Blar i Brage NMBU på forfatter "Sørensen, Anders Hammeren"
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Commodity markets : an updated study of the "timed momentum" trading strategy
Sørensen, Anders Hammeren (Master thesis, 2016-08-25)This thesis provides the reader with an updated study of the “timed momentum” strategy proposed by Miffre and Basu (2008). Their article shows that this commodity trading strategy is able to achieve significant mean returns, ...