Matches in SemOpenAlex for { <https://semopenalex.org/work/W3124579215> ?p ?o ?g. }
Showing items 1 to 63 of
63
with 100 items per page.
- W3124579215 abstract "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." @default.
- W3124579215 created "2021-02-01" @default.
- W3124579215 creator A5019796246 @default.
- W3124579215 date "2016-03-01" @default.
- W3124579215 modified "2023-09-27" @default.
- W3124579215 title "101 Formulaic Alphas" @default.
- W3124579215 hasPublicationYear "2016" @default.
- W3124579215 type Work @default.
- W3124579215 sameAs 3124579215 @default.
- W3124579215 citedByCount "14" @default.
- W3124579215 countsByYear W31245792152017 @default.
- W3124579215 countsByYear W31245792152019 @default.
- W3124579215 countsByYear W31245792152020 @default.
- W3124579215 countsByYear W31245792152021 @default.
- W3124579215 crossrefType "posted-content" @default.
- W3124579215 hasAuthorship W3124579215A5019796246 @default.
- W3124579215 hasConcept C105795698 @default.
- W3124579215 hasConcept C117220453 @default.
- W3124579215 hasConcept C121332964 @default.
- W3124579215 hasConcept C149782125 @default.
- W3124579215 hasConcept C162324750 @default.
- W3124579215 hasConcept C2524010 @default.
- W3124579215 hasConcept C2777402642 @default.
- W3124579215 hasConcept C33923547 @default.
- W3124579215 hasConcept C62520636 @default.
- W3124579215 hasConcept C91602232 @default.
- W3124579215 hasConceptScore W3124579215C105795698 @default.
- W3124579215 hasConceptScore W3124579215C117220453 @default.
- W3124579215 hasConceptScore W3124579215C121332964 @default.
- W3124579215 hasConceptScore W3124579215C149782125 @default.
- W3124579215 hasConceptScore W3124579215C162324750 @default.
- W3124579215 hasConceptScore W3124579215C2524010 @default.
- W3124579215 hasConceptScore W3124579215C2777402642 @default.
- W3124579215 hasConceptScore W3124579215C33923547 @default.
- W3124579215 hasConceptScore W3124579215C62520636 @default.
- W3124579215 hasConceptScore W3124579215C91602232 @default.
- W3124579215 hasLocation W31245792151 @default.
- W3124579215 hasOpenAccess W3124579215 @default.
- W3124579215 hasPrimaryLocation W31245792151 @default.
- W3124579215 hasRelatedWork W1567387727 @default.
- W3124579215 hasRelatedWork W1975201751 @default.
- W3124579215 hasRelatedWork W1995834279 @default.
- W3124579215 hasRelatedWork W2013473778 @default.
- W3124579215 hasRelatedWork W2064675550 @default.
- W3124579215 hasRelatedWork W2153580489 @default.
- W3124579215 hasRelatedWork W2241435895 @default.
- W3124579215 hasRelatedWork W2292010328 @default.
- W3124579215 hasRelatedWork W2333022893 @default.
- W3124579215 hasRelatedWork W2744043447 @default.
- W3124579215 hasRelatedWork W2768348081 @default.
- W3124579215 hasRelatedWork W2952042565 @default.
- W3124579215 hasRelatedWork W2952541584 @default.
- W3124579215 hasRelatedWork W3121726954 @default.
- W3124579215 hasRelatedWork W3122836544 @default.
- W3124579215 hasRelatedWork W3124704628 @default.
- W3124579215 hasRelatedWork W3149896228 @default.
- W3124579215 hasRelatedWork W3159002396 @default.
- W3124579215 hasRelatedWork W3209495297 @default.
- W3124579215 hasRelatedWork W1605449377 @default.
- W3124579215 isParatext "false" @default.
- W3124579215 isRetracted "false" @default.
- W3124579215 magId "3124579215" @default.
- W3124579215 workType "article" @default.