Advertisement

© 2018

Price-Based Investment Strategies

How Research Discoveries Reinvented Technical Analysis

Book

Table of contents

  1. Front Matter
    Pages i-xxxiii
  2. Adam Zaremba, Jacob “Koby” Shemer
    Pages 1-15
  3. Adam Zaremba, Jacob “Koby” Shemer
    Pages 17-86
  4. Adam Zaremba, Jacob “Koby” Shemer
    Pages 87-124
  5. Adam Zaremba, Jacob “Koby” Shemer
    Pages 125-165
  6. Adam Zaremba, Jacob “Koby” Shemer
    Pages 167-193
  7. Adam Zaremba, Jacob “Koby” Shemer
    Pages 195-212
  8. Adam Zaremba, Jacob “Koby” Shemer
    Pages 213-225
  9. Adam Zaremba, Jacob “Koby” Shemer
    Pages 227-241
  10. Adam Zaremba, Jacob “Koby” Shemer
    Pages 243-245
  11. Back Matter
    Pages 247-302

About this book

Introduction

This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.

Keywords

Investment Stock market Quantitative strategies Momentum Reversal Volatility and extreme risk Skewness Liquidity Seasonality

Authors and affiliations

  1. 1.Poznan University of Economics and BusinessPoznanPoland
  2. 2.AlphaBetaTel AvivIsrael

About the authors

Adam Zaremba is Assistant Professor at the Poznań University of Economics and Business, Poland. He is an economist, adviser, and portfolio manager for investment management companies. Zaremba has written numerous research papers on financial markets and is also an individual investor with many years' experience.

Koby (Jacob) Shemer is an experienced asset manager in international capital markets. He is the founder of Analyst IMS, a public asset management firm, and AlphaBeta, a quantitative asset management company. During his career, he has been responsible for managing portfolios of assets totalling billions of US dollars.

Bibliographic information

Industry Sectors
Finance, Business & Banking