Characterizing Intraday Momentum Strategies

Systematic intraday momentum strategies in the US equity market aim to benefit from intraday long or short trending behavior, both to mitigate downward risk and be exposed to asymmetric and convex return profiles, particularly during crisis periods.

To assess their nature and behavior, statistical techniques are applied to decompose and measure the strategies’ sensitivity to the S&P 500 index across various intraday signals.

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