Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?
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DOI: 10.1016/j.frl.2016.10.007
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- Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
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Keywords
Anomaly; Range to standard deviation ratio; Momentum trading strategy; Returns persistence;All these keywords.
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