Browsing Closed by Author "Satchell, Stephen"

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Browsing Closed by Author "Satchell, Stephen"

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  • Hong, Jimmy; Satchell, Stephen (Scientific Research, 2012)
    This paper looks at various definitions of momentum then investigates a particular definition of momentum via a statis- tical model where the asset price is assumed to follow a log Ornstein-Uhlenbeck process. Momentum ...