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Overview of Quantopian-Based Paper on Momentum with Volatility Timing Webinar Video Available

Yesterday, we hosted a live webinar with Yulia Malitskaia. In this webinar, Yulia discussed her Quantopian-based research presented in the paper "Momentum with Volatility Timing”. The paper addresses the active topic of factor timing for dynamic multi-factor investing by introducing the volatility-timed winners approach that applies past volatilities as a timing predictor to mitigate momentum factor underperformance. The proposed approach was confirmed with Spearman rank correlation. Furthermore, the paper demonstrated the performance of the proposed method in relation to the conventional cross-sectional momentum factor, volatility scaling, risk-based asset allocation, and time-series momentum.

You can view her forum post for the paper here.

Overall, the study addresses three momentum instantiations: factor, the basis for index construction, and trading strategy. Quantopian has been instrumental for conducting this composite study and the webinar provides an overview of the different aspects of the research alongside the Quantopian platform and tools.

The webinar video can be watched below.

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As always, if there are any topics you would like us to focus on for future videos, please comment below or send us a quick note at [email protected].


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