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Academic paper

Trading and filtering futures spread portfolios: Further applications of threshold and correlation filters

Authors论文来源

Institute
  • Liverpool John Moores University
  • Professor of Banking and Finance at Liverpool Business School, Liverpool John Moores University,
  • Friedrich-Ebert-Stiftung e.V.
  • GBT – Trading, Friedrich-Ebert-Straße, Kassel, 34119, Germany
  • GBT – Trading, Friedrich-Ebert-Straße

Paper linkhttps://link.springer.com/article/10.1057/jdhf.2009.24

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