Physical approach to price momentum and its application to momentum strategy
Momentum and trend following in equities, studied by Choi in 2014 with a linear factor model. The abstract mentions a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The alternative strategies constructed by the physical momentum achieve the better expected returns and reward-risk measures than those of the traditional contrarian strategy in weekly scale.”
AssetEquitiesindices
StrategyMomentumshort-term reversal
TechniqueLinear factor model
GeographyUSEurope
Also stated: Weekly, benchmark
Missing from abstract: out-of-sample test, 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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