A Method of Distinction Between Momentum Chasing or Contrarianism Trading

DOI

10.2991/aebmr.k.200306.012How to use a DOI?

Keywords

momentum chasing, contrarianism trading, high frequency trading

Abstract

This paper explains a method of making distinction between momentum chasing and contrarianism trading. First, we randomly select a time series of some security in futures market, and the time frequency is one minute. Second, we convert the close price into index price, and calculate thirty-minute moving average of index price. Third, after curving fitting and derivation, we found all the extremum points. We study the continuous rising or falling percentage after a extremum point is confirmed, in order to study momentum chasing and contrarianism trading. The result shows that, setting 0.1% as condition, momentum chasing is major trading way when continuous rising or falling 0.1%, while contrarianism trading is major trading way when continuous rising or falling 1%.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Lian He
PY  - 2020
DA  - 2020/03/11
TI  - A Method of Distinction Between Momentum Chasing or Contrarianism Trading
BT  - Proceedings of the 5th International Conference on Financial Innovation and Economic Development (ICFIED 2020)
PB  - Atlantis Press
SP  - 67
EP  - 71
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200306.012
DO  - 10.2991/aebmr.k.200306.012
ID  - He2020
ER  -