Bruno Gmuer

Quantica Capital

Freier Platz 10

Schaffhausen

Switzerland

SCHOLARLY PAPERS

2

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Top 15,277

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Scholarly Papers (2)

1.

Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71
Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015
Martin Dudler, Bruno Gmuer and Semyon Malamud
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 2,529 (4,694)

Abstract:

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momentum, risk, return, volatility, trend following

2.

Forecasting Realized Volatility of Daily Futures Returns

Number of pages: 49 Posted: 01 Dec 2013 Last Revised: 24 Jun 2014
Bruno Gmuer and Semyon Malamud
Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 530 (50,182)

Abstract:

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Realized Volatility, Forecasting, Regression