A Study of Fractal Dual Momentum Investment Strategy Under the Constraint of Multi-Fractal Characteristics of Stock Market
XU WU,
PEIYU WANG,
CHI YANG
et al.
Abstract:Since the discovery of momentum effect, people have started the journey of using the momentum effect to construct momentum strategies. As a result of coupling cross-sectional and time-series momentum strategy, dual momentum strategy (DM strategy) has been widely used in practice and closely followed by academics. To address the shortcoming of the classical DM strategy that has not considered the multi-fractal characteristics of the stock market, we construct the fractal dual momentum strategy (FDM strategy) fr… Show more
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