Short-term return-based contrarian strategies in US future markets : 1987-2002
In this paper, we document return reversals and investigate short-term contrarian profitability in the US futures markets, on 4 segments consisting of 29 futures contracts. Our methodology closely follows the spirit behind the Lo and MacKinlay (1990) methodology that are used for contrarian strategi...
Saved in:
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/8720 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |