Nick Baltas

Imperial College Business School

Visiting Researcher

South Kensington Campus

Exhibition Road

London, SW7 2AZ

United Kingdom

UBS Investment Bank

Quantitative Analyst

1 Finsbury Avenue

London, EC2M 2PP

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 1,345

SSRN RANKINGS

Top 1,345

in Total Papers Downloads

17,796

CITATIONS

1

Scholarly Papers (7)

1.

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

Number of pages: 60 Posted: 02 Sep 2012 Last Revised: 10 May 2017
Nick Baltas and Robert Kosowski
Imperial College Business School and Imperial College Business School
Downloads 4,761 (569)

Abstract:

Trend-following, Momentum, Constant-volatility, Volatility-targeting, Trading rules, Pairwise correlations, Diversification, Transaction costs, Turnover

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 4,349 (756)
Citation 1

Abstract:

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

3.

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 437 (39,193)

Abstract:

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

4.

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 0 (64,881)

Abstract:

Carry, Portfolio optimization, Commodities, Risk Budgeting

5.

Forecasting the Equity Risk Premium: The importance of regime-dependent evaluation

Number of pages: 48 Posted: 19 Jan 2016 Last Revised: 14 Jun 2017
Nick Baltas and Dimitris Karyampas
Imperial College Business School and ICMA, University of Reading
Downloads 0 (73,090)

Abstract:

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

6.

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 0 (22,267)

Abstract:

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

7.

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 0 (5,366)

Abstract:

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