Spatio-Temporal Momentum: Jointly Learning Time-Series and Cross-Sectional Strategies

by   Wee Ling Tan, et al.
University of Oxford

We introduce Spatio-Temporal Momentum strategies, a class of models that unify both time-series and cross-sectional momentum strategies by trading assets based on their cross-sectional momentum features over time. While both time-series and cross-sectional momentum strategies are designed to systematically capture momentum risk premia, these strategies are regarded as distinct implementations and do not consider the concurrent relationship and predictability between temporal and cross-sectional momentum features of different assets. We model spatio-temporal momentum with neural networks of varying complexities and demonstrate that a simple neural network with only a single fully connected layer learns to simultaneously generate trading signals for all assets in a portfolio by incorporating both their time-series and cross-sectional momentum features. Backtesting on portfolios of 46 actively-traded US equities and 12 equity index futures contracts, we demonstrate that the model is able to retain its performance over benchmarks in the presence of high transaction costs of up to 5-10 basis points. In particular, we find that the model when coupled with least absolute shrinkage and turnover regularization results in the best performance over various transaction cost scenarios.


page 11

page 14


Enhancing Time Series Momentum Strategies Using Deep Neural Networks

While time series momentum is a well-studied phenomenon in finance, comm...

Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity

Cross-sectional strategies are a classical and popular trading style, wi...

Is Dogecoin a Viable Investment? Insights from Network and Bubble Effects

We find that three factors: Dogecoin network externalities, momentum, an...

Sequential asset ranking in nonstationary time series

We extend the research into cross-sectional momentum trading strategies....

Learning to Learn Financial Networks for Optimising Momentum Strategies

Network momentum provides a novel type of risk premium, which exploits t...

Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection

Momentum strategies are an important part of alternative investments and...

Network Momentum across Asset Classes

We investigate the concept of network momentum, a novel trading signal d...

Please sign up or login with your details

Forgot password? Click here to reset