101 formulaic alphas

Z Kakushadze - Wilmott, 2016 - Wiley Online Library
We present explicit formulas – that are also computer code – for 101 real‐life quantitative
trading alphas. Their average holding period ranges from approximately 0.6 to 6.4 days. The …

151 Trading Strategies

Z Kakushadze, JA Serur - Z. Kakushadze and JA Serur, 2018 - papers.ssrn.com
We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks, …

[HTML][HTML] Estimating cost savings from early cancer diagnosis

Z Kakushadze, R Raghubanshi, W Yu - Data, 2017 - mdpi.com
We estimate treatment cost-savings from early cancer diagnosis. For breast, lung, prostate
and colorectal cancers and melanoma, which account for more than 50% of new incidences …

Mean-reversion and optimization

Z Kakushadze - Journal of Asset Management, 2015 - Springer
The purpose of these notes is to provide a systematic quantitative framework – in what is
intended to be a ‘pedagogical’ fashion – for discussing mean-reversion and optimization. We …

[HTML][HTML] * K-means and cluster models for cancer signatures

Z Kakushadze, W Yu - Biomolecular detection and quantification, 2017 - Elsevier
We present *K-means clustering algorithm and source code by expanding statistical
clustering methods applied in https://ssrn.com/abstract=2802753 to quantitative finance. *K-means …

Statistical risk models

Z Kakushadze, W Yu - arXiv preprint arXiv:1602.08070, 2016 - arxiv.org
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 (…

Coronavirus: Case for digital money?

Z Kakushadze, JKS Liew - arXiv preprint arXiv:2005.10154, 2020 - arxiv.org
We discuss the pros of adopting government-issued digital currencies as well as a supranational
digital iCurrency. One such pro is to get rid of paper money (and coinage), a ubiquitous …

How to combine a billion alphas

Z Kakushadze, W Yu - Journal of Asset Management, 2017 - Springer
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 $${\mathcal {O}}(N^3)$$ O ( N 3 ) …

Statistical industry classification

Z Kakushadze, W Yu - arXiv preprint arXiv:1607.04883, 2016 - arxiv.org
We give complete algorithms and source code for constructing (multilevel) statistical industry
classifications, including methods for fixing the number of clusters at each level (and the …

CryptoRuble: from Russia with love

Z Kakushadze, JKS Liew - arXiv preprint arXiv:1801.05760, 2018 - arxiv.org
We discuss Russia's underlying motives for issuing its government-backed cryptocurrency,
CryptoRuble, and the implications thereof and of other likely-soon-forthcoming government-…