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Valeriy Zakamulin

Professor

University of Agder

Norway

Research Interests

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Professors in Norway

Articles (26)

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Collaborators (2)

Javier Giner

Universidad de la Laguna

SPAIN

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John Arngrim Hunnes

Professor of Economics

University of Agder

NORWAY

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Valeriy Zakamulin

Research Interests

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Articles (26)

A Digital Signal Processing Approach to Moving Averages

Basics of Moving Averages

Exploring How Negative Weights Impact Trading Rule Properties

Exploring Properties of Rules Based on Conventional Moving Averages

Introduction

Moving Averages with Enhanced Smoothness

Moving Averages with Reduced Lag Time

Optimal Trading Frequency for Trend-Following Strategies

Optimal Trend-Following Under General Persistent Return Process

Profitability of Suboptimal Trend-Following Rules

Quantifying Key Properties of Trend-Following Rules

Summary and Conclusions

Trend-Following Trading Rules and Their Anatomy

Uncovering the Optimal Trading Rule

Stock price overreaction: evidence from bull and bear markets

Optimal trend-following rules in two-state regime-switching models

Optimal trend-following with transaction costs

A regime-switching model of stock returns with momentum and mean reversion

Not all bull and bear markets are alike: insights from a five-state hidden semi-Markov model

Revisiting the duration dependence in the US stock market cycles

Time series momentum in the US stock market: Empirical evidence and theoretical analysis

Stock earnings and bond yields in the US 1871–2017: The story of a changing relationship

Warren Buffett versus Zvi Bodie: Should you buy or sell put options?

Stock volatility predictability in bull and bear markets

Trend following with momentum versus moving averages: a tale of differences

The term structure of volatility predictability

Collaborators (2)

Javier Giner

John Arngrim Hunnes

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