Formulaic Alphas

..preview..

..

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):