Zura Kakushadze

Quantigic Solutions LLC

President & CEO

680 E Main St #543

Stamford, CT 06901

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

  • Quantigic Solutions LLC

    • Email
    • Tel: 6462210440
    • Fax: 6467923264

  • Free University of Tbilisi

SCHOLARLY PAPERS

54

DOWNLOADS
Rank 17

SSRN RANKINGS

Top 17

in Total Papers Downloads

278,205

SSRN CITATIONS

51

CROSSREF CITATIONS

68

Scholarly Papers (54)

Actions:
Email selected abstracts
1.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361 Posted: 13 Sep 2018 Last Revised: 16 Sep 2019
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and NYU - Courant Institute of Mathematical Sciences
Downloads 68,396 (22)

Abstract:

Loading...

bond, cash, commodity, convertible bond, cryptocurrency, currency, distressed asset, energy, ETF, futures, global macro, index, infrastructure, market, option, backtesting, real estate, risk management, source code, statistical arbitrage, structured assets, tax arbitrage, trading strategy, weather

2.

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 41,129 (56)
Citation 3

Abstract:

Loading...

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

3.

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 17,344 (266)
Citation 8

Abstract:

Loading...

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

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 16,579 (289)

Abstract:

Loading...

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

5.

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 10,026 (739)
Citation 6

Abstract:

Loading...

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

6.

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 9,298 (852)
Citation 3

Abstract:

Loading...

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

7.

Machine Learning Risk Models

Journal of Risk & Control 6(1) (2019) 37-64
Number of pages: 26 Posted: 08 Jan 2019 Last Revised: 10 Apr 2019
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 7,262 (1,304)
Citation 6

Abstract:

Loading...

machine learning, risk model, clustering, k-means, statistical risk models, covariance, correlation, variance, cluster number, risk factor, optimization, regression, mean-reversion, factor loadings, principal component, industry classification, quant, trading, dollar-neutral, alpha, signal, backtest

8.

Quant Bust 2020

World Economics 21(2) (2020) 183-217
Number of pages: 29 Posted: 07 Apr 2020 Last Revised: 24 Jul 2020
Zura Kakushadze
Quantigic Solutions LLC
Downloads 6,925 (1,418)
Citation 1

Abstract:

Loading...

COVID-19, coronavirus, quant, quantitative, trading, strategy, statistical arbitrage, dollar-neutral, drawdown, loss, market, selloff, backtest, source code, optimization, regression, portfolio, risk, alpha, return, mean-reversion, momentum, machine learning, artificial intelligence, data mining

9.

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 6,250 (1,698)
Citation 2

Abstract:

Loading...

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

10.

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 6,047 (1,789)
Citation 3

Abstract:

Loading...

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

11.

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 5,534 (2,036)
Citation 2

Abstract:

Loading...

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

12.

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 5,407 (2,115)
Citation 4

Abstract:

Loading...

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

13.

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 5,368 (2,147)
Citation 3

Abstract:

Loading...

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

14.

Decoding Stock Market with Quant Alphas

Journal of Asset Management 19(1) (2018) 38-48
Number of pages: 20 Posted: 10 May 2017 Last Revised: 09 Feb 2018
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 5,079 (2,389)
Citation 2

Abstract:

Loading...

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

15.

Statistical Industry Classification

Journal of Risk & Control 3(1) (2016) 17-65, Invited Editorial
Number of pages: 44 Posted: 03 Jul 2016 Last Revised: 31 Dec 2018
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 4,612 (2,833)
Citation 10

Abstract:

Loading...

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

16.

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 4,425 (3,063)
Citation 4

Abstract:

Loading...

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

17.

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 3,415 (4,752)
Citation 3

Abstract:

Loading...

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

18.

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 3,317 (4,996)
Citation 3

Abstract:

Loading...

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

19.

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 3,215 (5,261)
Citation 1

Abstract:

Loading...

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

20.

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 3,031 (5,804)
Citation 2

Abstract:

Loading...

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

21.

