2021/01/04 by Martin, Richard J.
#FOS: Economics and business #General Finance (q-fin.GN) #Statistical Finance (q-fin.ST)
paper · doi:10.48550/arxiv.2101.01006
We give a complete description of the third-moment (skewness) characteristics of both linear and nonlinear momentum trading strategies, the latter being understood as transformations of a normalised moving-average filter (EMA). We explain in detail why the skewness is generally positive and has a term structure. This paper is a synthesis of two papers published by the author in RISK in 2012, with some updates and comments.