3 papers
q-fin.RM2021
ETF Risk Models
Zura Kakushadze, Willie Yu
We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-)binary classification/taxonomy for ETFs, which is utilized in order to define…
q-fin.GN2019
iCurrency?
Zura Kakushadze, Willie Yu
We discuss the idea of a purely algorithmic universal world iCurrency set forth in [Kakushadze and Liew, 2014] (https://ssrn.com/abstract=2542541) and expanded in [Kakushadze and L…
q-fin.PM2019
Altcoin-Bitcoin Arbitrage
Zura Kakushadze, Willie Yu
We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns dis…