Open Source Fundamental Industry Classification

Data 2(2) (2017) 20
Number of pages: 68 Posted: 19 Apr 2017 Last Revised: 26 Dec 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 2,943 (6,103)

Abstract:

Loading...

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

22.

Stock Market Visualization

Journal of Risk & Control 5(1) (2018) 35-140
Number of pages: 103 Posted: 03 Jan 2018 Last Revised: 09 Apr 2018
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 2,856 (6,395)

Abstract:

Loading...

stock market, visualization, mean-reversion, momentum, signal, quantitative, sector, industry, sub-industry, liquidity, market capitalization, color-coding, exchange, functionality, source code, visual effects, trading, tickers, stocks, equities, filtering, tiering, industry classification, price

23.

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 2,535 (7,722)
Citation 2

Abstract:

Loading...

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

24.

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 2,464 (8,052)
Citation 4

Abstract:

Loading...

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

25.

*K-Means and Cluster Models for Cancer Signatures

Biomolecular Detection and Quantification 13 (2017) 7-31
Number of pages: 124 Posted: 01 Feb 2017 Last Revised: 05 Oct 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 2,103 (10,423)
Citation 2

Abstract:

Loading...

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

26.

Blockchain: Data Malls, Coin Economies and Keyless Payments

The Journal of Alternative Investments 21(1) (2018) 8-16
Number of pages: 32 Posted: 24 Jan 2018 Last Revised: 13 Jul 2018
Zura Kakushadze and Ronald P. Russo Jr.
Quantigic Solutions LLC and GLX - Global Listing Exchange
Downloads 2,003 (11,332)
Citation 2

Abstract:

Loading...

Blockchain, Cryptocurrency, Bitcoin, Ethereum, Network, Coin Economy, Data Mall, Keyless Payments, Proxy Voting, Tokens, Liquidity, Exchange, Trading, Capital Markets, Finance, Cryptoasset, Ether, Distributed Ledger, Cryptographic Key, Smart Contract

27.

Combining Alpha Streams with Costs

Downloads 1,959 ( 11,719)
Citation 9

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 1,959 (11,483)
Citation 4

Abstract:

Loading...

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
  • Add to Cart

Abstract:

Loading...

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

28.

Cryptoasset Factor Models

Algorithmic Finance 7(3-4) (2018) 87-104
Number of pages: 45 Posted: 13 Sep 2018 Last Revised: 22 Apr 2019
Zura Kakushadze
Quantigic Solutions LLC
Downloads 1,842 (12,915)

Abstract:

Loading...

cryptoasset, cryptocurrency, Bitcoin, factor, risk, return, regression, factor loading, residuals, regression coefficients, t-statistic, size, volume, volatility, momentum, minable, cross-section, time series, source code, backtesting, market cap, price, mean-reversion, statistical arbitrage, market

29.

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 1,776 (13,696)
Citation 4

Abstract:

Loading...

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

30.

Altcoin-Bitcoin Arbitrage

Bulletin of Applied Economics 6(1) (2019) 87-110
Number of pages: 26 Posted: 06 Feb 2019 Last Revised: 03 Apr 2019
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,723 (14,378)

Abstract:

Loading...

cryptoasset, cryptocurrency, Bitcoin, altcoin, factor, risk, return, size, volume, volatility, momentum, minable, cross-section, time series, source code, backtesting, market cap, price, mean-reversion, statistical arbitrage, market, liquidity, token, trading, signal, alpha

31.

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 1,722 (14,391)

Abstract:

Loading...

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

32.

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 1,705 (14,622)
Citation 2

Abstract:

Loading...

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

33.

Betas, Benchmarks and Beating the Market

The Journal of Trading 13(3) (2018) 44-66
Number of pages: 36 Posted: 05 Jun 2018 Last Revised: 14 Jun 2019
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,676 (15,002)

Abstract:

Loading...

