Zura Kakushadze

Quantigic Solutions LLC

President and CEO

1127 High Ridge Road #135

Stamford, CT 06905

United States

http://www.linkedin.com/in/zurakakushadze

Free University of Tbilisi

Full Professor

Business School and School of Physics

240, David Agmashenebeli Alley

Tbilisi, 0159

Georgia

SCHOLARLY PAPERS

36

DOWNLOADS
Rank 58

SSRN RANKINGS

Top 58

in Total Papers Downloads

95,912

CITATIONS

1

Scholarly Papers (36)

1.

Mean-Reversion and Optimization

Journal of Asset Management 16(1) (2015) 14-40
Number of pages: 41 Posted: 11 Aug 2014 Last Revised: 15 Feb 2016
Zura Kakushadze
Quantigic Solutions LLC
Downloads 2,531 (289)

Abstract:

Mean-reversion, optimization, pair trading, regression, Sharpe ratio, objective function, trading costs, constraints, bounds, factor models

2.
Downloads 1,466 ( 9,538)

Combining Alpha Streams with Costs

The Journal of Risk 17(3) (2015) 57-78
Number of pages: 21 Posted: 21 May 2014 Last Revised: 24 Feb 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 1,466 (9,340)

Abstract:

hedge fund, alpha stream, crossing trades, transaction costs, impact, portfolio turnover, investment allocation, weight optimization

Combining Alpha Streams with Costs

Journal of Risk, Vol. 17, No. 3, 2015
Number of pages: 22 Posted: 24 Jun 2016
Zura Kakushadze
Quantigic Solutions LLC
Downloads 0
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Abstract:

alpha stream, crossing trades, transaction costs, impact, portfolio turnover, investment allocation

3.

Heterotic Risk Models

Wilmott Magazine 2015(80) (2015) 40-55
Number of pages: 41 Posted: 30 Apr 2015 Last Revised: 25 Jan 2016
Zura Kakushadze
Quantigic Solutions LLC
Downloads 1,417 (2,450)

Abstract:

multi-factor risk model, risk factors, optimization, regression, specific risk, factor risk, mean-reversion, covariance matrix, correlation matrix, factor loadings, dollar neutrality, style factors, industry factors, principal components

4.

Phynance

Univ. J. Phys. Appl. 9(2) (2015) 64-133
Number of pages: 111 Posted: 08 May 2014 Last Revised: 12 Apr 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 1,206 (712)

Abstract:

Lecture notes, derivative pricing, path integral, stochastic calculus, options

5.

4-Factor Model for Overnight Returns

Wilmott Magazine 2015(79) (2015) 56-62
Number of pages: 19 Posted: 20 Oct 2014 Last Revised: 24 Sep 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 935 (2,877)

Abstract:

risk factors, overnight returns, price, size, volatility, momentum, liquidity, volume, Fama-MacBeth regression, intraday, t-statistic, mean-reversion

6.

Path Integral and Asset Pricing

Quantitative Finance 15(11) (2015) 1759-1771, Featured Article
Number of pages: 30 Posted: 07 Oct 2014 Last Revised: 11 Aug 2016
Zura Kakushadze
Quantigic Solutions LLC
Downloads 669 (2,341)

Abstract:

Path integral, asset pricing, short-rate models, Vasicek model, Hull-White model, Black-Karasinski model, pricing function, stochastic differential equation, quantum mechanics, perturbation theory, Feynman diagrams

7.

Performance v. Turnover: A Story by 4,000 Alphas

The Journal of Investment Strategies 5(2) (2016) 75-89, Invited Investment Strategy Forum Paper
Number of pages: 17 Posted: 10 Sep 2015 Last Revised: 22 Mar 2016
Zura Kakushadze and Igor Tulchinsky
Quantigic Solutions LLC and WorldQuant LLC
Downloads 568 (1,099)

Abstract:

performance, turnover, return, alpha, hedge fund, portfolio, cents-per-share, volatility, P&L, equities, quantitative trading, empirical analysis

8.

Combining Alphas via Bounded Regression

Risks 3(4) (2015) 474-490
Number of pages: 20 Posted: 17 Jan 2015 Last Revised: 05 Nov 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 526 (5,106)

Abstract:

hedge fund, alpha stream, alpha weights, portfolio turnover, investment allocation, weighted regression, diversification, bounds, optimization, factor models

9.

