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Profitability of trading in the direction of asset price jumps : analysis of multiple assets and frequencies
Fičura, Milan - In: Prague economic papers : a bimonthly journal of … 28 (2019) 4, pp. 385-401
Persistent link: https://www.econbiz.de/10012130976
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Impact of size and volume on cryptocurrency momentum and reversal
Fičura, Milan; Panoš, Jiří - 2023
Persistent link: https://www.econbiz.de/10014281589
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Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies
Fičura, Milan - 2017
The profitability of a trading system based on the momentum-like effects of price jumps was tested on the time series of 7 assets (EUR/USD, GBP/USD, USD/CHF and USD/JPY exchange rates and Light Crude Oil, E-Mini S&P 500 and VIX Futures), in each case for 7 different frequencies (ranging from...
Persistent link: https://www.econbiz.de/10012964934