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1

The way to do gradual position entry and exit is to use multiple trend following rules, each of which is responsible for managing a part of the available capital. Only if all the trading rules agree will 100% of the capital be deployed. As a simple example, suppose you have three rules. The first rule is based on 10 day momentum; this rule produces a score ...


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Here is a collection of papers. The general idea is that the market has investor classes that share different expectations. When in bubble territory, many investors generally agree that assets are overpriced, but they still invest in expectation of more investors entering the market (the greater fools). There are also sophisticated investors who know assets ...


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Yes, you can assume that, since you cannot extract the probability of default for shorter maturity, but for the 5-years only CDS one, because of unavailability of data. Of course, you'll have to update with shorter frequency your estimate, because the extracted PD will change overtime and the $PD_t$ could be different from $PD_{t+1}$, according to the ...



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