On Origins of Alpha

The Hedge Fund Journal 108 (2015) 47-50
Number of pages: 8 Posted: 08 Mar 2015 Last Revised: 05 Nov 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 465 (2,230)

Abstract:

market efficiency, alpha, earnings, buybacks, dividends, universal crossing engine, market bubbles, mutual funds, pension funds, high frequency trading, transaction costs

10.

Notes on Alpha Stream Optimization

The Journal of Investment Strategies 4(3) (2015) 37-81
Number of pages: 42 Posted: 06 Jun 2014 Last Revised: 26 Jun 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 441 (5,051)

Abstract:

hedge fund, alpha stream, crossing trades, transaction costs, impact, portfolio turnover, investment allocation, weight optimization

11.

Custom v. Standardized Risk Models

Risks 3(2) (2015) 112-138
Number of pages: 30 Posted: 09 Sep 2014 Last Revised: 21 May 2015
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Downloads 436 (6,533)

Abstract:

Risk model, multi-factor, risk factor, short horizon, quant trading, style, industry, specific risk, factor risk, alpha, portfolio optimization, regression

12.

Factor Models for Alpha Streams

The Journal of Investment Strategies 4(1) (2014) 83-109
Number of pages: 27 Posted: 14 Jun 2014 Last Revised: 16 Jan 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 409 (5,155)

Abstract:

factor model, alpha stream, style factor, cluster, optimization, covariance matrix, factor loadings, specific risk, turnover, capacity, momentum, volatility

13.

Russian-Doll Risk Models

Journal of Asset Management 16(3) (2015) 170-185
Number of pages: 25 Posted: 15 Dec 2014 Last Revised: 30 Jul 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 408 (12,098)

Abstract:

multi-factor risk model, risk factors, optimization, regression, specific risk, factor risk, mean-reversion, covariance matrix, correlation matrix, factor loadings, dollar neutrality, style factors, industry factors

14.

Coping with Negative Short-Rates

Wilmott Magazine 2016(81) (2016) 58-68
Number of pages: 30 Posted: 10 Feb 2015 Last Revised: 25 Jan 2016
Zura Kakushadze
Quantigic Solutions LLC
Downloads 328 (4,472)

Abstract:

Short-rate models, Ho and Lee model, time-dependent drift, volatility, bond prices, bond option prices, reflecting barriers, Brownian motion, Neumann boundary conditions, Schrodinger equation, yield

15.

A Spectral Model of Turnover Reduction

Econometrics 3(3) (2015) 577-589
Number of pages: 15 Posted: 21 Apr 2014 Last Revised: 07 Nov 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 279 (30,930)
Citation 1

Abstract:

hedge fund, alpha stream, crossing trades, transaction costs, portfolio turnover, correlation structure, large N limit

16.

Can Turnover Go to Zero?

Journal of Derivatives & Hedge Funds 20(3) (2014) 157-176
Number of pages: 28 Posted: 01 Jun 2014 Last Revised: 08 Jan 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 170 (59,143)

Abstract:

hedge fund, alpha stream, crossing trades, portfolio turnover, factor model, correlation structure, large N limit, transaction costs

17.

Is It Possible to OD on Alpha?

The Journal of Alternative Investments 18(2) (2015) 39-49
Posted: 03 Apr 2014 Last Revised: 13 Nov 2015
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School

Abstract:

hedge fund, alpha stream, crossing trades, transaction costs, portfolio turnover, correlation structure, large N limit

18.
Downloads 168 (149,456)

An Index for SSRN Downloads

Journal of Informetrics 10(1) (2016) 9-28
Number of pages: 41 Posted: 05 Sep 2015 Last Revised: 16 Dec 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 168 (149,505)

Abstract:

SSRN downloads, quantitative index, h-index, g-index, citations, log-normal, exponential

19.

Dead Alphas as Risk Factors

Journal of Asset Management (Forthcoming), Invited Editorial
Number of pages: 9 Posted: 01 Aug 2017 Last Revised: 03 Sep 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 0 (67,793)

Abstract:

Expected Return, Stock, Equities, Market, Alpha, Optimization, Trading, Quant, Weights, Asset Allocation, Portfolio, Risk Model, Risk Factor, Specific Risk, Regression, Factor Model, Principal Components, Volatility, Correlation, Covariance, Sharpe Ratio, Position Data, Machine Learning, Source Code

20.

