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tradingstrategy-ai · Nov 21, 2023 · ff4e6b2 · ff4e6b2
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@@ -84,9 +84,10 @@ This work proposes a system based on machine learning aimed at creating an inves
 
 `Read the paper <https://fenix.tecnico.ulisboa.pt/downloadFile/563345090417208/FinalThesis.pdf>`__.
 
+Pure Momentum in Cryptocurrency Markets
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+Momentum is one of the most widespread, persistent, and puz- zling phenomenon in asset pricing. The prevailing explanation for momentum is that investors under-react to new information, and thus asset prices tend to drift over time. We use a unique fea- ture of cryptocurrency markets: the fact that they are open 24/7, and report returns over the last 24 hours. Thus, the one-day re- turn is subject to predictable fluctuations based on the removal of lagged information. We show that investors respond positively to changes in reported returns that are unrelated to any new release of information, or change in the asset fundamentals. We call this behavioral anomaly “Pure Momentum”.
 
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+`Read the paper <https://assets.ctfassets.net/c5bd0wqjc7v0/4RzmvaUG64ixNPXWuZGXbo/7115cc7bef963d2ff5abbacf879f5b1e/SSRN-id4138685.pdf>`__.