Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)

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The Effect of Momentum Strategy on the Stock Market - Based on the Linear Regression Model

Authors
Xiaonan Chen1, *
1Accounting Management, Scnu University, Guangzhou, Guangdong, China
*Corresponding author. Email: chenxiaonan@fjmu.edu.cn
Corresponding Author
Xiaonan Chen
Available Online 26 September 2023.
DOI
10.2991/978-94-6463-246-0_13How to use a DOI?
Keywords
Momentum Strategy; Linear Regression; Quantitative Finance
Abstract

With the development of the Internet and the increasing maturity of computer programming technology, the use of computer programming combined with mathematical models, which can assess the risk and return of financial markets, thus predicting the future market direction became a popular topic of interest. Quantitative finance is to fully capture the data changes in the financial market by computer and import the data into its designed mathematical model, so as to produce a series of accurate data results. Investors can make reasonable risk-return assessment based on the quantified data, making investment more rational. In this paper, people choose one of the strategies of quantitative finance, the momentum strategy, by selecting 100 stocks in the S&P 500, bringing them into the mathematical model for analysis, using parameters such as Sharpe ratio and max drawdown, and visualizing the data results to observe its overall direction with images. The results show that using the momentum strategy for the analysis, the overall trend of the stock is up and profitable, but after adding the transaction cost, the overall trend of the stock is down as the weight of the transaction cost increases, which means that it will face a large loss.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
26 September 2023
ISBN
10.2991/978-94-6463-246-0_13
ISSN
2352-5428
DOI
10.2991/978-94-6463-246-0_13How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Xiaonan Chen
PY  - 2023
DA  - 2023/09/26
TI  - The Effect of Momentum Strategy on the Stock Market - Based on the Linear Regression Model
BT  - Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)
PB  - Atlantis Press
SP  - 110
EP  - 119
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-246-0_13
DO  - 10.2991/978-94-6463-246-0_13
ID  - Chen2023
ER  -