1.
SSRN에 올라오는 논문을 보다가 친숙한 이름이 있습니다. Zura Kakushadze입니다. 교수이면서 Quantlogic의 대표를 맡고 있습니다. LinkedIn에 올린 이력을 보면 대단합니다.
Zura Kakushadze received his Ph.D. in theoretical physics from Cornell University at 23, was a Postdoctoral Fellow at Harvard University, and an Assistant Professor at the C.N. Yang Institute for Theoretical Physics at Stony Brook. Dr. Kakushadze received the Alfred P. Sloan Fellowship in 2001. After expanding into quantitative finance, he was a Director at RBC Capital Markets, Managing Director at WorldQuant, Executive Vice President and substantial shareholder at Revere Data, Adjunct Professor at UConn, and currently is the President and co-owner of Quantigic Solutions and a Full Professor at Free University of Tbilisi. He has 110+ publications in physics, finance and other fields, 3,300+ citations and h-index 31 (physics), 41,000+ downloads and top-10 twelve-month rank on SSRN (finance), and 200,000+ followers on LinkedIn
SSRN에 등록한 논문만 35편입니다. 다운로드횟수를 따지면 89,395번으로 69등입니다. SSRN에 등록한 논문목록중 일부입니다. Alpha와 관련한 논문이 많습니다.
4-Factor Model for Overnight Returns
Combining Alphas via Bounded Regression
Russian-Doll Risk Models
Path Integral and Asset Pricing
Custom v. Standardized Risk Models
Notes on Alpha Stream Optimization
Factor Models for Alpha Streams
On Origins of Alpha
Combining Alpha Streams with Costs
A Spectral Model of Turnover Reduction
Ho and Lee Model on a String
Can Turnover Go to Zero?
Is It Possible to OD on Alpha?
2.
논문중 가장 많은 다운로드를 기록한 논문은 101 Formulaic Alphas 입니다. 초록을 읽으면 이 논문이 왜 다운로드 횟수가 높은지 알 수 있습니다. 알파를 계산하는 101개의 computer code 를 제공하기때문입니다. 논문 부록으로 실려있습니다.
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.
개인적으로 삼성증권 김동영 위원의 퀀트 보고서들에서 소개하였던 Factor Book과 비교해보시면 좋을 듯 합니다.
