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Cryptocurrencies and momentum
(Elsevier, 2019-07-01)
- article
Retrieving a set of 143 cryptocurrencies for a sample spanning 2014–2018, we investigate the popular momentum strategy implemented in the cryptocurrency market. Contrary to earlier studies our findings do not indicate any ...
On Survivor Stocks in the S&P 500 Stock Index
(MDPI, 2022-02-21)
- article
This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable ...
Better Not Forget : On the Memory of S&P 500 Survivor Stock Companies
(MDPI, 2023-02-15)
- article
This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. ...
Man versus machine : on artificial intelligence and hedge funds performance
(Taylor & Francis, 2022-04-22)
- article
Employing partially hand-collected data, sample hedge funds are formed into four categories depending on their level of automation. We find that hedge funds with the highest level of automation outperform other hedge funds ...