Momentum and trend following
289 papers on momentum and trend following as a systematic trading strategy. Buying recent winners and selling recent losers, cross-sectional or time-series, including trend-following and CTA-style rules.
Also searched as: momentum strategies, trend following, time-series momentum, relative strength, CTA strategies
Papers2892000–2026
Share of the family100 %289 of 289
Asset
Method
Papers by yearMomentum and trend following
Related familiespapers shared with this family
| Most cited in each asset | cited by | asset | |
|---|---|---|---|
| Technical Analysis in Financial Markets by GriffioenEquities | 375 | Equities | 2004 |
| Risk Adjustment and Trading Strategies by Ahn et al.Asset not named | 128 | Asset not named | 2001 |
| Do Momentum Based Strategies Still Work in Foreign Currency Markets? by White and OkunevCurrencies | 76 | Currencies | 2001 |
| Momentum Strategies in Commodity Futures Markets by Miffre and RallisCommodities | 57 | Commodities | 2005 |
| Momentum in Futures Markets by PirrongMulti-asset | 41 | Multi-asset | 2005 |
| Momentum and the Term Structure of Interest Rates by DurhamBonds and credit | 12 | Bonds and credit | 2014 |
| REIT Momentum and the Performance of Real Estate Mutual Funds by Derwall et al.Real estate | 10 | Real estate | 2008 |
| Seasonal Momentum in Option Returns by Heston et al.Volatility and options | 5 | Volatility and options | 2022 |
| Cryptocurrency Return Predictability: A Machine-Learning Analysis by Filippou et al.Crypto | 5 | Crypto | 2021 |
| Latest additions | asset | |
|---|---|---|
| Factor Momentum and the Momentum Factor: Evidence from Emerging Markets by FoyeEquities | Equities | 2026 |
| Heterogeneity in Overnight-versus-Intraday Stock-Return Behavior with Asymmetric Information and 52-week Price Anchoring by Chen et al.Equities | Equities | 2026 |
| Artificial Intelligence and Multi-Indicator Confluence Frameworks for Cryptocurrency Trading Signal Optimisation: Evidence from Major Digital Assets by Kaodui et al.Crypto | Crypto | 2026 |
| How Fast do Currencies Really Mean-revert? Ornstein-Uhlenbeck Half-lives and Bollinger-band Extremes Reconsidered :The Deflated Alpha Series by MahadzvaCurrencies | Currencies | 2026 |
| Hysteresis Rebalancing in Cross-Sectional Momentum: Reducing Boundary Churn and Transaction-Cost Drag in Indian Equities by PandheEquities | Equities | 2026 |
Assets with their own page
226 papers| Momentum in equities | 191 |
| Momentum in commodities | 12 |
| Momentum in crypto | 12 |
| Momentum in multi-asset | 11 |
Momentum in currencies
9 papers| cited by | method | ||
|---|---|---|---|
| How Fast do Currencies Really Mean-revert? Ornstein-Uhlenbeck Half-lives and Bollinger-band Extremes Reconsidered :The Deflated Alpha Series by Mahadzva | 0 | 2026 | |
| The Size Mechanism Hypothesis: Capital Absorption Time, Not Information Diffusion Speed, Determines Trend Magnitude in Foreign Exchange Markets by Anon | 0 | 2026 | |
| Optimal Currency Portfolios: Do Characteristics Matter? by Shahini | 0 | 2024 | |
| Can Technical Trading Beat the Foreign Exchange Market in times of Crisis? by Yamani | 0 | 2018 | |
| Currency Momentum Strategies by Menkhoff et al. | 39 | 2011 | |
| Aggregate Trading Behaviour of Technical Models and the Yen/Dollar Exchange Rate 1976-2007 by Schulmeister | 15 | 2010 | |
| A Momentum Trading Strategy Based on the Low Frequency Component of the Exchange Rate by Harris and Yılmaz | 12 | 2008 | |
| Spurious Regressions in Technical Trading: Momentum or Contrarian? | 2008 | ||
