Formulaic Alphas
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This is our classical alpha report post. In a few days, we will release a continuation of the market notes on convex optimization. A few days after that, we release our notes on volatility estimation, covering the standard ones such as time-series GARCH models, Garman-Klass so on and so forth. We will write code for that and test the volatility estimators on real datasets.
Cheers - happy trading!
Report (paid readers):