101 Formulaic alphas：WorldQuant 101 Alphas及一些思考
WorldQuant 101 Alphas及一些思考
2018年12月15日—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”。。其他文章還包含有：「(PDF)101FormulaicAlphas」、「101FormulaicAlphas」、「101FormulaicAlphas」、「101FormulaicAlphasbyZuraKakushadze」、「101FormulaicAlphas[阅读笔记]」、「ASimplerWaytoCalculateWorldQuant101Alphas」、「[1601.00991]101For...
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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.
![101 Formulaic Alphas [阅读笔记]](https://i0.wp.com/api.multiavatar.com/101+Formulaic+Alphas+%5B%E9%98%85%E8%AF%BB%E7%AC%94%E8%AE%B0%5D.png?apikey=viVnb6N20jclO8){kind=avatar}
101 Formulaic Alphas [阅读笔记]
https://zhuanlan.zhihu.com
二、 Formulaic Alphas 的基础组件. 1）公式化alpha为“均值回归”， mean-reversion， 公式如下：.
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, ...
![[1601.00991] 101 Formulaic Alphas](https://i0.wp.com/api.multiavatar.com/%5B1601.00991%5D+101+Formulaic+Alphas.png?apikey=viVnb6N20jclO8){kind=avatar}
[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.