Tscherednik, Iwan Wladimirowitsch - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-42
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility. Its implementation, a fully automated momentum equity trading system, is systematically discussed in this paper. It proved to be successful in extensive...
