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

Link to the Webinar: http://bit.ly/ymwebinar2

This webinar will give an overview of the paper, “Uncovering Momentum” that was conducted within 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: dissecting the momentum performance along bull/bear states and winners/losers deciles; identifying the unscaled momentum decile as a basic common block across strategies; rolling the combined in- and out-of-sample analysis; 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 original 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.