Formulaic Alphas

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This is our classical alpha report post. The next is a continuation of the market notes on convex optimization. We then release our notes on volatility estimation. Code will be provided. We have also written the first prototype for code on options backtesting, which we will roll out to paid readers.

I am in Japan for a week effective today on travel, so excuse any late replies.

Cheers - happy trading!

Report (paid readers):