Nick Baltas

Imperial College Business School

Visiting Researcher

South Kensington Campus

Exhibition Road

London, SW7 2AZ

United Kingdom

Goldman Sachs International

Head of R&D, Systematic Trading Strategies

Peterborough Court

133 Fleet Street

London, EC4A 2BB

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 977

SSRN RANKINGS

Top 977

in Total Papers Downloads

28,228

SSRN CITATIONS
Rank 17,084

SSRN RANKINGS

Top 17,084

in Total Papers Citations

18

CROSSREF CITATIONS

41

Scholarly Papers (10)

1.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

"Market Momentum: Theory and Practice", Wiley, 2020 (Forthcoming)
Number of pages: 49 Posted: 02 Sep 2012 Last Revised: 09 Sep 2019
Nick Baltas and Robert Kosowski
Imperial College Business School and Imperial College Business School
Downloads 10,662 (469)
Citation 15

Abstract:

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Time-series Momentum, Trend Following, Trading Rules, Pairwise Correlations, Turnover, Transaction Costs

2.

Momentum Strategies in Futures Markets and Trend-following Funds

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 60 Posted: 06 Dec 2011 Last Revised: 12 Oct 2015
Nick Baltas and Robert Kosowski
Imperial College Business School and Imperial College Business School
Downloads 8,091 (757)
Citation 47

Abstract:

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Trend-following, Momentum, Managed Futures, CTA, Capacity Constraints

3.

Trend-Following, Risk-Parity and the Influence of Correlations

"Risk-Based and Factor Investing", Elsevier & ISTE Press, 2015 (Forthcoming)
Number of pages: 25 Posted: 14 Oct 2015 Last Revised: 24 Dec 2015
Nick Baltas
Imperial College Business School
Downloads 3,109 (3,980)
Citation 2

Abstract:

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Trend-following, Momentum, Inverse-volatility, Risk-parity, Pairwise correlations, Managed Futures, CTA

4.

Multi-Asset Seasonality and Trend-Following Strategies

Bankers, Markets & Investors (Forthcoming)
Number of pages: 24 Posted: 03 Jan 2016
Nick Baltas
Imperial College Business School
Downloads 1,383 (15,173)

Abstract:

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Seasonality, Trend-following, Momentum, Managed Futures, CTA, Commodities

5.

Optimising Cross-Asset Carry

"Factor Investing", Elsevier & ISTE Press, 2017 (Forthcoming)
Number of pages: 29 Posted: 17 May 2017
Nick Baltas
Imperial College Business School
Downloads 1,358 (15,596)
Citation 2

Abstract:

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Carry, Portfolio optimization, Commodities, Risk Budgeting

6.

The Impact of Crowding in Alternative Risk Premia Investing

Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 29 Posted: 17 Apr 2019 Last Revised: 09 Aug 2019
Nick Baltas
Imperial College Business School
Downloads 1,258 (17,520)
Citation 2

Abstract:

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Crowding, Alternative Risk Premia, Divergence, Convergence

7.

Cross-Asset Skew

Number of pages: 32 Posted: 08 Jan 2020
Nick Baltas and Gabriel Salinas
Imperial College Business School and Teacher Retirement System of Texas
Downloads 993 (25,004)

Abstract:

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asset pricing, behavioral finance, skewness, factor premium, skewness preferences, risk preferences, currencies, commodities, bonds

8.

Forecasting the Equity Risk Premium: The Importance of Regime-Dependent Evaluation

Journal of Financial Markets, Volume 38, March 2018, Pages 83-102
Number of pages: 49 Posted: 19 Jan 2016 Last Revised: 22 Sep 2020
Nick Baltas and Dimitris Karyampas
Imperial College Business School and Bocconi University
Downloads 717 (39,256)
Citation 2

Abstract:

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quity risk premium, predictability, out-of-sample forecasting, economic constraints, predictive regression, asset allocation, business cycles, profitability, trading strategies

9.

Explaining Momentum Strategies Using Intrinsic Price Fluctuations

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 63 Posted: 27 Aug 2011 Last Revised: 07 Jan 2012
Nick Baltas
Imperial College Business School
Downloads 657 (44,165)

Abstract:

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Momentum, Price Trend, Transaction Costs, Stop-Loss, Empirical Mode Decomposition, Ensemble Empirical Mode Decomposition

10.

Tail Risk in the Cross Section of Alternative Risk Premium Strategies

Journal of Portfolio Management, Vol. 45, No. 2, 2018, https://jpm.pm-research.com/content/45/2/93
Posted: 16 Aug 2018 Last Revised: 05 Oct 2019
Nick Baltas and Bernd Scherer
Imperial College Business School and EDHEC Business School - Department of Economics & Finance

Abstract:

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Alternative Risk Premia, Tail Risk, Downside CAPM