Market, Beta, Benchmark, Alpha, Trading, Portfolio, Stock, Equity, Optimization, Sharpe Ratio, Risk, Return, Expected, Factor, Loading, Specific, Idiosyncratic, Volatility, Variance, Covariance, Correlation, Matrix, Bound, Cost, Constraint, Regression, Weight, Source Code, Index, Investment, Long

34.

Coronavirus: Case for Digital Money?

World Economics 21(1) (2020) 177-190, Johns Hopkins Carey Business School Research Paper No. 20-08
Number of pages: 12 Posted: 07 Aug 2020 Last Revised: 20 Aug 2020
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Downloads 1,588 (16,271)
Citation 5

Abstract:

Loading...

coronavirus, COVID-19, SARS-CoV-2, digital money, monetary system, cash, digital wallet, dollar, U.S., China, currency, cryptocurrency, cashless society, touchless technology, payment, policy, regulation, government, mobile device, transaction, data protection, exorbitant privilege, crisis, debt

35.

Machine Learning Treasury Yields

Bulletin of Applied Economics 7(1) (2020) 1-65
Number of pages: 68 Posted: 10 Jan 2020 Last Revised: 05 Feb 2020
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,560 (16,740)

Abstract:

Loading...

non-negative matrix factorization, NMF, clustering, k-means, Treasury, yield, machine learning, maturity, time series, weight, factor, exposure, source code, principal component, correlation, forecasting, interest rate, stability, level, slope, curvature, fixed income, term structure, yield curve

36.

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 1,547 (16,952)
Citation 1

Abstract:

Loading...

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

37.

Dead Alphas as Risk Factors

Journal of Asset Management 19(2) (2018) 110-115, Invited Editorial
Number of pages: 9 Posted: 01 Aug 2017 Last Revised: 26 Feb 2018
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,543 (17,025)

Abstract:

Loading...

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

38.

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 Finance and Risk Engineering and Quantigic Solutions LLC
Downloads 1,513 (17,532)
Citation 6

Abstract:

Loading...

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

39.

CryptoRuble: From Russia with Love

Risk, January 2018, pp. 53-54; World Economics 19(4) (2018) 165-187
Number of pages: 20 Posted: 26 Oct 2017 Last Revised: 26 Jan 2019
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Downloads 1,431 (19,048)
Citation 6

Abstract:

Loading...

Cryptocurrency, Government, Bitcoin, Etherium, Blockchain, GDP, Universal, Numeraire, Supply, Demand, World Currency, Algorithmic, CryptoRuble, Russia, Populace, Economy, Finance, Monetary System, Stakeholder, Central Bank, Internet Commerce, Transaction Cost, Control, Information, Decentralized

40.

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 1,305 (21,862)

Abstract:

Loading...

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

41.

151 Estrategias de Trading (151 Trading Strategies)

Z. Kakushadze y J.A. Serur. 151 Estrategias de Trading (Spanish Edition, 2019), 398 pp; ISBN 978-1071261873
Number of pages: 398 Posted: 19 Jun 2019 Last Revised: 24 Sep 2019
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and NYU - Courant Institute of Mathematical Sciences
Downloads 1,271 (22,744)

Abstract:

Loading...

bond, cash, commodity, convertible bond, cryptocurrency, currency, distressed asset, energy, ETF, futures, global macro, index, infrastructure, market, option, backtesting, real estate, risk management, source code, statistical arbitrage, structured assets, tax arbitrage, trading strategy, weather

42.

Notes on Fano Ratio and Portfolio Optimization

Journal of Risk & Control 5(1) (2018) 1-33
Number of pages: 29 Posted: 10 Oct 2017 Last Revised: 18 Apr 2018
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,187 (25,172)
Citation 2

Abstract:

Loading...

Portfolio, Stocks, Equities, Optimization, Sharpe Ratio, Fano Ratio, Risk, Return, Expected Return, Alpha, Specific Risk, Idiosyncratic Risk, Factor Loadings, Factor Covariance Matrix, Risk Factor, Volatility, Variance, Covariance, Correlation, Bounds, Trading Costs, Constraints, Regression, Weights

43.

