17 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University of CincinnatiUS2 papers
- Brown UniversityUS1 paper
- Fundação Carlos ChagasBR1 paper
- Instituto Nacional de Pesquisas EspaciaisBR1 paper
- Istituto di NanotecnologiaIT1 paper
- SmartFactory (Germany)DE1 paper
- The Ohio State UniversityUS1 paper
- Universidade de São PauloBR1 paper
- Universidade Federal do ParanáBR1 paper
Showing q-fin.STShow all
2 papers · 1 filter
q-fin.ST2019★ 5 cited
Detailed study of a moving average trading rule
Fernando F. Ferreira, A. Christian Silva, Ju-Yi Yen
We present a detailed study of the performance of a trading rule that uses moving average of past returns to predict future returns on stock indexes. Our main goal is to link perfo…
q-fin.ST2014
Information ratio analysis of momentum strategies
Fernando F. Ferreira, A. Christian Silva, Ju-Yi Yen
In the past 20 years, momentum or trend following strategies have become an established part of the investor toolbox. We introduce a new way of analyzing momentum strategies by loo…