2015年底World Quant发表了论文《101 Formulaic Alpha》,论文中给出了101个现实中的alpha。 改一两行就能换alpha哦~~ 网页链接 原文pdf: 网页链接 ——We emphasize that the 101 alphas we present here are not “toy” alphas but real-life trading alphas used in production. In fact, 80 of these alph...
该Repository下每个文件下是对World Quant 101 alphas中的一个的复制,其中WQ_Alphas_Analysis.py是计算各个因子的代码,以及对因子进行分组分析的代码,而类似#041文件下下的alpha#41.py是第41号因子策略化的代码,回测系统使用的是量子金服云宽客策略平台。
Alpha#10: rank(((0 < ts_min(delta(close, 1), 4)) ? delta(close, 1) : ((ts_max(delta(close, 1), 4) < 0) ? delta(close, 1) : (-1 * delta(close, 1))) Alpha#11: ((rank(ts_max((vwap - close), 3)) + rank(ts_min((vwap - close), 3))) * rank(delta(volume,...
我发表了新文章:2015年底World Quant发表了论文《101 Formulaic Alpha》,论文中给出了101个现实中的alpha。 http://t.cn/RIhG507
Cold Spring Harb Symp Quant Biol 75:357–364. https://doi.org/10.1101/sqb.2010.75.060 Article CAS PubMed Google Scholar Biscotti MA, Canapa A, Forconi M, Olmo E, Barucca M (2015) Transcription of tandemly repetitive DNA: functional roles. Chromosome Res 23:463–477. https://doi.org...
where β quantifies how quickly waste grows per amount of waste already in the country and Aij is the normalized amount of waste exported by country i to country j. In a period of time, let say from January to December of a given year, the amount of waste accumulated at a given count...
world quant 一下搞这么多alpha策略,还要确保这些alpha之间相关性极低,这样他们就可以同时挖掘这些alpha,并且可以抵消这些alpha中间可能存在的交易手续费。这就是大资金的门槛啊。 û收藏 转发 评论 ñ1 评论 o p 同时转发到我的微博 按热度 按时间 正在加载,请稍候......
J Financ Quant Anal 50(5):1037–1056 Article Google Scholar Barry C, Goldreyer E, Lockwood L, Rodriguez M (2002) Robustness of size and value effects in emerging equity markets, 1985–2000. Emerg Mark Rev 3(1):1–30 Article Google Scholar Bartram SM, Bodnar GM (2009) No place to...
WSH holds stock in OmegaQuant Analytics, LLC, a laboratory that offers FA testing. AB and KR are employees of GOED, a 501(c)6 not-for profit trade association. GOED's goals are to increase consumption of n3s to adequate levels around the world and to ensure that the industry is produci...
In 2013, Quantcast was widely believed to be among the top five of world's largest data processing companies. Holding offices in London, Dublin, New York and Chicago, the main headquarters of Quantcast is in San Francisco, CA. Unfortunately, our database contains no Quantcast rank data for...