Trends in financial markets: Uncovering the distribution of intensity and duration

Representing the collective consensus of global prescriptions of value, financial markets represent a sophisticated and complex system of academic and practitioner study. Quantitative and systematic investment strategies seek to understand characteristics of the market, and design investment strategies to profit off of those market features. A persistent and well-known market feature, known as trend, represents a particular observed feature of the market where it is possible to profit off a strategy that invests in recent winners and divests from recent losers. While there is a breadth of literature—both academic and practitioner alike—on the implementation of effective trend-following strategies, there has been comparatively little attention paid to comprehensive understanding of the global properties of trending markets. In this research project, we will perform a comprehensive characterization of market trends, providing a valuable tool for understanding both universal and regime-dependent aspects of trending markets.

Faculty Supervisor:

Jingjing Wu;Xuewen Lu

Student:

Partner:

Viewpoint Investment Partners Corporation

Discipline:

Mathematics

Sector:

Finance and Insurance

University:

University of Calgary

Program: