Research is being conducted on various algorithms to analyze momentum patterns in day-trade data from the major stock exchanges.
The HedgeTools Momentum Model is an implementation of a non-linear regression algorithm. It is based on current research that all began with the following seminal research papers and books:
Hutchinson , M.F., Hoog, F.R.: Smoothing Noisy Data with Spline Functions. Numerische Mathematik 47, 99-106 1985 (PDF)
Craven, P., Wahba, G.: Smoothing Noisy Data with Spline Functions. Numerische Mathematik 31, 377-403, 1979 (PDF)
Eubank, Randall L., Approximate Regression Models and Splines. Tech. Report 180, Office of Naval Research. 1983 (PDF)
Marsh, C., Cormier, D.: Spline Regression Models. Quantitative Applications in the Social Sciences. SAGE University Monograph, vol 137, 69 pages. (Amazon)
Eubank, R., Nonparametric Regression and Spline Smoothing, Second Edition (Statistics: a Series of Textbooks and Monographs) 1999 (Amazon)
Wahba, G.: Spline Models for Observational Data (CBMS-NSF Regional Conference Series in Applied Mathematics). 1990 (Amazon)