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Robustness of simple trend-following strategies

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  • Jessica James

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  • Jessica James, 2003. "Robustness of simple trend-following strategies," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 114-116.
    • Handle: RePEc:taf:quantf:v:3:y:2003:i:6:p:114-116
    DOI: 10.1088/1469-7688/3/6/M03
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    Cited by:

    1. Damien Challet & Tobias Galla, 2005. "Price return autocorrelation and predictability in agent-based models of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 569-576.
    2. Simone Bianco & Roberto Reno, 2009. "Unexpected volatility and intraday serial correlation," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 465-475.
    3. Simone Bianco & Roberto Ren'o, 2006. "Unexpected volatility and intraday serial correlation," Papers physics/0610023, arXiv.org.

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