# Momentum Strategy


## [Two centuries of trend following](https://arxiv.org/abs/1404.3274)  Y. Lempérière, C. Deremble, P. Seager, M. Potters, J. P. Bouchaud

short paper [Tail Risk Premia vs. Pure Alpha](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/637/Lemperiere%2Betc%2BBouchaud%2BTail%2Brisk%2Bpremiums%2Bversus%2Bpure%2Balpha.pdf)


- 2013 [Demystifying Managed Futures](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2333776) Hurst, Pedersen - AQR

[A Century of Evidence on Trend-Following Investing](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2993026)

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## articles

- 2015 - Gary Antonacci - [Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2244633)
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- 2018 [Modeling Momentum and Reversals - Harvey J. Stein](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4064260)

https://www.olivermsa.com/msa-methodology.html

- Richard Martin 2021 [Design and analysis of momentum trading strategies](https://www.researchgate.net/publication/348214380_Design_and_analysis_of_momentum_trading_strategies)


- 2013 EDHEC [Momentum Strategies in Futures Markets and Trend-Following Funds](https://risk.edhec.edu/sites/risk/files/edhec-working-paper-momentum-strategies-in-futures_1410350911195_0.pdf)

2011 [Trend Filtering Methods for Momentum Strategies](http://www.thierry-roncalli.com/download/lwp-tf.pdf)

- 2016 [The Trend is Your Friend: Time-series Momentum Strategies across Equity and Commodity Markets](https://www.research.manchester.ac.uk/portal/files/39718724/The_Trend_is_Your_Friend_Time_Series_Momentum_Strategies_Across_Equity_and_Commodity_Markets.pdf)

- 2013 [Time Series Momentum Trading Strategy and Autocorrelation Amplification](https://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1322.pdf) K. J. Hong and S. Satchell

## Robert Engle [Dynamic Conditional Beta is Alive and Well](https://www.q-group.org/wp-content/uploads/2014/01/2013sp-Engle-Dynamic-Conditional-Beta-.pdf)

RIGHT-WAY RISK!!!! SEE my paper

## [The Factor Archives: Momentum](https://osam.com/Commentary/the-factor-archives-momentum)

[The Factor Archives: Momentum What Works on Wall Street Podcast](https://podcasts.apple.com/gb/podcast/what-works-on-wall-street-podcast/id1319518557?i=1000459580055)

[Factor momentum](https://rodneywhitecenter.wharton.upenn.edu/wp-content/uploads/2018/03/Juhani.pdf) Rob Arnott Mark Clements Vitali Kalesnik Juhani Linnainmaa†





# Parents

* Quantitative investing