2 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.PM2016
101 Formulaic Alphas
Zura Kakushadze
We present explicit formulas - that are also computer code - for 101 real-life quantitative trading alphas. Their average holding period approximately ranges 0.6-6.4 days. The aver…