Quantpedia· Cyril Dujava·· 15 days agoAI Score62
A century of meme stock research: identifying speculative characteristics using market data, with a weekly portfolio achieving a five-factor plus momentum alpha of 11.5% annualized
A Century of Meme Stocks and the Price of Coordination
AI summary
The SSRN paper "A Century of Meme Stocks and the Price of Coordination" proposes training machine learning models using market and company data to identify meme stocks, extending the traceable "memeness" indicator back to 1926.
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Options and VolatilityFactor InvestingMachine LearningPaper Research#Papers / Research#Machine Learning#US Stocks#Factor Investing#Volatility#SSRN