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.

Filter by
Sorted by
Tagged with
0 votes
0 answers
65 views

Gambling or Math , Intersection between Day trading and Quant Finance [closed]

I am curious about the overlap between quantitative analysis and day trading. I apologize for my limited understanding of these topics, but I would like to learn more about the technical indicators ...
Abdulrehman Khan's user avatar
2 votes
0 answers
145 views

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 ...
blizzard16's user avatar
1 vote
1 answer
96 views

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 ...
Vici's user avatar
  • 11
0 votes
1 answer
156 views

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 ...
shoonya's user avatar
  • 141
2 votes
0 answers
209 views

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 ...
Validus Oculus's user avatar
1 vote
0 answers
138 views

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 ...
Yoosang  Lee's user avatar
1 vote
0 answers
298 views

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 ...
erdemelo's user avatar
0 votes
0 answers
103 views

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 ...
user61302's user avatar
3 votes
2 answers
703 views

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?...
Vladimir Belik's user avatar
3 votes
2 answers
2k views

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 ...
Aian 's user avatar
  • 31
0 votes
0 answers
144 views

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 ...
Adrian Trummer's user avatar
1 vote
0 answers
992 views

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 ...
Aaron Kaijser's user avatar
1 vote
2 answers
423 views

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 ...
Anna Madsen's user avatar
0 votes
2 answers
2k views

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 ...
Chariot Black's user avatar
1 vote
0 answers
193 views

Momentum strategy with Entropy Pooling

i'm currently trying to implement a ranking based on momentum indicators into my Entropy Pooling approach. Basically, the idea behind Entropy Pooling is to incorporate views into a reference model (...
puRe22's user avatar
  • 19
1 vote
1 answer
2k views

Factor investing and PCA

I'm struggling to understand how Principal Component Analysis (PCA) is used in Factor Models of returns. For example, in the JPMorgan paper (p.19) the authors write: In a multi asset portfolio, factor ...
Qwerty's user avatar
  • 179
2 votes
2 answers
1k views

How to calculate monthly returns in R for every company in a dataset of 4000 companies?

I want to calculate monthly returns for a time series of 4000 companies between 2014 and 2019. This is how my dataset looks like I'm using the following code to calculate the returns nyseamex <- ...
Max's user avatar
  • 23
5 votes
1 answer
510 views

Are momentum returns negatively skewed?

In the academic literature, I found that momentum returns are negatively skewed (e.g. Daniel and Moskowitz, 2002). As far as I understand, this usually happens when the "past losers" rebound ...
Eaglez's user avatar
  • 93
1 vote
0 answers
384 views

Short Term/Intraday Momentum Strategies

I am currently interested in doing some research on short term/intraday momentum trading strategies (highly liquid large cap stocks), especially to test if there are profitable strategies on higher ...
qfLion's user avatar
  • 11
0 votes
1 answer
191 views

What the most general but precise description one can make about mean-reversion and momentum strategies?

Is there anything about this metaphor of momentum and mean-reversion in markets that is more subtle, more general. What factors are amenable to the interpretation? Are people almost always referring ...
mathtick's user avatar
  • 236
1 vote
1 answer
150 views

What is market sensitivity and momentum sensitivity?

I have daily data of about 29 stock prices and 1 index prices of past 7 years I calculated beta as the ratio of covariance(Rm,Ri) / variance(Rm) I also calculated 200 days rolling momentum score as ...
Stupid_Intern's user avatar
0 votes
0 answers
2k views

What is momentum factor and how is it calculated based on three parameters?

