no code implementations • 23 Aug 2023 • Xingyue, Pu, Stefan Zohren, Stephen Roberts, Xiaowen Dong
Network momentum provides a novel type of risk premium, which exploits the interconnections among assets in a financial network to predict future returns.
no code implementations • 22 Aug 2023 • Xingyue, Pu, Stephen Roberts, Xiaowen Dong, Stefan Zohren
We investigate the concept of network momentum, a novel trading signal derived from momentum spillover across assets.