[throw0101c]

> I always assumed any momentum effectiveness was arbitrage on trader volume scales differing by order of magnitude.

It's an area of active research:

> Students of financial economics have largely attributed the appearance of momentum to cognitive biases, which belong in the realm of behavioral economics. The explanation is that investors are irrational,[4][5] in that they underreact to new information by failing to incorporate news in their transaction prices. However, much as in the case of price bubbles, other research has argued that momentum can be observed even with perfectly rational traders.[6]

* https://en.wikipedia.org/wiki/Momentum_(finance)

* https://en.wikipedia.org/wiki/Carhart_four-factor_model

Though the market, size, and value factors appear to explain >90% of returns (at least using US data):

* https://www.ifa.com/articles/momentum_fourth_factor