2. Cross-sectional and Time Series ModelsYou, YongChen, EdwardGambino, JackCanada, Statistics
TimeSeriesandCross-SectionalData(PanelData) Paneldataisusedwhenthedatasethasinformationregardinga timedimensionTandaunitdimensioni(e.g.firm,individual, group,etc.WehaveNgroups).ThemodelhasK variables/regressors. Inclassweusedamodelwheretheinterceptchangesfor individualsbutitisconstantovertime,theslopeisconstantfor...
横截和时间数列
时间序列分析和截面分析是在工业界alpha research中的两种基本分析方法. 回顾文献, 我们发现在简单的随机过程模型中就能看到两种现代的分析的思路特点和区别. 本文介绍 Lo and Mackinlay (1989) 提出的时序动量模型 Time Series Momentum (TSM) Model (下称TSM) 与截面动量模型Cross-Sectional Momentum (CSM) Model ...
Additionally, it's perceived that the first and second subsequent years after a crash or crisis year are usually highly profitable within the cross-sectional and time-series contrarian portfolios.Keywords: momentum,聽contrarian,聽time-series,聽cross-sectional,聽commoditiesAdditional informationAuthor ...
同学你好,time-series momentum就是比如你看茅台酒过去基本一直在涨,然后就认为后期还会涨,于是做多。翻译一下,就是过去涨的还会涨,过去跌的还会跌。 cross-sectional momentum strategy就是比如,同样是白酒行业,茅台是各方面的指标都很好,还一直涨,而沱牌酒各方面的指标都不好,导致一直跌。于是做多茅台,做空沱牌酒...
different types of portfolios, and individual stocks: (a) changes in expected returns drive the majority of the time-series volatility in price ratios and unexpected returns, and (b) differences in expected cash flows generate most of the cross-sectional variance in valuations and unexpected returns...
TimeSeries,CrossSectionalAnalysisNoteonARIMAmodelsinStata.WhenStataestimatesandAR-1modelwithnocovariates,forinstance,itdoesnotjustputthelagged..
The study compares the performance of alternative implementations of both time-series and cross-sectional momentum strategies across 24 markets. We find that over our sample period, both types of momentum strategies generate positive returns under the majority of implementations evaluated but that time-...
B.time-series momentum strategy. C.cross-sectional momentum strategy. 解释: C is correct. The strategy under consideration is a managed futures strategy—specifically, a cross-sectional momentum approach. Such an approach is generally implemented with securities in the same asset class, which is cor...