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。
系统标签: sectional panel data time estimator uncorrelated TimeSeriesandCross-SectionalData(PanelData)PaneldataisusedwhenthedatasethasinformationregardingatimedimensionTandaunitdimensioni(e.g.firm,individual,group,etc.WehaveNgroups).ThemodelhasKvariables/regressors.Inclassweusedamodelwheretheinterceptchangesforindiv...
Cross-Sectional vs. Time Series Analysis Cross-sectional analysis is one of the two overarching comparison methods for stock analysis. Cross-sectional analysis looks at data collected at a single point in time, rather than over a period of time. The analysis begins with the establishment of resea...
One way is to look at the times at which data were collected. Another is to look at how many variables were studied. Together, these allow a study to be called cross-sectional or longitudinal, and, within longitudinal, to be classified as repeated measures or time series. These three ...
TimeSeries,CrossSectionalAnalysisNoteonARIMAmodelsinStata.WhenStataestimatesandAR-1modelwithnocovariates,forinstance,itdoesnotjustputthelaggeddependen..
2. Cross-sectional and Time Series ModelsYou, YongChen, EdwardGambino, JackCanada, Statistics
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 ...
In this chapter, we will consider pooling time-series of cross-sections. This may be a panel of households or firms or simply countries or states followed over time. Two well known examples of panel data in the U.S. are the Panel Study of Income Dynamics (PSID) and the National Longitud...
Our results also show that the difference in momentum returns between TS and CS strategies is related to both the net long and net short positions of the TS strategy.关键词: momentum returns cross-sectional time-series market states DOI: 10.1111/irfi.12148 被引量: 11 ...
This article reviews the methodologies of testing asset pricing models which are dominantly used in the literature; time-series regression tests and cross-sectional regression tests. We provide some explanations for the test procedure of time-series regression tests and cross-sectional regression tests....