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HangukQuant Research
Formulaic Alphas

Formulaic Alphas

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HangukQuant
Jun 07, 2023
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Formulaic Alphas
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In the previous post, we extended our notes on linear algebra, discussing the structure of linear operators and vector spaces (our updated notes):

Quantitative and Qualitative Treatments to Capital Markets; 615 pages; Notes on Abstract Linear Algebra (PART II)

Quantitative and Qualitative Treatments to Capital Markets; 615 pages; Notes on Abstract Linear Algebra (PART II)

HangukQuant
·
June 4, 2023
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For new readers who want to refer to our most updated advanced Russian Doll Python backtesting engine, refer to our post on shrinkage methods:

Quantitative Portfolio Management in Python - AQR EPO 2020 X Russian Doll

Quantitative Portfolio Management in Python - AQR EPO 2020 X Russian Doll

HangukQuant
·
May 10, 2023
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Our previous formulaic alpha report was here:

Formulaic Alphas

Formulaic Alphas

HangukQuant
·
June 1, 2023
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In the following weeks to come, we will round up the discussion on linear algebra, discuss novel methods of quantitative testing, get into the topic of numerical optimization and employ learnt techniques to portfolio management.

Here is our classical feature alpha report of the week:

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