HangukQuant Research

HangukQuant Research

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HangukQuant Research
Formulaic Alphas
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Formulaic Alphas

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HangukQuant
Jun 14, 2023
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HangukQuant Research
HangukQuant Research
Formulaic Alphas
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In the previous post, we studied and implemented in Python a novel hypothesis testing method for time-series seasonality using prime-cycle periodicity:

Seasonality in Commodities Market and Generalized Seasonality Test via Sequential Regression Testing of Prime Cycle Periodicity

Seasonality in Commodities Market and Generalized Seasonality Test via Sequential Regression Testing of Prime Cycle Periodicity

HangukQuant and Quant Arb
·
June 9, 2023
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Before that was our classical alpha report:

Formulaic Alphas

Formulaic Alphas

HangukQuant
·
June 7, 2023
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which was after our notes on linear algebra as part of the capital market 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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In the posts to come, we continue and complete our series on abstract linear algebra, discussing new topics useful in computational problems such as invariant subspaces, diagonalization, isometries, jordan forms and singular value decomposition.

Happy trading!

Here is our alpha report (paid):

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