Dissecting Momentum: We Need to Go Deeper
Momentum and trend following in equities, studied by Borisenko in 2019 with a feedforward neural network. The abstract mentions t-statistics and an out-of-sample test but not a benchmark, transaction costs, multiple testing or the size of the universe.
“Previous research reports numerous ways to measure momentum and establishes a multitude of factors predicting its performance.”
AssetEquities
StrategyMomentum
TechniqueFeedforward network
GeographyUS
Also stated: t-statistic, Price and volume, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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