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

8

DOWNLOADS
Rank 1,152

SSRN RANKINGS

Top 1,152

in Total Papers Downloads

22,040

CITATIONS

1

Scholarly Papers (8)

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 8,710 (511)

Abstract:

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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 7,053 (758)
Citation 1

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 2,660 (4,114)

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 1,079 (17,973)

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 927 (22,525)

Abstract:

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Carry, Portfolio optimization, Commodities, Risk Budgeting

6.

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 599 (41,160)

Abstract:

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

7.

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

Journal of Financial Markets, Forthcoming
Number of pages: 49 Posted: 19 Jan 2016 Last Revised: 25 Sep 2017
Nick Baltas and Dimitris Karyampas
Imperial College Business School and Bocconi University
Downloads 565 (44,491)

Abstract:

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

8.

Tail Risk in the Cross Section of Alternative Risk Premium Strategies

Journal of Portfolio Management (Forthcoming)
Number of pages: 17 Posted: 16 Aug 2018 Last Revised: 26 Oct 2018
Nick Baltas and Bernd Scherer
Imperial College Business School and EDHEC Business School - Department of Economics & Finance
Downloads 447 (59,816)

Abstract:

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Alternative Risk Premia, Tail Risk, Downside CAPM