Dmitry Borisenko

Independent

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Dissecting Momentum: We Need to Go Deeper

Number of pages: 72 Posted: 29 Jul 2019 Last Revised: 08 Aug 2019
Dmitry Borisenko
Independent
Downloads 809 (34,447)

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Momentum, Return Predictability, Time-Varying Risk, Machine Learning, Deep Learning, Neural Networks, Bayesian Optimization

2.

Monetary Policy and Currency Returns: The Foresight Saga

University of St. Gallen, School of Finance Research Paper No. 2017/08
Number of pages: 47 Posted: 09 Jun 2017 Last Revised: 27 Oct 2017
Dmitry Borisenko and Igor Pozdeev
Independent and New York University Stern School of Business
Downloads 346 (100,022)
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Monetary Policy, Policy Expectations, Predictability, Overnight Index Swap, Foreign Exchange