Jiadong Liu

Queen's University Belfast - Queen's Management School

Riddel Hall

185 Stranmillis Road

Belfast, BT9 5EE

United Kingdom

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

Return Signal Momentum

QMS Research Paper 2019/04
Number of pages: 62 Posted: 22 May 2017 Last Revised: 13 Jun 2019
Quantf Research, Queen's University Belfast - Queen's Management School and University of Peloponnese - School of Management, Economics and Informatics
Downloads 1,030 (21,891)

Abstract:

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Return Sign, Trading Strategies, Market Timing, Time Series Momentum

2.

Risk Adjusted Momentum Strategies: A Comparison between Constant and Dynamic Volatility Scaling Approaches

Number of pages: 22 Posted: 28 Nov 2017
Minyou Fan, Youwei Li and Jiadong Liu
Queen's University Belfast, Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 606 (45,803)

Abstract:

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Cross-sectional momentum, Time series momentum, Momentum crashes, Volatility scaling

3.

Time Series Reversal in Trend Following Strategies

Number of pages: 46 Posted: 22 May 2017 Last Revised: 29 Aug 2017
Jiadong Liu and Fotis Papailias
Queen's University Belfast - Queen's Management School and Quantf Research
Downloads 473 (62,657)

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Reversal, Trend Following, Market Timing, Time Series Momentum, Returns Signal Momentum

4.

Momentum and the Cross-Section of Stock Volatility

QMS Research Paper 2020/01
Number of pages: 47 Posted: 21 Feb 2020
Queen's University Belfast, Queen's Management School, Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 77 (329,227)

Abstract:

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Cross-sectional momentum, Momentum crashes, Generalised risk-adjusted momentum, Excess volatility, Volatility timing