惯性聚合 高效追踪和阅读你感兴趣的博客、新闻、科技资讯
阅读原文 在惯性聚合中打开

推荐订阅源

L
LangChain Blog
博客园_首页
钛媒体:引领未来商业与生活新知
钛媒体:引领未来商业与生活新知
月光博客
月光博客
S
SegmentFault 最新的问题
量子位
Apple Machine Learning Research
Apple Machine Learning Research
博客园 - 司徒正美
博客园 - Franky
Google DeepMind News
Google DeepMind News
Recent Announcements
Recent Announcements
B
Blog RSS Feed
C
Check Point Blog
The Cloudflare Blog
M
MIT News - Artificial intelligence
OSCHINA 社区最新新闻
OSCHINA 社区最新新闻
F
Fortinet All Blogs
Hugging Face - Blog
Hugging Face - Blog
博客园 - 叶小钗
V
Visual Studio Blog
V
V2EX
Microsoft Azure Blog
Microsoft Azure Blog
博客园 - 聂微东
freeCodeCamp Programming Tutorials: Python, JavaScript, Git & More

eess.SP updates on arXiv.org

ECG-biometrics-bench: A Unified Framework for Reproducible Benchmarking of ECG Biometrics Physiology-Aware Masked Cross-Modal Reconstruction for Biosignal Representation Learning Towards Improving Speaker Distance Estimation through Generative Impulse Response Augmentation Federated Learning with Hypergradient-based Online Update of Aggregation Weights Soft Graph Diffusion Transformer for MIMO Detection SPLICE: Latent Diffusion over JEPA Embeddings for Conformal Time-Series Inpainting Sequential Inference for Gaussian Processes: A Signal Processing Perspective Statistical Channel Fingerprint Construction for Massive MIMO: A Unified Tensor Learning Framework Recent Advances in mm-Wave and Sub-THz/THz Oscillators for FutureG Technologies Cross-Subject Generalization for EEG Decoding: A Survey of Deep Learning Methods Super-resolution Multi-signal Direction-of-Arrival Estimation by Hankel-structured Sensing and Decomposition Hankel and Toeplitz Rank-1 Decomposition of Arbitrary Matrices with Applications to Signal Direction-of-Arrival Estimation Adaptive Transform Coding for Semantic Compression EdgeSpike: Spiking Neural Networks for Low-Power Autonomous Sensing in Edge IoT Architectures Sparse Graph Learning from Sparse Data via Fiedler Number Maximization A Deep Learning Model for Battery State Prediction towards Intelligent Energy Management Transfer Learning for Tonal Noise Prediction in VRF Units Using Thermodynamic and Vibration Signals EVT-Based Generative AI for Tail-Aware Channel Estimation Monitoring exposure-length variations in submarine power cables using distributed fiber-optic sensing BandRouteNet: An Adaptive Band Routing Neural Network for EEG Artifact Removal Phase-Separated Complex Hilbert PCA on Markerless 3D Pose Estimation Data: A Global Phase Network and Its Extension to a Continuous Field on the Body Surface Selective Correlation Based Knowledge Distillation for Ground Reaction Force Estimation Deep Learning-Enabled Dissolved Oxygen Sensing in Biofouling Environments for Ocean Monitoring Speech Enhancement Based on Drifting Models Robust and Clinically Reliable EEG Biomarkers: A Cross Population Framework for Generalizable Parkinson's Disease Detection An AI-Based Supervisory Measurement Integrity Validation Layer for Cyber-Resilient AC/DC Protection in Inverter-Based Microgrids Explainable AI in Speaker Recognition -- Making Latent Representations Understandable Time-Localized Parametric Decomposition of Respiratory Airflow for Sub-Breath Analysis NAKUL-Med: Spectral-Graph State Space Models with Dynamics Kernels for Medical Signals An Algorithm for On-Sensor Agnostic Detection of Changes in Human Activity for Ultra-Low-Power Applications
Network Momentum across Asset Classes
Xingyue Pu, Stephen Roberts, Xiaowen Dong, Stefan Zohren · 2023-08-22 · via eess.SP updates on arXiv.org

We investigate the concept of network momentum, a novel trading signal derived from momentum spillover across assets. Initially observed within the confines of pairwise economic and fundamental ties, such as the stock-bond connection of the same company and stocks linked through supply-demand chains, momentum spillover implies a propagation of momentum risk premium from one asset to another. The similarity of momentum risk premium, exemplified by co-movement patterns, has been spotted across multiple asset classes including commodities, equities, bonds and currencies. However, studying the network effect of momentum spillover across these classes has been challenging due to a lack of readily available common characteristics or economic ties beyond the company level. In this paper, we explore the interconnections of momentum features across a diverse range of 64 continuous future contracts spanning these four classes. We utilise a linear and interpretable graph learning model with minimal assumptions to reveal the intricacies of the momentum spillover network. By leveraging the learned networks, we construct a network momentum strategy that exhibits a Sharpe ratio of 1.5 and an annual return of 22%, after volatility scaling, from 2000 to 2022. This paper pioneers the examination of momentum spillover across multiple asset classes using only pricing data, presents a multi-asset investment strategy based on network momentum, and underscores the effectiveness of this strategy through robust empirical analysis.