7 citations · 8 across the 9 of their papers we have counts for
5 papers · 1 filter
Statistical Industry Classification
Zura Kakushadze, Willie Yu
We give complete algorithms and source code for constructing (multilevel) statistical industry classifications, including methods for fixing the number of clusters at each level (a…
Factor Models for Cancer Signatures
Zura Kakushadze, Willie Yu
We present a novel method for extracting cancer signatures by applying statistical risk models (http://ssrn.com/abstract=2732453) from quantitative finance to cancer genome data. U…
Multifactor Risk Models and Heterotic CAPM
Zura Kakushadze, Willie Yu
We give a complete algorithm and source code for constructing general multifactor risk models (for equities) via any combination of style factors, principal components (betas) and/…
How to Combine a Billion Alphas
Zura Kakushadze, Willie Yu
We give an explicit algorithm and source code for computing optimal weights for combining a large number N of alphas. This algorithm does not cost O(N^3) or even O(N^2) operations…
Statistical Risk Models
Zura Kakushadze, Willie Yu
We give complete algorithms and source code for constructing statistical risk models, including methods for fixing the number of risk factors. One such method is based on eRank (ef…