101 Formulaic alphas：101 Formulaic Alphas [阅读笔记]
101 Formulaic Alphas [阅读笔记]
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2021年8月31日—二、FormulaicAlphas的基础组件.1）公式化alpha为“均值回归”，mean-reversion，公式如下：.。其他文章還包含有：「(PDF)101FormulaicAlphas」、「101FormulaicAlphas」、「101FormulaicAlphas」、「101FormulaicAlphasbyZuraKakushadze」、「ASimplerWaytoCalculateWorldQuant101Alphas」、「WorldQuant101Alphas及一些思考」、「[1601.00991]101FormulaicAlphas」
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(PDF) 101 Formulaic Alphas
https://www.academia.edu
In this paper, we compare the performance of equal- and value-weighted port- folios formed from stocks in the large-, medium- and small-cap S&P indices. We find ...
101 Formulaic Alphas
https://arxiv.org
In this paper we take another step and present explicit formulas – that are also computer code – for 101 real-life quant trading alphas. Our ...
101 Formulaic Alphas
https://github.com
The expressions below that define the 101 formulaic alphas contain functions for both time-series and cross-sectional computations. Cross-section ...
101 Formulaic Alphas by Zura Kakushadze
https://papers.ssrn.com
Abstract. We present explicit formulas - that are also computer code - for 101 real-life quantitative trading alphas.
A Simpler Way to Calculate WorldQuant 101 Alphas
https://medium.com
The formulas of 101 quantitative trading alphas used by WorldQuant were presented in the paper 101 Formulaic Alphas. However, some formulas are complex, ...
WorldQuant 101 Alphas及一些思考
https://zhuanlan.zhihu.com
公布这些因子的人说，其中有80%仍在使用，我认为参数肯定不会是这样原封不动参数不改得用，发出来只是为了表明“这些因子很厉害，你过来商量一下价格吧”。
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[1601.00991] 101 Formulaic Alphas
https://arxiv.org
Abstract: We present explicit formulas - that are also computer code - for 101 real-life quantitative trading alphas.