Estimating Cost Savings from Early Cancer Diagnosis

Data 2(3) (2017) 30
Number of pages: 22 Posted: 28 May 2017 Last Revised: 05 Sep 2017
Zura Kakushadze, Rakesh Raghubanshi and Willie Yu
Quantigic Solutions LLC, Two29 Consulting LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 0 (194,464)

Abstract:

cancer, costs, incidence, stage, early diagnosis, treatment, data

21.

Decoding Stock Market with Quant Alphas

Journal of Asset Management (Forthcoming)
Number of pages: 20 Posted: 10 May 2017 Last Revised: 10 Aug 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 0 (10,670)

Abstract:

forecasting, expected return, stock, equities, market, alpha, optimization, trading, quant, weights, asset allocation, portfolio, risk model, specific risk, regression, factor model, principal components, volatility, correlation, covariance, Sharpe ratio, position data, machine learning, source code

22.

Open Source Fundamental Industry Classification

Data 2(2) (2017) 20
Number of pages: 68 Posted: 19 Apr 2017 Last Revised: 18 Jun 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 0 (39,256)

Abstract:

Industry classification, fundamental, open source, source code, stocks, hierarchy, GICS, BICS, ICB, NAICS, SIC, TRBC, quantitative trading, trading signal, alpha, risk model, mean-reversion, optimization, short-horizon, backtest, simulation, download

23.

Mutation Clusters from Cancer Exome

Genes 8(8) (2017) 201
Number of pages: 84 Posted: 04 Apr 2017 Last Revised: 16 Aug 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 0 (110,756)

Abstract:

Clustering, K-Means, Nonnegative Matrix Factorization, Somatic Mutation, Cancer Signatures, Genome, Exome, DNA, eRank, Correlation, Covariance, Machine Learning, Sample, Matrix, Source Code, Quantitative Finance, Statistical Risk Model, Industry Classification

24.

*K-Means and Cluster Models for Cancer Signatures

Biomolecular Detection and Quantification (Forthcoming)
Number of pages: 124 Posted: 01 Feb 2017 Last Revised: 19 Jul 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 0 (17,792)

Abstract:

Clustering, K-Means, Nonnegative Matrix Factorization, Somatic Mutation, Cancer Signatures, Genome, Exome, DNA, eRank, Correlation, Covariance, Machine Learning, Sample, Matrix, Source Code, Quantitative Finance, Statistical Risk Model, Industry Classification, Bonds, Foreign Exchange, Alphas

25.

Does the Universe Have a Hard Drive?

European Scientific Journal 13(3) (2017) 1-6, Invited Editorial
Number of pages: 6 Posted: 05 Dec 2016 Last Revised: 01 Feb 2017
Zura Kakushadze
Quantigic Solutions LLC
Downloads 0 (16,547)

Abstract:

quantum computer, universe, laws of nature, physics, information, paradox, gravity, hard drive, storage, Standard Model, string theory

26.

On Origins of Bubbles

Journal of Risk & Control 4(1) (2017) 1-30
Number of pages: 26 Posted: 29 Aug 2016 Last Revised: 31 Jul 2017
Zura Kakushadze
Quantigic Solutions LLC
Downloads 0 (18,338)

Abstract:

Bubble, Skewed Distribution, Stock Price, Volatility, Return, Dividends, Buybacks, Binomial Tree, Brownian Motion, Uncertainty Principle, Market Cap, Price-To-Book, Sectors, Time Ordering

27.

Volatility Smile as Relativistic Effect

Physica A 475 (2017) 59-76
Number of pages: 32 Posted: 24 Aug 2016 Last Revised: 03 Mar 2017
Zura Kakushadze
Quantigic Solutions LLC
Downloads 0 (28,466)

Abstract:

volatility smile, fat tails, probability distribution, relativistic, Brownian motion, option pricing, Levy process, path integral, Hamiltonian, self-financing, Euclidean, Minkowski, rest energy, diffusion, stochastic, reparametrization invariance, tower law, martingale

28.

Statistical Industry Classification

Journal of Risk & Control 3(1) (2016) 17-65, Invited Editorial
Number of pages: 44 Posted: 03 Jul 2016 Last Revised: 10 Mar 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 0 (4,595)

Abstract:

industry classification, clustering, cluster numbers, machine learning, statistical risk models, industry risk factors, optimization, regression, mean-reversion, correlation matrix, factor loadings, principal components, hierarchical agglomerative clustering, k-means, statistical methods, multilevel

29.

