Search Results - "Elaut, Gert"

Intraday momentum in FX markets: Disentangling informed trading from liquidity provision by Elaut, Gert, Frömmel, Michael, Lampaert, Kevin

“…We examine the likely drivers of intraday momentum, defined as a significantly positive relation between the first half-hour and the last half-hour return, in…”
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Trends' Signal Strength and the Performance of CTAs by Elaut, Gert, Erdős, Péter

“…We propose a new asset-based factor that relies on aggregating momentum signals over different horizons. Aggregating signals this way captures assets' trend…”
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Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors by Elaut, Gert, Frömmel, Michael, Mende, Alexander

“…This paper addresses a potential shortcoming in the work on the market timing ability of fund managers. We adapt the Henriksson‐Merton (1981) test for market…”
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An Analysis of the Risk-Return Characteristics of Serially Correlated Managed Futures by Elaut, Gert, Erdős, Péter, Sjödin, John

“…We investigate the implications of low but persistent serial correlation in Managed Futures' returns for portfolio management. Using a measure based on the…”
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Crystallization: A Hidden Dimension of CTA Fees by Elaut, Gert, Frömmel, Michael, Sjödin, John

“…The authors investigated the impact on fee load of variations in the frequency with which commodity trading advisers update their high-water mark. They…”
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