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Nicholas S

- Research Program Mentor

MS Master of Science candidate


The application of data science to investment analysis, financial analysis, trading analysis

Project ideas

Project ideas are meant to help inspire student thinking about their own project. Students are in the driver seat of their research and are free to use any or none of the ideas shared by their mentors.

Interaction Effects of Stock Characteristics on Common Momentum Signals

In stock trading, momentum is a popular factor to determine probable future performance. However, there are innumerable variations on the momentum factor, and they are not all equally predictive. The predictive nature of momentum may also vary across stock characteristics, e.g. market capitalization percentile relative to an index, price-to-book ratio, earnings growth etc. We seek to better understand the variance in the predictive power of the momentum factor by examining the most common expressions of the momentum and the interaction with commonly examined company characteristics. We will then discuss possible explanations for these effects and their implications on future performance and portfolio management.

Coding skills

python, C/C++, BASH, SQL, NoSQL, Tensorflow, Keras

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