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Modeling the Momentum Effect in Stock Markets to Propose a New Portfolio Algorithm
Modeling the Momentum Effect in Stock Markets to Propose a New Portfolio Algorithm
2018
Kazunori Umino
Takamasa Kikuchi
Masaaki Kunigami
Takashi Yamada
Takao Terano
Keywords:
Machine learning
Computer science
Artificial intelligence
Momentum
Portfolio
Mathematical optimization
momentum effect
Correction
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