Empirical Evaluations on Momentum Effects of Taiwan Index Futures via Stop-Loss and Stop-Profit Mechanisms
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DOI: 10.1142/S0219622019500056
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- Wu, Mu-En & Tsai, Hui-Huang & Chung, Wei-Ho & Chen, Chien-Ming, 2020. "Analysis of Kelly betting on finite repeated games," Applied Mathematics and Computation, Elsevier, vol. 373(C).
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Keywords
Back-testing; momentum strategies; market efficiency; Taiwan index futures market; market trends; cut profit & stop loss;All these keywords.
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