Akindynos-Nikolaos Balta, Robert Kosowski: In this paper, we rigorously establish a relationship between time-series momentum strategies in futures markets and commodity trading advisors (CTAs) and examine the question of capacity constraints in trend-following investing.
Imperial College Business School
EDHEC Business School
|Type :||Working paper|
|Date :||le 07/01/2013|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ email@example.com ]|
|Research Cluster :||Finance|