Factor Models for Cancer Signatures

Physica A 462 (2016) 527-559
Number of pages: 70 Posted: 01 May 2016 Last Revised: 10 Apr 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 0 (12,453)

Abstract:

factor models, principal components, statistical risk models, nonnegative matrix factorization, somatic mutations, cancer signatures, genome, exome, DNA, eRank, correlation, covariance, serial, cross-sectional, sample, matrix

30.

How to Combine a Billion Alphas

Journal of Asset Management 18(1) (2017) 64-80
Number of pages: 23 Posted: 29 Feb 2016 Last Revised: 15 Dec 2016
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 0 (2,869)

Abstract:

alpha, optimization, regression, risk factor, factor model, style factor, principal component, volatility, turnover, momentum, correlation, covariance, variance, equities, Sharpe ratio

31.

Statistical Risk Models

The Journal of Investment Strategies 6(2) (2017) 1-40
Number of pages: 44 Posted: 15 Feb 2016 Last Revised: 12 Mar 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 0 (1,308)

Abstract:

statistical risk models, multi-factor risk model, risk factors, optimization, regression, specific risk, factor risk, mean-reversion, covariance matrix, correlation matrix, factor loadings, dollar neutrality, style factors, industry factors, principal components, shrinkage

32.

Multifactor Risk Models and Heterotic CAPM

The Journal of Investment Strategies 5(4) (2016) 1-49
Number of pages: 49 Posted: 26 Jan 2016 Last Revised: 10 Sep 2016
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 0 (1,646)

Abstract:

multi-factor risk model, risk factors, optimization, regression, specific risk, factor risk, mean-reversion, covariance matrix, correlation matrix, factor loadings, dollar neutrality, style factors, industry factors, principal components

33.

101 Formulaic Alphas

Wilmott Magazine 2016(84) (2016) 72-80
Number of pages: 22 Posted: 10 Dec 2015 Last Revised: 29 Jul 2016
Zura Kakushadze
Quantigic Solutions LLC
Downloads 0 (68)

Abstract:

formulaic alpha, performance, turnover, return, alpha, hedge fund, portfolio, cents-per-share, volatility, P&L, equities, quantitative trading, empirical analysis, correlation

34.

FX Options in Target Zone

Quantitative Finance 17(10) (2017) 1477-1486, Featured Article
Number of pages: 25 Posted: 06 Dec 2015 Last Revised: 16 Sep 2017
Peter Carr and Zura Kakushadze
New York University (NYU) - Courant Institute of Mathematical Sciences and Quantigic Solutions LLC
Downloads 0 (17,819)

Abstract:

FX, options, target zone, attainable boundaries, Brownian motion, volatility, drift, reflecting barriers

35.

Shrinkage = Factor Model

Journal of Asset Management 17(2) (2016) 69-72, Invited Editorial
Number of pages: 5 Posted: 04 Nov 2015 Last Revised: 14 Feb 2016
Zura Kakushadze
Quantigic Solutions LLC
Downloads 0 (13,137)

Abstract:

Shrinkage, factor models, principal components, sample covariance matrix, regularization scheme, style risk factors, industry risk factors, specific risk, factor risk, factor covariance matrix, out-of-sample stability

36.

iGDP?

The Journal of Portfolio Management 41(3) (2015) 4-6, Invited Editorial
Posted: 26 Dec 2014 Last Revised: 04 Jun 2015
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School

Abstract:

GDP, universal numeraire, FX rates, purchasing power parity, cryptocurrency, supply and demand, universal world currency

Other Papers (3)

Total Downloads: 4,238    Citations: 0
1.

How to Pick a Career… or Two

Intel. Prop. Rights 4(1) (2016) 149, Invited Opinion Article
Number of pages: 3 Posted: 08 Feb 2016 Last Revised: 15 Jul 2016
Zura Kakushadze
Quantigic Solutions LLC
Downloads 0

Abstract:

career choice, discipline, mentor, personality

2.

How to Give a Good Talk

European Scientific Journal 12(1) (2016) 1-10, Invited Editorial
Number of pages: 12 Posted: 07 Dec 2015 Last Revised: 03 Feb 2016
Zura Kakushadze
Quantigic Solutions LLC
Downloads 0

Abstract:

presentation, talk, slides, public speaking, finance

3.

A Simple Trick to Protect Your IP

Intel. Prop. Rights 3(2) (2015) 146, Invited Opinion Article
Number of pages: 2 Posted: 16 Oct 2015
Zura Kakushadze
Quantigic Solutions LLC
Downloads 0

Abstract:

copyright registration, obfuscation, intellectual property trust, security by obscurity, source code