I have 7 year prices of a group of stocks and index prices for the same time period now I want to calculate momentum factor, depending on the three relevant parameters (rebalancing frequency, rolling ...
Stupid_Intern's user avatar
1 vote
0 answers
299 views

Difference Log vs simple returns in calculating momentum

I need to calculate the past 12 month momentum returns of a stock to compare relative performance of various assets. I am doubting what would be the (practical) difference between using log returns ...
incognito's user avatar
  • 181
0 votes
1 answer
418 views

Momentum factor (mom) weekly

I'm writing my dissertation about mutual fund performance and I can't find the weekly (Mom) factor. If there is a formula to transform monthly to weekly, I thought I would ask here. Thanks.
Dan's user avatar
  • 1
1 vote
0 answers
57 views

Crisis in in-sample period

I am backtesting a value momentum asset allocation strategy and my in sample period is from 2003 to 2011 and out sample from 2012 to 2019. I am optimising a cutoff for value on in sample to allocate ...
Dhruv Mahajan's user avatar
3 votes
1 answer
256 views

How to check if a portfolio has momentum bias

I am wondering what methodology exists to check if a fund/portfolio is having momentum bias or chasing the past performance, assuming you have their full returns and full portfolio holdings for past ...
JungleDiff's user avatar
3 votes
1 answer
2k views

How to calculate monthly momentum strategies J6K6?

I am doing PhD on momentum investment (Jegadeesh and Titman, 1993). My supervisor has some concerns over the momentum strategy that I know. Let me explain my steps in J6K6 momentum strategy, i.e. ...
Z. A. Imran's user avatar
3 votes
3 answers
436 views

Interpreting ACF

I am currently struggling with the interpretation of a price chart and the corresponding ACF graph. The question is, if there is momentum in the price of this asset. This is the corresponding price ...
user36498's user avatar
6 votes
2 answers
721 views

Does predictability in a VAR process imply mean reversion or momentum?

There seems to be some disagreement in the literature about this. Define predicability of a stationary series to be $\sigma^2_{t-1} / \sigma^2_t$ Finding mean reverting portfolios using canonical ...
Edward Yu's user avatar
  • 247
1 vote
1 answer
216 views

Crowding in factor investing; Solid metrics

I know this is a bit of a golden goose question as if someone had cracked it they'd be laughing. I'm wondering though, if anyone can point me in the right direction for any hard measures of crowding ...
Wrothschild's user avatar
2 votes
0 answers
954 views

Approximating Market Making PnL with a Trend Following Strategy

In an interview about the setting up AHL Michael Adams made the following quote (the quote relates to their pre AHL days when they acted as consultants): I think because we we re doing work for ...
Bazman's user avatar
  • 879
9 votes
1 answer
255 views

Are the causes of momentum uniform for various asset classes?

Is there any theory which is able to unify and/or falsify existing explanations on the causes of asset price/return momentum? The prevailing theory is that behavioral and cognitive biases lead to ...
David Addison's user avatar
0 votes
1 answer
233 views

Momentum Analysis on Indices

I'm interested in analysis of day-on-day momentum of certain large indices. In particular, I'm interested in the predictive power of the sign of the price change of the first hour of trading with ...
pafnuti's user avatar
  • 103
0 votes
1 answer
207 views

volatility adjustment on momentum

I am trying to figure out what this text means any advice is greatly appreciated. "volatility-adjusted crossover signal where momentum is measured by comparing a short-horizon (45 days) moving ...
qfd's user avatar
  • 255
1 vote
1 answer
245 views

Realized variance as predictor that improves momentum strategy

In the paper "Momentum has its moments" (Pedro Barroso and Pedro Santa-Clara, 2012 - available free from Nova Business School), the authors claim that there is a way to avoid momentum crash (caused by ...
yudyud's user avatar
  • 31
1 vote
1 answer
242 views

implementation of risk managed momentum strategy

I read the paper "Momentum has its moments" (Pedro Barroso and Pedro Santa-Clara, 2012 - available free from Nova Business School), though i didn't fully understand something important, when speaking ...
yudyud's user avatar
  • 31
2 votes
1 answer
3k views

Calculate Returns of Momentum Strategy (Overlapping Portfolios - Jegadeesh and Titman 1993)

I want to implement a Momentum Strategy, followed by Jegadeesh and Titman (1993) with overlapping Portfolios. I want to duplicate their results. Quick Link to the paper (Unfortunately the Method is ...
Monte's user avatar
  • 21
-1 votes
1 answer
946 views

