no code implementations • 7 Apr 2023 • Haoyu Wang, Junpeng Di, Yuegu Xie
We extract cyclic information in turnover and find it can explain the momentum echo.
no code implementations • 1 Feb 2023 • Wang Haoyu, Junpeng Di, Qing Han
The EMD hedging method family exhibits superior performance on the VaR criterion compared with the minimum variance hedging method.