{"id":"https://openalex.org/W3008183280","doi":"https://doi.org/10.1007/s10479-020-03547-2","title":"Multi-asset scenario building for trend-following trading strategies","display_name":"Multi-asset scenario building for trend-following trading strategies","publication_year":2020,"publication_date":"2020-02-21","ids":{"openalex":"https://openalex.org/W3008183280","doi":"https://doi.org/10.1007/s10479-020-03547-2","mag":"3008183280"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-020-03547-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-020-03547-2","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://www.zora.uzh.ch/id/eprint/186006/1/multiAssetFHS.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5024546135","display_name":"Andreas Thomann","orcid":"https://orcid.org/0000-0002-2747-2767"},"institutions":[{"id":"https://openalex.org/I197141962","display_name":"Zurich University of Applied Sciences in Business Administration","ror":"https://ror.org/02ejkey04","country_code":"CH","type":"education","lineage":["https://openalex.org/I197141962"]},{"id":"https://openalex.org/I202697423","display_name":"University of Zurich","ror":"https://ror.org/02crff812","country_code":"CH","type":"education","lineage":["https://openalex.org/I202697423"]}],"countries":["CH"],"is_corresponding":true,"raw_author_name":"Andreas Thomann","raw_affiliation_strings":["Quantitative Business Administration, University of Zurich, Plattenstrasse 14, 8032, Zurich, Switzerland"],"raw_orcid":"https://orcid.org/0000-0002-2747-2767","affiliations":[{"raw_affiliation_string":"Quantitative Business Administration, University of Zurich, Plattenstrasse 14, 8032, Zurich, Switzerland","institution_ids":["https://openalex.org/I197141962","https://openalex.org/I202697423"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5024546135"],"corresponding_institution_ids":["https://openalex.org/I197141962","https://openalex.org/I202697423"],"apc_list":{"value":2750,"currency":"USD","value_usd":2750},"apc_paid":null,"fwci":0.9056,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.76403876,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":95},"biblio":{"volume":"299","issue":"1-2","first_page":"293","last_page":"315"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/lagging","display_name":"Lagging","score":0.7655978202819824},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6884843707084656},{"id":"https://openalex.org/keywords/trend-following","display_name":"Trend following","score":0.6206187009811401},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.6018447279930115},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5574392676353455},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5511533617973328},{"id":"https://openalex.org/keywords/parametric-statistics","display_name":"Parametric statistics","score":0.5112712383270264},{"id":"https://openalex.org/keywords/set","display_name":"Set (abstract data type)","score":0.4608215391635895},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.4290927052497864},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"Algorithmic trading","score":0.42160043120384216},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3209031820297241},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.21299055218696594},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.17791405320167542},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.09920009970664978},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.08925217390060425},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08627104759216309}],"concepts":[{"id":"https://openalex.org/C2776962539","wikidata":"https://www.wikidata.org/wiki/Q6472078","display_name":"Lagging","level":2,"score":0.7655978202819824},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6884843707084656},{"id":"https://openalex.org/C186797051","wikidata":"https://www.wikidata.org/wiki/Q60738868","display_name":"Trend following","level":2,"score":0.6206187009811401},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.6018447279930115},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5574392676353455},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5511533617973328},{"id":"https://openalex.org/C117251300","wikidata":"https://www.wikidata.org/wiki/Q1849855","display_name":"Parametric