Questions tagged [momentum]
Momentum is a trading system of buying financial assets that had high returns over the past months and selling those ones had low returns over the same time period.
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Cross sectional momentum vs time series momentum
What are the advantages/disadvantages of creating quantitative strategies using cross sectional momentum vs time series momentum?
From my perspective, time series momentum is a better indicator of ...
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Interpretation of significant positive Alpha and negative Momentum
I have observed that my portfolios constructed according to positive ESG criteria consistently show negative alphas and positive momentum, while the portfolios with negative ESG criteria show positive ...
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Option-like behaviour of momentum strategy
this may come as rather vague question, since I do not have something very exact issue on my mind. Nevertheless, I think this is an interesting question and must have been thought by some other people ...
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replicating momentum strategy - Formation Periods
I am trying to replicate the momentum strategy of the study by Jegadesh and Titman (1993) onyl using data from the past 10 years.I am trying right now to calculate the formation period returns. But I ...
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Difference between Trader Behavior and Analysis/Inference
In the academic literature - often "momentum" and "positive feedback" traders are used interchangeably. Like "Most researchers have found that institutional investors are ...
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How momentum factor is calculated?
I got following code from the Quantopian Lecture about factor investing. Following is calculating momentum factor. Earlier in the lecture, instructor told that, we will sort the securities based on ...
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Questions on the calculation of time series momentum
I read Moskowitz, Ooi, Pedersen's Time series momentum (2012).
The ex-ante volatility estimate (equation (1) in the paper) is
I am not sure about the period of the return reflected in the volatilty ...
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Constructing a cryptocurrency momentum factor
This might be a very trivial question, but I simply can't find a practical answer anywhere.
I am writing my Master's Thesis, and in this regard, i'm investigating the cross-sectional momentum effect ...
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Momentum Indicators/Oscellators for Trading
The concept of momentum in trading is a bit weird to me.
It seems to me to be measuring a first derivative or first difference of price, or something in that ballpark depending on the exact formulae ...
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How can momentum trading strategies work if returns are not serially correlated?
Returns are demonstrably not serially correlated in most financial time series (Day 1 returns are uncorrelated to Day 2 returns etc.) . Since this is the case, how can momentum trading strategies work?...
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How to incorporate momentum in Ornstein Uhlenbeck to capture overshooting in financial markets?
In modelling asset prices, it is a good idea to model it using a fair value or target price concept. Recently Carr & Prado explored this idea to find optimal stop loss/take profit levels when the ...
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Momentum Strategy across all ETFs
This strategy is inspired by the Dual Momentum strategy, but instead of comparing US stocks, ex-US stocks and bonds, it expands to all ETFs and takes into account the relative momentum between asset ...
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How do I calculate 6/12/36-month momentum of individual stocks?
I am looking at a particular dataset that contains 1/6/12/36 month momentum variables for individual stocks that were calculated based on Jagadeesh & Titman (1993), but I cannot figure out how the ...
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Replicating momentum strategies (UMD/MOM, SUE and CAR3) in R
I am writing my Master Thesis on momentum strategies including price momentum (UMD/MOM) and two fundamental momentum strategies (SUE and CAR3). Right now I'm trying to create the three momentum ...
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how to implement momentum strategy for stocks in R
Good morning, I'm implementing factor investing strategies to choose stocks to insert in a portfolio. I have calculated low volatility factor and now I would to calculate momentum of each stock so ...
