Topic: r

Short Term Reversal

In my first post, I’ve talked about momentum in South Korea. Following the methodology of Jegadeesh and Titman (1993), I’ve shown that decile portfolios based on 9 month past return...

Tags: R  trading_strategy  futures 

Momentum in South Korea

As my first post in this blog, I will work on replicating the momentum decile portfolios in South Korea. Momentum refers to the tendency that rising(falling) stocks tend to keep...

Tags: R  risk_factor