Stochastic models for time series momentum

Abstract

This thesis examines the performance of the trend-following strategies known as absolute momentum strategies. In particular, I will examine the “Times-series momentum” strategy. First, I will investigate, analyzing different asset classes, if this strategy is still persistent in today’s market. Second, the portfolio strategy will be tested looking at different lookback periods and testing for different predictability horizons in order to investigate if there is a different and time-varying predictability horizon across the asset classes.