We introduce a novel proxy for firm linkages, Characteristic Vector Linkages (CVLs). We use this concept to estimate firm linkages, first through Euclidean similarity, and then by applying Quantum Cognition Machine Learning (QCML) to similarity learning. We demonstrate that both methods can be used to construct profitable momentum spillover trading strategies, but QCML similarity outperforms the simpler Euclidean similarity.
Cite
@article{arxiv.2506.19856,
title = {Supervised Similarity for Firm Linkages},
author = {Ryan Samson and Adrian Banner and Luca Candelori and Sebastien Cottrell and Tiziana Di Matteo and Paul Duchnowski and Vahagn Kirakosyan and Jose Marques and Kharen Musaelian and Stefano Pasquali and Ryan Stever and Dario Villani},
journal= {arXiv preprint arXiv:2506.19856},
year = {2025}
}