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2015-03-27 · Discusses ways to combine momentum and mean reversion strategies. Long-term losers tend to have positive HML slopes and higher future average returns.

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2017-12-03 · The phrase reversion to the mean refers to a statistical concept that high and low prices are temporary and a price will tend to go back to its average

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2016-02-02 · Downloadable (with restrictions)! We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean

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Momentum and Mean Reversion in Futures examine the momentum profits by following a simple momentum strategy of taking long positions in futures contracts

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We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices.

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2017-11-22 · Momentum and Mean Reversion in Futures Prices. Momentum Strategies in Commodity Futures Markets. Momentum and Mean-Reversion in Commodity Spot and

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2016-09-02 · We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices.

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2015-01-14 · Is it reasonable to expect 2% returns per day with automated intraday mean reversion strategies with holding periods of a few seconds to a few minutes?