Charlie X Cai
Trended Momentum?
Drawing on neuroscience and cognitive psychology, we present a new view of momentum, highlighting how clear trends in prediction shape future expectations. We show a clear price trend significantly enhances the momentum strategy, yielding annualized returns of 12.68% in the highest trend clarity quintile, compared to 6.90% in the traditional momentum strategy. We demonstrate how trend clarity influences momentum trading intensity within the multi-period return chasing model of Hong and Stein (1999). A series of tests shows that chasing a clear price trend is an intrinsic aspect of momentum, distinct from existing explanations and present in the global markets. (the video: audio by NotebookLM and picture by DALL-E)
About Charlie Cai
I devote myself to studying a wide range of finance topics including asset pricing, investment and financial technology. Through my research, I am learning the core of value and valuation with a practical mind. I am searching and researching data-driven analytical solutions for quantitative trading strategies.
I am currently a Professor of Finance at the University of Liverpool.
Feel free to explore and get in touch.
The pictures used in the following categories are from Kevinkeasey.com a great friend and mentor of mine.