HangukQuant Research

HangukQuant Research

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Formulaic Alphas
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Formulaic Alphas

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HangukQuant
Jan 06, 2024
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Formulaic Alphas
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..preview..

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This is our classical alpha report post. Previous alpha report featured;

Formulaic Alphas

Formulaic Alphas

HangukQuant
·
December 24, 2023
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Next posts involve improvement of the backtesting module for options trading - last featured here:

Sketching the Option Backtester v2 (with Code downloadable for ALL readers)

Sketching the Option Backtester v2 (with Code downloadable for ALL readers)

HangukQuant
·
January 3, 2024
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This week’s report suggest intraday effects are strong in predicting 1-day forward returns. First root is a mean-reversion factor normalized by intraday range. Second root is the reciprocal of intraday returns.

Doesn’t appear to be a micro-cap feature, considering its performance on GSPC constituents. Practical considerations for harvesting this effect is decay/whether the returns are realized overnight or in the next day’s trading hours - either way, a very interesting feature that could affect risk exposures, including tilts - such as the aggressiveness for delta hedging and so on. Just a point of thought, that relates to our ongoing theme on volatility trading.

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