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 1,003 (32,060)
Citation 5

Abstract:

Loading...

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

44.

ETF Risk Models

Bulletin of Applied Economics 9(1) (2022) 1-17
Number of pages: 20 Posted: 10 Sep 2021 Last Revised: 04 Nov 2021
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 619 (61,412)

Abstract:

Loading...

ETF, risk model, covariance, correlation, risk factor, optimization, growth, value, industry classification, quant, trading, stock, bond, equity, commodity, currency, volatility, real estate, alternatives, multi-asset, diversification, portfolio, credit rating, duration, maturity, market cap

45.

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 618 (61,538)

Abstract:

Loading...

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

46.

Brane World (ბრანის სამყარო)

Univ. J. Phys. Appl. 9(1) (2015) 41-45 (in English), Chveni Mtserloba № 23 (2014) 49-53 (in Georgian)
Number of pages: 29 Posted: 17 Nov 2017
Zura Kakushadze
Quantigic Solutions LLC
Downloads 553 (70,856)

Abstract:

Loading...

Brane World, String Theory, Standard Model, Gravity, Grand Unification, Quark, Lepton, Photon, Electron, Proton, Neutron, Nuclei, Electroweak Interaction, Strong Interaction, Electromagnetic Interaction, Graviton, Physics, Nature

47.

Option Pricing: Channels, Target Zones and Sideways Markets

Bulletin of Applied Economics 7(2) 25-33, 2020
Number of pages: 11 Posted: 02 Jun 2020
Zura Kakushadze
Quantigic Solutions LLC
Downloads 535 (73,864)

Abstract:

Loading...

Option Pricing, Channel, Reflecting Boundaries, Brownian Motion, Volatility, Drift, Barriers, Mean-Reversion, Mean-Repelling, FX, Digital Currencies, Target Zone, Sideways Market, Interest Rate, Attainable Boundaries, Unattainable Boundaries

48.

iCurrency?

World Economics 20(4) (2019) 151-175
Number of pages: 33 Posted: 04 Sep 2019 Last Revised: 29 Jan 2020
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 517 (77,044)
Citation 2

Abstract:

Loading...

cryptocurrency, numeraire, currency, supply, demand, Libra, volatility, stability, FX, target zone, Brownian motion, drift, reflecting barriers, government, HKD, USD, EUR, JPY, monetary authority, currency board, reserve, Bitcoin, stablecoin, blockchain, trading, finance, carry trade, interest rate

49.

Healthy... Distress... Default

Journal of Risk & Control 6(1) (2019) 113-119, Invited Editorial
Number of pages: 6 Posted: 04 Sep 2019 Last Revised: 06 Oct 2019
Zura Kakushadze
Quantigic Solutions LLC
Downloads 468 (86,871)
Citation 1

Abstract:

Loading...

stock, credit default swap, CDS spread, healthy, distress, default, stochastic dynamics, statistical arbitrage, alpha, regime switching, expected return, market sentiment, equities trading, probability of default, drift, regression, Brownian motion, trading signal, transition density, recovery rate

50.

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 425 (97,260)

Abstract:

Loading...

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

51.

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 305 (140,273)
Citation 2

Abstract:

Loading...

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

52.

Estimating Cost Savings from Early Cancer Diagnosis

Data 2(3) (2017) 30
Number of pages: 22 Posted: 28 May 2017 Last Revised: 03 Apr 2019
Zura Kakushadze, Rakesh Raghubanshi and Willie Yu
Quantigic Solutions LLC, Two29 Consulting LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 251 (170,919)
Citation 1

Abstract:

Loading...

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

53.

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:

Loading...

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

54.

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:

Loading...

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

Other Papers (3)

Total Downloads: 5,972
Actions:
Email selected abstracts
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 3,008

Abstract:

Loading...

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: 24 Posted: 07 Dec 2015 Last Revised: 25 Oct 2018
Zura Kakushadze
Quantigic Solutions LLC
Downloads 1,872

Abstract:

Loading...

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 1,092

Abstract:

Loading...

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