"In finance, momentum is the empirically observed tendency for rising asset prices to rise further, and falling prices to keep falling. For instance, it was shown that stocks with strong past performance continue to outperform stocks with poor past performance in the next period with an average excess return of about 1% per month."

From Wikipedia

Momentum is the most ground fundamental signal found in almost all asset classes across many different markets and historic periods [see Geczy, Christopher C. and Samonov Mikhail. 212 Years of Price Momentum (The World's Longest Backtest: 1801 - 2012) and Goetzmann, W. and Huang, S. Momentum in Imperial Russia]

The effect is simple and well-researched. Unfortunately, sometimes strategies of this type incur abundant losses, known as "momentum crashes" - in the corresponding section on the papers page you may find explanation of this effect and ways to mitigate it.

Also there is closely related predatory HFT strategy known as "momentum ignition". You also may find information on it in separate section of the papers page.

Pages in category "Momentum"

The following 3 pages are in this category, out of 3 total.

Media in category "Momentum"

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