英文标题：
《Momentum Strategies with L1 Filter》
---
作者：
Tung-Lam Dao
---
最新提交年份：
2014
---
英文摘要：
  In this article, we discuss various implementation of L1 filtering in order to detect some properties of noisy signals. This filter consists of using a L1 penalty condition in order to obtain the filtered signal composed by a set of straight trends or steps. This penalty condition, which determines the number of breaks, is implemented in a constrained least square problem and is represented by a regularization parameter ? which is estimated by a cross-validation procedure. Financial time series are usually characterized by a long-term trend (called the global trend) and some short-term trends (which are named local trends). A combination of these two time scales can form a simple model describing the process of a global trend process with some mean-reverting properties. Explicit applications to momentum strategies are also discussed in detail with appropriate uses of the trend configurations.
---
中文摘要：
在本文中，我们讨论了L1滤波的各种实现，以检测噪声信号的一些特性。该滤波器包括使用L1惩罚条件，以获得由一组直线趋势或步骤组成的滤波信号。这个惩罚条件决定了中断的数量，它在约束最小二乘问题中实现，并由正则化参数表示？通过交叉验证程序进行估算。金融时间序列通常以长期趋势（称为全球趋势）和一些短期趋势（称为局部趋势）为特征。这两个时间尺度的组合可以形成一个简单的模型，描述具有一些均值回复特性的全球趋势过程。还详细讨论了动量策略的显式应用，以及趋势配置的适当使用。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--

---
PDF下载：
-->