英文标题：
《Decoding Stock Market with Quant Alphas》
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作者：
Zura Kakushadze and Willie Yu
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最新提交年份：
2017
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英文摘要：
  We give an explicit algorithm and source code for extracting expected returns for stocks from expected returns for alphas. Our algorithm altogether bypasses combining alphas with weights into \"alpha combos\". Simply put, we have developed a new method for trading alphas which does not involve combining them. This yields substantial cost savings as alpha combos cost hedge funds around 3% of the P&L, while alphas themselves cost around 10%. Also, the extra layer of alpha combos, which our new method avoids, adds noise and suboptimality. We also arrive at our algorithm independently by explicitly constructing alpha risk models based on position data.
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中文摘要：
我们给出了从alphas预期收益中提取股票预期收益的显式算法和源代码。我们的算法完全绕过了将alpha与权重组合成“alpha组合”的过程。简单地说，我们开发了一种新的阿尔法交易方法，它不涉及组合阿尔法。这带来了巨大的成本节约，因为alpha组合使对冲基金的成本约为损益的3%，而alpha本身的成本约为10%。此外，我们的新方法避免了额外的alpha组合层，增加了噪声和次优性。我们还通过基于头寸数据显式构建阿尔法风险模型，独立得出了我们的算法。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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