Extending the Omega model with momentum and reversal strategies to intraday trading.
This study develops the Omega model integrated with momentum and reversal strategies using high-frequency data on the component stocks of the S&P 500 Index and the NASDAQ 100. The Omega model based on the momentum strategy (M_Omega), the reversal strategy (R_Omega), and both strategies (M_R_Omeg...
| الحاوية / القاعدة: | PLoS ONE |
|---|---|
| المؤلفون الرئيسيون: | , , , |
| التنسيق: | مقال |
| اللغة: | الإنجليزية |
| منشور في: |
Public Library of Science (PLoS)
2023-01-01
|
| الوصول للمادة أونلاين: | https://doi.org/10.1371/journal.pone.0291119 |