| Do Momentum Based Strategies Still Work in Foreign Currency Markets? by White and Okunev | 76 | 2001 |
Momentum in bonds and credit
5 papers| cited by | method | ||
|---|---|---|---|
| Design and analysis of momentum trading strategies by Martin | 0 | 2023 | |
| Hidden Momentum in Corporate Bonds by Gao et al. | 3 | 2023 | |
| The Term Structure of Stock Return Predictability by Skouras | 0 | 2023 | |
| The Term Structure of CAPM Alphas and Betas by Chang | 1 | Classical time series | 2015 |
| Momentum and the Term Structure of Interest Rates by Durham | 12 | 2014 |
Momentum in volatility and options
4 papers| cited by | method | ||
|---|---|---|---|
| Continuous Timing Signals for Growth-Defensive Style Allocation: Factor Attribution, Risk Matching, and Out-of-Sample Evidence by Xiong | 0 | Linear factor models | 2026 |
| Peer Option Momentum by Li and Yang | 0 | 2024 | |
| Seasonal Momentum in Option Returns by Heston et al. | 5 | 2022 | |
| An Empirical Study on Options Trading Strategy Using ‘Commodity Channel Index’ For NSE’s Nifty Options in India by Shah | 0 | 2019 |
Momentum in real estate
2 papers| cited by | method | ||
|---|---|---|---|
| Anomaly-based Trading Strategies in the Real Estate Sector. Can the Market be Beaten? by Beluská and Vojtko | 0 | Language models +1 | 2026 |
| REIT Momentum and the Performance of Real Estate Mutual Funds by Derwall et al. | 10 | Linear factor models | 2008 |
Momentum, no asset class named
43 papers| cited by | method | ||
|---|---|---|---|
| A Joint Online Learning Framework for Time-Varying Parameter Correction and Multi-Scale Signal Decay - Unified Theory for Adaptive Factor Portfolio Optimization by Liu | 0 | Bayesian | 2026 |
| Beat the Market Revisited An Independent Replication and Statistical Audit of an Intraday Momentum Strategy by Delgado | 0 | 2026 | |
| Prospect-Theoretic Market States and Momentum Vulnerability by Ohk | 0 | 2026 | |
| Revisiting Factor Models in Emerging Markets: Institutional Drivers of Factor Performance by Foye | 0 | Linear factor models | 2026 |
| Textual Risk Option Momentum by Chen et al. | 0 | 2026 | |
| The Stationarity Assumption Is Free: Regime-Conditional Factor Selection and the Robustness of the Unconditional SDF by Glancszpigel | 0 | 2026 | |
| Volatility-Managed Factor Portfolios: A Replication and Extension on the Fama-French Five Factors and Momentum by Yadav | 0 | Linear factor models | 2026 |
| Low-rank Momentum Factorization for Memory Efficient Training by Mahdavinia and Mahdavi | Language models | 2025 | |
| Not All Factors Crowd Equally: Modeling, Measuring, and Trading on Alpha Decay by Lee | 1 | Linear factor models | 2025 |
34 more
| Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies by Wood et al. | Neural networks | 2024 | |
| SMMF: Square-Matricized Momentum Factorization for Memory-Efficient Optimization by Park and Lee | Neural networks | 2024 | |
| A Guide to Trend Following Strategies by Broadfoot and Leveau | 0 | 2023 | |
| Board Links and Predictable Returns by Nie and Wu | 0 | 2023 | |
| Learning to Learn Financial Networks for Optimising Momentum Strategies by Pu et al. | 1 | Neural networks | 2023 |
| Market Dynamics of Risk-On and Risk-Off Incentives and Equilibrium Asset Prices by Hodor and Zapatero | 0 | Mathematical derivation | 2023 |
| A globally convergent fast iterative shrinkage-thresholding algorithm with a new momentum factor for single and multi-objective convex optimization by Tanabe et al. | 0 | 2022 | |
| Art as investment | Linear factor models | 2022 | |
| Momentum Without Crashes by Chitsiripanich et al. | 3 | 2022 | |
| Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture by Wood et al. | 10 | Neural networks | 2022 |
| Alpha Architect: Is Momentum Losing Steam? by Evans and Sesia | 0 | 2021 | |
| Return Predictability from Industry Network Effects: Evidence from Rolling Window Adaptive Lasso by Li | 0 | 2021 | |
| Trend-Following Strategies via Dynamic Momentum Learning by Levy and Lopes | 1 | 2021 | |
| Factors with Style by Kimura et al. | 0 | 2020 | |
| Hidden Markov Models Applied To Intraday Momentum Trading With Side Information by Christensen et al. | 0 | Bayesian +1 | 2020 |
| An analysis of asset pricing models using out of sample data from the NYSE: 1900-1925 | Linear factor models | 2019 | |
| Momentum Survival and Its Economic Significance: Evidence From an Emerging Market by Sarwar and Ferdushi | 0 | 2019 | |
| Trend Following with Momentum Versus Moving Average: A Tale of Differences by Zakamulin and Giner | 3 | Classical time series | 2018 |
| On Long Memory Behaviour and Predictability of Financial Markets by Vo and Roberts | 2 | 2017 | |
| Macroeconomic Expectations and the Size, Value and Momentum Factors by Bergbrant and Kelly | 1 | 2015 | |
| Risk-Return Analysis of Dynamic Investment Strategies by Bruder and Gaussel | 22 | 2014 | |
| Evidence of Momentum in Newsletter Recommendations by Crawford et al. | 0 | 2012 | |
| Risk Metrics and Fine Tuning of High Frequency Trading Strategies by Cartea and Jaimungal | 16 | 2012 | |
| The Bottom-Up Beta of Momentum by Barroso | 7 | 2012 | |
| Global Tactical Sector Allocation: A Quantitative Approach by Doeswijk and Vliet | 8 | 2011 | |
| Does Bad Economic News Play a Greater Role in Shaping Investors’ Expectations than Good Economic News? by Alwathainani | 7 | Linear factor models | 2010 |
| Rational Quantitative Trading in Efficient Markets by Rossi and Tinn | 4 | 2009 | |
| The Fama-French and Momentum Portfolios and Factors in the UK by Gregory et al. | 44 | Linear factor models | 2009 |
| Style Investing, Comovement and Return Predictability by Wahal and Yavuz | 1 | 2008 | |
| Cross-Country Comovement of Momentum Returns by Naranjo and Porter | 9 | Linear factor models | 2004 |
| On the Dual Test for Ssd Efficiency: With an Application to Momentum Investment Strategies by Post | 4 | 2004 | |
| Do Momentum Traders Profit from Central Bank Intervention in Australia? by Jones | 1 | 2003 | |
| Are Momentum Profits Robust to Trading Costs? by Korajczyk and Sadka | 73 | 2002 | |
| Risk Adjustment and Trading Strategies by Ahn et al. | 128 | 2001 |
Papers on momentum from other families
8 papers| filed under | ||
|---|---|---|
| Portfolio Optimization under Fast and Slow Latent Mean-Reverting and Momentum Drift by Eccles and Lee | Portfolio optimization | 2026 |
| The Structural Liquidity Factor: Persistent Alpha Beyond Fama-French by Boutgajouft | Liquidity premium | 2026 |
| RavenPack Quantitative Research: Enhancing Currency Risk Premia with RavenPack FX Sentiment Factors by Hafez et al. | Factor investing | 2025 |
| RavenPack Quantitative Research: Harnessing News Sentiment for FX Futures Strategies by Hafez et al. | News sentiment and text signals | 2025 |
| Black-Litterman End-to-End by Duraj and Yu | Portfolio optimization | 2023 |
| Overlapping Narrative Risk Disclosures and Return Predictability by Bai et al. | Machine learning return prediction | 2021 |
| Value Booms by Chibane et al. | Value investing | 2019 |
| Out-of-Sample Evidence on the Returns to Currency Trading by Accominotti and Chambers | Value investing | 2013 |