In this section, we will create a cross-asset momentum model by having the prices of four diversified assets predict the returns of JPM on a daily basis for the year of 2018. The prior 1-month, 3-month, 6-month, and 1-year of lagged returns of the S&P 500 stock index, 10-year treasury bond index, US dollar index, and gold prices will be used for fitting our model. This gives us a total of 16 features. Let's begin by preparing our datasets for developing our models.
Predicting returns with a cross-asset momentum model
Preparing the independent variables
We will use Alpha Vantage again as our data provider. As this free service does not provide all of the dataset required for our investigation, we shall consider other...