Filings, Insiders & OwnershipExtended setexperimental liveNew

multi-hop network momentum spillover

Updated dailyData needs: highlong onlyshort onlylong short

2023

Lee, C., Sun, S.T., Wang, R. & Zhang, R. (2023). Technological Links and Predictable Returns. Review of Financial Studies.

Citation only, paper link pending.

In plain terms

It follows momentum not just from a company's closest peers but from the peers of those peers, since news tends to spread step by step through a web of related firms.

How it works

Propagates lagged neighbor price-momentum to a focal ticker over the TNIC product-similarity graph, but extends diffusion to two hops: direct (1-hop) neighbors plus decayed second-hop neighbors (weight multiplied by a per-hop decay). The signal therefore reaches further across the network than a direct-neighbors-only spillover.

Live results

52 times picked on its own · 90 times inside a blend (82 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 90 such blended picks (82 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Entity graph edges
A data feed this strategy reads, refreshed on its normal schedule.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Captures slow information diffusion that travels beyond immediate peers, picking up lead-lag predictability from indirectly linked firms.

Related families

cross-graph consensus momentum spilloverFilings, Insiders & Ownership

It looks at how a company's economically related peers (similar products, shared owners, shared board members) have been moving, and trades only when several of those peer networks point the same direction.

TNIC peer relative-value reversionFilings, Insiders & Ownership

When a company drifts away from its closest product-market rivals, it tends to drift back.

13F co-holder momentum spilloverFilings, Insiders & Ownership

When stocks owned by the same big funds move, this one tends to follow.

Explore multi-hop network momentum spillover on alphactor.ai

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