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

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

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