Momentum strategy cumulation of K-monthly returns over multiple months [duplicate]

In a momentum strategy, every month you form a portfolio of winners. Each of these portfolio you hold for K months. So after K months you sell the 1st portfolio, after K+1 months you sell the next and ...
DVV's user avatar
  • 3
3 votes
2 answers
906 views

Interpreting description of a particular (momentum-based) data processing technique

I'm attempting to prepare data in the same manner as section 2 of this paper. I'm finding it a bit of a struggle. Could someone check (/improve upon) my interpretation regarding the 2 sections I have ...
P i's user avatar
  • 151
1 vote
0 answers
2k views

How to calculate monthly Return from a Momentum Strategy with overlapping Holdingperiods?

I replicate a Momentum Strategy from Rey and Schmid (2007) "Feasible momentum strategies" based on the idea from Jegadeesh and Titman (1993). I only buy the single stock with the highest past return ...
Roma92's user avatar
  • 11
1 vote
1 answer
677 views

Can a momentum strategy be cast as a multilinear regression model?

Disclaimer: the question is similar to Can momentum strategies be quantitative in nature? and (to an extent) What is the expected return I should use for the momentum strategy in MV optimization ...
A.L. Verminburger's user avatar
2 votes
0 answers
310 views

serial correlation, Fama MacBeth (1973) procedure incorporating momentum

I have a question regarding the use of the Fama-MacBeth (1973) procedure on panel data. I am investigating the cross sectional determinants of expected REIT return following the procedure from: Chui, ...
S. Gontscharoff's user avatar
2 votes
1 answer
2k views

How to implement momentum strategy using R

I am trying to see if momentum strategy has a profitability in a bond market. I have a bond dataset which is a panel data and it is monthly. It looks something like the table below. For each month t, ...
kdk's user avatar
  • 23
3 votes
1 answer
1k views

How to compare Sharpe Ratios of different investment strategies (holding periods)

I am doing the momentum analysis and am trying to see, what strategy (based on trading frequency) yields the highest Sharpe ratio for different investment amounts. The trading frequencies I use are ...
Miha Hrastel's user avatar
6 votes
3 answers
717 views

Jegadeesh and Titman 1993 Power of their test

I am reading this classic paper(http://www.business.unr.edu/faculty/liuc/files/BADM742/Jegadeesh_Titman_1993.pdf) and got confused by one of their arguments on their overlapping portfolio strategy to ...
zsljulius's user avatar
  • 660
7 votes
1 answer
2k views

Momentum - skipping the most recent month

Many momentum studies skip the most recent month when calculating momentum to account for "reversal effects." On the other hand, I've read online that some people get better results from not skipping ...
Thomas Johnson's user avatar
13 votes
4 answers
3k views

Thesis using Momentum strategies in R, tips on good books, guidelines etc on how to do the programming?

I am quite new to R and will be doing an empirical analysis of momentum strategies in R using a dataset from the index OSEAX from 1980 to 2014. The momentum strategy will for the most part resemble ...
V.kogn's user avatar
  • 131
5 votes
1 answer
2k views

Measuring momentum as AR(1) process

I would like to measure the momentum in the price of a stock from the time the market opens until the time I trade each day. I want to use this momentum number in post-trade analysis (regression of ...
joesyc's user avatar
  • 405
18 votes
1 answer
1k views

Momentum - Statistical Argument

In their seminal paper Jegadeesh and Titman (1993) develop a statistical model to infer where moment comes from. In practice they setup the following: $r_{it}=\mu_i + b_i f_t +e_{it}$ $E(f_t)=E(e_{...
phdstudent's user avatar
  • 8,061
3 votes
1 answer
345 views

According to Lo and MacKinlay (1990), momentum profits can be divided in 3 parts. What do they represent exactly?

At first, Lo and MacKinlay (When are Contrarian Profits Due to Stock Market Overreaction?, 1990) didn't do it for momentum precisely. However,Kyung-In Park and Dongcheol Kim (Sources of Momentum ...
Pierre's user avatar
  • 299