statistics","level":2,"score":0.5112712383270264},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.4608215391635895},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.4290927052497864},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.42160043120384216},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3209031820297241},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.21299055218696594},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.17791405320167542},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.09920009970664978},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.08925217390060425},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08627104759216309},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1007/s10479-020-03547-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-020-03547-2","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:www.zora.uzh.ch:186006","is_oa":true,"landing_page_url":"https://www.zora.uzh.ch/id/eprint/186006/1/multiAssetFHS.pdf","pdf_url":"https://www.zora.uzh.ch/id/eprint/186006/1/multiAssetFHS.pdf","source":{"id":"https://openalex.org/S4306401281","display_name":"Zurich Open Repository and Archive (University of Zurich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I202697423","host_organization_name":"University of Zurich","host_organization_lineage":["https://openalex.org/I202697423"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"Thomann, Andreas (2021). Multi-asset scenario building for trend-following trading strategies. Annals of Operations Research, 299(1-2):293-315.","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03547-2","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-020-03547-2","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"doi:10.5167/uzh-186006","is_oa":true,"landing_page_url":"https://doi.org/10.5167/uzh-186006","pdf_url":null,"source":{"id":"https://openalex.org/S4306401281","display_name":"Zurich Open Repository and Archive (University of Zurich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I202697423","host_organization_name":"University of Zurich","host_organization_lineage":["https://openalex.org/I202697423"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"JournalArticle"}],"best_oa_location":{"id":"pmh:oai:www.zora.uzh.ch:186006","is_oa":true,"landing_page_url":"https://www.zora.uzh.ch/id/eprint/186006/1/multiAssetFHS.pdf","pdf_url":"https://www.zora.uzh.ch/id/eprint/186006/1/multiAssetFHS.pdf","source":{"id":"https://openalex.org/S4306401281","display_name":"Zurich Open Repository and Archive (University of Zurich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I202697423","host_organization_name":"University of Zurich","host_organization_lineage":["https://openalex.org/I202697423"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"Thomann, Andreas (2021). Multi-asset scenario building for trend-following trading strategies. Annals of Operations Research, 299(1-2):293-315.","raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":55,"referenced_works":["https://openalex.org/W185461399","https://openalex.org/W1484874636","https://openalex.org/W1490101707","https://openalex.org/W1498464051","https://openalex.org/W1898724844","https://openalex.org/W1963748947","https://openalex.org/W1975862407","https://openalex.org/W1982039177","https://openalex.org/W1983541554","https://openalex.org/W1989275788","https://openalex.org/W1998677466","https://openalex.org/W2005233533","https://openalex.org/W2061137367","https://openalex.org/W2099633515","https://openalex.org/W2101544483","https://openalex.org/W2105729857","https://openalex.org/W2108201397","https://openalex.org/W2117447427","https://openalex.org/W2125520394","https://openalex.org/W2125988247","https://openalex.org/W2134919172","https://openalex.org/W2143152597","https://openalex.org/W2146660825","https://openalex.org/W2148412466","https://openalex.org/W2152278349","https://openalex.org/W2163689154","https://openalex.org/W2165408259","https://openalex.org/W2182274300","https://openalex.org/W2277350362","https://openalex.org/W2320868325","https://openalex.org/W2329233980","https://openalex.org/W2371440349","https://openalex.org/W2502254989","https://openalex.org/W2502939896","https://openalex.org/W2626338623","https://openalex.org/W2626888769","https://openalex.org/W2790792198","https://openalex.org/W2950381474","https://openalex.org/W3003353987","https://openalex.org/W3121738594","https://openalex.org/W3121764760","https://openalex.org/W3122175640","https://openalex.org/W3122594204","https://openalex.org/W3123320210","https://openalex.org/W3123612062","https://openalex.org/W3123852583","https://openalex.org/W3123912718","https://openalex.org/W3124158341","https://openalex.org/W3125246470","https://openalex.org/W3125814160","https://openalex.org/W4240216228","https://openalex.org/W4242067316","https://openalex.org/W4246390368","https://openalex.org/W6607500778","https://openalex.org/W6807091881"],"related_works":["https://openalex.org/W4313491999","https://openalex.org/W3195402399","https://openalex.org/W2523594540","https://openalex.org/W4206190611","https://openalex.org/W4231485458","https://openalex.org/W4386992034","https://openalex.org/W3213042429","https://openalex.org/W3090157411","https://openalex.org/W2803300978","https://openalex.org/W2346867744"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1}],"updated_date":"2026-08-28T12:50:07.497085","created_date":"2025-10-10T00:00:00"}