The alpha momentum effect in commodity markets
We are the first to document an alpha momentum effect in commodity markets. We
demonstrate a strong cross-sectional relationship between future commodity returns and …
demonstrate a strong cross-sectional relationship between future commodity returns and …
[HTML][HTML] Anomalies in emerging markets: The case of Mexico
In this article we explore the relationship between 19 of the most common anomalies
reported for the US market and the cross-section of Mexican stock returns. We find that 1 …
reported for the US market and the cross-section of Mexican stock returns. We find that 1 …
Momentum effect in the Oman stock market over the period of 2005-2018
O Gharaibeh - Journal of Asian Finance, Economics and Business, 2021 - papers.ssrn.com
The purpose of this paper is to investigate the profitability of the momentum effects on the
Oman Stock Market (OSM). This study uses the monthly returns of all stocks listed on the …
Oman Stock Market (OSM). This study uses the monthly returns of all stocks listed on the …
Review of Recent Research Directions and Practical Implementation of Low-Frequency Algorithmic Trading
T Al-Sulaiman - American Journal of Financial Technology …, 2024 - journals.e-palli.com
Financial trading has undergone substantial technological evolution, with automation taking
center stage, leading to approximately 80% of US market trades being executed by …
center stage, leading to approximately 80% of US market trades being executed by …
A model of information diffusion with asymmetry and confidence effects in financial markets
H Yang, S Qi, Z Zhang, D Koslowsky - The North American Journal of …, 2021 - Elsevier
We present a model of multi-period continuous information diffusion in financial markets. We
show that price and trading volume exhibit asymmetric term structures to information flow …
show that price and trading volume exhibit asymmetric term structures to information flow …
[PDF][PDF] The (lack of) momentum effect in the UAE stock market
We investigate the momentum effect in the United Arab Emirates equity returns. Using a
dataset of 124 firms listed in the UAE stock markets in the period January 2004–March 2019 …
dataset of 124 firms listed in the UAE stock markets in the period January 2004–March 2019 …