Understanding intraday momentum strategies
- Authors:
- Rosa, Carlo
- Abstract:
- Abstract: This paper studies the out‐of‐sample performance of the intraday momentum strategy where the overnight return predicts the return of the last half‐hour of trading. The predictability disappears in the out‐of‐sample period. A Markov‐switching model endogenously identifies two distinct regimes and suggests that the predictability depends on the strength of the signal. Hence, assessing return predictability in calendar time may lead to false conclusions when anomalies feature time‐varying returns. The paper documents that understanding the return dynamics is important for an effective strategy implementation. A strategy with thresholds delivers higher returns than a strategy that is always active.
- Is Part Of:
- Journal of futures markets. Volume 42:Issue 12(2022)
- Journal:
- Journal of futures markets
- Issue:
- Volume 42:Issue 12(2022)
- Issue Display:
- Volume 42, Issue 12 (2022)
- Year:
- 2022
- Volume:
- 42
- Issue:
- 12
- Issue Sort Value:
- 2022-0042-0012-0000
- Page Start:
- 2218
- Page End:
- 2234
- Publication Date:
- 2022-09-08
- Subjects:
- high‐frequency trading -- intraday momentum -- systematic strategies -- US stock market
Commodity exchanges -- Periodicals
Foreign exchange futures -- Periodicals
332.632 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1096-9934 ↗
http://www.interscience.wiley.com/jpages/0270-7314 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1002/fut.22375 ↗
- Languages:
- English
- ISSNs:
- 0270-7314
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 4986.910000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 24276.xml