Momentum Portfolios applied to Statistical Arbitrage
收藏Figshare2021-10-07 更新2026-04-28 收录
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https://figshare.com/articles/dataset/Momentum_Portfolios_applied_to_Statistical_Arbitrage/16763764
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资源简介：
These datasets are constructed based on momentum strategies for testing the efficiency of the Tehran Stock Exchange using Statistical Arbitrage Model. The name of each dataset X_Y denotes that the portfolios are constructed by X months formation period and Y months holding periods which is the fundamental of creating momentum portfolios.
创建时间：
2021-10-07
