2015. "Momentum has its moments ". Journal of Financial Economics , 116: 111-120.Barroso, P. and Santa-Clara, P. (2015). Momentum has its moments. Journal of Financial Economics, 116(1):111-120.Barroso, P. and Santa-Clara, P. (2015), `Momentum has its moments', Journal of ...
但Pedro Barroso与Pedro Santa-Clara (2013)在《Momentum Has Its Moments》一文中提出,动量策略的风险是可以被管理和预测的,通过风险管理后的动量策略可以显著缓释... 申晓瑾 被引量: 1发表: 2016年 Measurement of the Deuteron Structure Function F2 in the Resonance Region and Evaluation of Its Moments Incl...
momentummomentscrashesmomentumstrategysharperisk Momentum has its moments $ Pedro Barroso a,n , Pedro Santa-Clara b,c,d a University of New South Wales, Australia b Nova School of Business and Economics, Portugal c NBER, United States d CEPR, United Kingdom a r t i c l e i n f o Ar...
Table 5 reports the first two moments of portfolio returns and asset pricing tests for 10 book-to-market portfolios, the top panel for the data and the bottom panel for the model. 6 Consistent with empirical data, the average return and its standard deviation increase from growth firms (Lo)...
Scaled factorial moments are sensitive to the shape of the single-particle momentum distribution. This dependence biases the signal of critical fluctuations. To remove this dependence, one has two possibilities. The first possibility is to exploit the mixed events, where each event is constructed usin...
Intertwining Intensity Moments and Orbital Angular Momenta via Astigmatic Transforms of Structured Beams Article 11 December 2024 REFERENCES Rubinsztein-Dunlop, H., Forbes, A., Berry, M.V., Dennis, M.R., Andrews, D.L., Mansuripur, M., Denz, C., Alpmann, C., Banzer, P., Bauer, ...
The bandwidth and amplitude of the underlying burst of charge current decreases with W thickness, whereas its delay and width increase linearly. We assign this observationtolong-distanceballisticL transportinW,whichhasarelaxa- tion length that is more than one order of magnitude larger than that ...
One of the earlier methods that is useful for wire-based antennas is the Method of Moments, although I've tended to work on / use time domain methods such as FDTD and FIT. For our purposes, the differences in performance between different unit element types, and an isotropic radiator, is...
polarization, the intensity profile (labeled by a dashed line) of thek-space pattern (Fig.5e, right) and the cylindrically focused pattern (Fig.5f, right) should be Gaussian-like4. On the other hand, the laser spot has naturally good coherence and as a result, its intensity profile of ...
Then we provide expressions for the time depen-dence of expectation values of position and momentumfor a chosen scale factor, as well as expressions for sec-ond order moments for positions and momenta in termsof the initial values. This is valuable information to setboth practical limits and ...