Physical approach to price momentum and its application to momentum strategy
We introduce various quantitative and mathematical definitions for price momentum of financial instruments. The price momentum is quantified with velocity and mass concepts originated from the momentum in physics. By using the physical momentum of price as a selection criterion, the weekly contrarian strategies are implemented in South Korea KOSPI 200 and US S&P 500 universes. The alternative strategies constructed by the physical momentum achieve the better expected returns and reward-risk measures than those of the traditional contrarian strategy in weekly scale. The portfolio performance is not understood by the Fama-French three-factor model.
|Date of creation:||Aug 2012|
|Date of revision:||Aug 2014|
|Publication status:||Published in Physica A: Statistical Mechanics and its Applications 415 (2014), pp. 61-72|
|Contact details of provider:|| Web page: http://arxiv.org/|
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