The VKY Analytics talk on “Uncovering Momentum with Intertemporal Analysis” was presented at the SIAM Conference on Financial Mathematics and Engineering (FM21) held over June 1-4. Consolidating and extending the SSRN working paper and TDS article, the talk delivered two major takeaways. First, the study explicitly explained the momentum effect for 2011-2019 as the sampling of high volatility growth stocks. Second, the talk introduced our new fsharadar extension of the Zipline-based open-source research platform for running diverse financial economics studies.

The pdf copy of the slides and associated notebooks are available on github: https://github.com/ymalitskaia/uncovering-momentum.