Diversified Statistical Arbitrage: Dynamically Combining Mean Reversion and Momentum Strategies by James Velissaris :: SSRN

This paper presents a quantitative investment strategy that is capable of producing strong risk-adjusted returns in both up and down markets. The strategy combi

Source: Diversified Statistical Arbitrage: Dynamically Combining Mean Reversion and Momentum Strategies by James Velissaris :: SSRN

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