MOMENTUM ANOMALY

Deep learning strategy analyzing multiple frequency return features to identify future returns from momentum factor. The algorithm generates profits through more accurately ranking companies with the strongest and weakest effect of price direction. It outputs a probability of stock price increase in future period. 

ASSET CLASS

DATA ORIGIN

STOCK UNIVERSE

INVESTMENT APPLICATIONS

  • Equity

  • Market Data

  • US Equities

  • Quantitative, Discretionary

INPUT DATA

Multifrequency security specific returns.

Daily prediction; multiple holding periods available.

FREQUENCY

500 largest capitalization companies listed in the United States.

COVERAGE

End of day adjusted close prices.

RAW DATA

Artificial neural network to reduce demensionality using unsupervised learning. 

PRE PROCESSING

Probability of stock increasing in the future month.

SIGNAL

Real time processed data sent to data center or via internet for trading; or .csv output. 

APPLICATION

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INSTITUTIONAL CLIENTS ONLY

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