Same same but different – Stylized facts of CTA sub strategies

Erdős, P, Li, Y, Liu, Ruipeng and Mende, A 2021, Same same but different – Stylized facts of CTA sub strategies, International Review of Financial Analysis, vol. 74, pp. 1-12, doi: 10.1016/j.irfa.2021.101657.

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Title Same same but different – Stylized facts of CTA sub strategies
Author(s) Erdős, P
Li, Y
Liu, RuipengORCID iD for Liu, Ruipeng
Mende, A
Journal name International Review of Financial Analysis
Volume number 74
Article ID 101657
Start page 1
End page 12
Total pages 12
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2021-03
ISSN 1057-5219
Keyword(s) Commodity trading advisors
Trend following
Fundamental strategy
Contrarian strategy
Stylized facts
Language eng
DOI 10.1016/j.irfa.2021.101657
Indigenous content off
Field of Research 1501 Accounting, Auditing and Accountability
1502 Banking, Finance and Investment
1801 Law
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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Created: Fri, 19 Feb 2021, 14:45:04 EST

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