2016/01/31 by Zura Kakushadze · 3 citations
Economics, Econometrics and Finance · #q-fin.PM
published as Wilmott Magazine 2016(84) (2016) 72-80 · 22 pages; no changes (excepting this line); to appear in Wilmott Magazine
arxiv created 2016/03/18 · arxiv updated 2016/08/01
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 average pair-wise correlation of these alphas is low, 15.9%. The returns are strongly correlated with volatility, but have no significant dependence on turnover, directly confirming an earlier result based on a more indirect empirical analysis. We further find empirically that turnover has poor explanatory power for alpha correlations.