Live Webinar: Overview of Quantopian-Based Paper on Uncovering Momentum with Yulia Malitskaia

Read New Stories Relevant to Momentum Trading Quantopian, Live Webinar: Overview of Quantopian-Based Paper on Uncovering Momentum with Yulia Malitskaia.

This webinar will give an overview of the paper, “Uncovering Momentum” conducted using the Quantopian research platform. The corresponding study explores the momentum strategy following a systematic divide-and-conquer approach composed from a sequence of four steps:
1. dissecting the momentum performance along bull/bear states and winners/losers deciles;
2. identifying the unscaled momentum decile as a basic common block across strategies;
3. rolling the combined in- and out-of-sample analysis;
4. and clustering momentum decile time series.

All steps are associated with different subjects of the momentum research domain and subsequently, generate a sequence of four outcomes. For example, combining the in- and out-of-sample momentum decile analysis prompts a more asymmetrical version of the momentum definition. Furthermore, the paper proposes to extend the scope of cross-section return studies with the analysis of temporal patterns by applying time-series clustering. These steps with associated approaches represent self-contained and complementary topics that are intertwined and illustrated by Quantopian notebooks.

You can find the forum post here: https://www.quantopian.com/posts/the-next-quantopian-based-paper-on-uncovering-momentum

About the Speaker:

Yulia Malitskaia is a Researcher at VKY Analytics focusing on multi-factor portfolios and factor investing. She holds degrees from the NYU Stern School of Business, University College Cork Ireland, and the University of Cambridge.

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Disclaimer
Quantopian provides this presentation to help people write trading algorithms – it is not intended to provide investment advice.

More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.

In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Momentum Trading Quantopian, Live Webinar: Overview of Quantopian-Based Paper on Uncovering Momentum with Yulia Malitskaia.

What Is Momentum Trading?

Momentum trading is a method in which investors deal according to the stamina of current price fads. Cost Momentum resembles Momentum in physics, where mass multiplied by speed identifies the probability that an object will certainly advance its course. In monetary markets, nevertheless, Momentum is figured out by other aspects like trading Volume as well as rate of rate changes. Momentum traders wagered that a property price that is relocating highly in a provided direction will remain to move in that instructions till the trend loses strength.

Where Did Momentum Trading Begin?

The practice of Momentum trading has actually been around for centuries. As early as the late 1700s, famed British financial expert and investor David Ricardo was known to have actually used momentum-based techniques efficiently in trading. He bought stocks with strong carrying out price fads, and then offered supplies whose rates were choking up. He qualified the method with the expression: “Interrupt your losses; let your earnings operate on.”.

Just how do you pick stock Momentum Trading?

When choosing Momentum Trading supplies, you need to take a look at supplies that are trading above the typical number of shares. Stocks that have more than typical quantities are those that have a tendency to space higher or reduced on the open.

Following the growth of technical evaluation in the late 19th century, concepts of Momentum gained usage in the 1920s and also ’30s by widely known investors as well as analysts such as Jesse Livermore, HM Gartley, Robert Rhea, George Seafarer as well as Richard Wycoff.

The concept was first formalised in academic research studies in 1937 by economic experts Alfred Cowles and Herbert Jones. They found that assets that did well in one year often tended to continue to do well in the following year.

Explore More Articles About Momentum Trading Quantopian and Financial market news, analysis, trading signals and also Forex broker reviews.

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