Alpha of The Week (#99)
Preview of Alpha Report:
In the previous post, we looked at Post Earnings Announcment Drift as quantitative formulaic alpha.
In next post, we revisit our lecture notes, and introduce Girsanov theorem and risk-neutral pricing. We have developed enough theory to look at the central pricing equation (Iqbal) under dynamic hedging arguments - we will then develop a chapter on risk premiums in our lecture notes. This was first discussed in an earlier post:
Happy Trading.
AOTW Report: