121 citations · 286 across the 9 of their papers we have counts for
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q-fin.PM2017
Trends and Risk Premia: Update and Additional Plots
Tung-Lam Dao, Daniel Hoehener, Yves Lempérière +3
Recently, our group has published two papers that have received some attention in the finance community. One is about the profitability of trend following strategies over 200 years…
q-fin.PM2014
Momentum Strategies with L1 Filter
Tung-Lam Dao
In this article, we discuss various implementation of L1 filtering in order to detect some properties of noisy signals. This filter consists of using a L1 penalty condition in orde…