Live Webinar: Overview of Quantopian-Based Paper on Momentum with Volatility Timing

Published on June 17, 2022

Explore New Posts About Momentum Trading Strategies Quantopian, Live Webinar: Overview of Quantopian-Based Paper on Momentum with Volatility Timing.

In this webinar, Yulia Malitskaia will discuss her Quantopian-based research presented in the paper “Momentum with Volatility Timing”. The paper addresses the active topic of factor timing for dynamic multi-factor investing by introducing the volatility-timed winners approach that applies past volatilities as a timing predictor to mitigate momentum factor underperformance. The proposed approach was confirmed with Spearman rank correlation. Furthermore, the paper demonstrated the performance of the proposed method in relation to the conventional cross-sectional momentum factor, volatility scaling, risk-based asset allocation, and time-series momentum.

Overall, the study addresses three momentum instantiations: factor, the basis for index construction, and trading strategy. Quantopian has been instrumental for conducting this composite study and the webinar provides an overview of the different aspects of the research alongside the Quantopian platform and tools.

About the Speaker: Yulia Malitskaia
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.

Link to Yulia’s forum post: https://www.quantopian.com/posts/quantopian-based-paper-on-momentum-with-volatility-timing

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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 the 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.

Live Webinar: Overview of Quantopian-Based Paper on Momentum with Volatility Timing, Momentum Trading Strategies Quantopian

Momentum Trading Strategies Quantopian, Live Webinar: Overview of Quantopian-Based Paper on Momentum with Volatility Timing.

Just how do short-term traders make money?

One way to make money on supplies for which the cost is dropping is called brief selling (or going short). Brief marketing is a relatively simple principle: a financier obtains a stock, offers the supply, and after that acquires the stock back to return it to the lender. Short sellers are betting that the supply they offer will drop in price.

What Is Momentum Spending?

Momentum investing involves a method to capitalize on the continuation of an existing market pattern. It includes going long stocks, futures or market ETFs showing upward-trending rates and short the particular properties with downward-trending rates.

Momentum investing holds that trends can linger for a long time, as well as it’s possible to profit by staying with a fad till its final thought, despite for how long that might be. As an example, Momentum investors that went into the U.S. stock market in 2009 normally took pleasure in an uptrend till December 2018.

Can any individual short a stock?

The key threat of shorting a supply is that it will in fact enhance in value, causing a loss. The potential cost appreciation of a stock is theoretically unlimited and also, for that reason, there is no restriction to the prospective loss of a brief position. Naked short marketing is the except supplies that you do not have.

Conclusion

Momentum is an essential idea that has actually proven useful for figuring out the probability of a profitable trade. Dimensions of Momentum can be used in the brief and also long term, making them useful in all types of trading strategies. A number of technological trading devices are offered to disclose the strength of patterns as well as whether a profession on a certain possession may be an excellent wager.

However, investors must be advised that Momentum forecasts are usually computed utilizing measurements of past price trends. Actual Momentum and cost can alter at any moment based on occasions that weren’t factored into the initial calculations. Due to this, it is essential to take preventative steps, such as establishing stop-losses, to safeguard against unexpected price reversals in also the most probable Momentum situations.

Search Relevant Stories About Momentum Trading Strategies Quantopian and Financial market information, analysis, trading signals and Foreign exchange financial expert evaluations.


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