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

  • Quantigic Solutions LLC

    • Email
    • Tel: 6462210440
    • Fax: 6467923264

  • Free University of Tbilisi

SCHOLARLY PAPERS

44

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Rank 39

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Top 39

in Total Papers Downloads

136,895

CITATIONS

1

Scholarly Papers (44)

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1.

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 29,460 (48)

Abstract:

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

2.

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 12,509 (257)

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

3.

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 8,256 (566)

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

4.

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 6,541 (870)

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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

5.

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 6,531 (873)

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

6.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature (Forthcoming)
Number of pages: 257 Posted: 13 Sep 2018
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and University of CEMA
Downloads 5,855 (1,059)

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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

7.

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 5,022 (1,358)

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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

8.

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 4,141 (1,914)

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

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 4,082 (1,956)

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

10.

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 4,023 (2,002)

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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

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 3,749 (2,274)

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

12.

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 3,718 (2,310)

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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

13.

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 3,252 (2,937)

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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

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 2,620 (4,227)

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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.

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 2,594 (4,307)

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

16.

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 2,580 (4,341)

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

17.

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 2,515 (4,508)

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

18.

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 2,475 (4,647)

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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

19.

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 2,355 (5,052)

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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

20.

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 2,083 (6,213)

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

21.

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 1,865 (7,529)

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

22.

Combining Alpha Streams with Costs

Downloads 1,679 ( 8,969)

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 1,679 (8,801)

Abstract:

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

23.

*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 1,601 (9,683)

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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

24.

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 1,489 (10,886)

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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

25.

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 1,480 (10,972)

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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

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 1,469 (11,113)

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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.

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 1,445 (11,410)

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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

28.

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 1,371 (12,446)

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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

29.

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 1,355 (12,685)

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

30.

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 1,224 (14,814)

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

31.

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: 05 Aug 2018
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,140 (16,573)

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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

32.

CryptoRuble: From Russia with Love

Risk, January 2018, pp. 53-54
Number of pages: 20 Posted: 26 Oct 2017 Last Revised: 17 Jan 2018
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Downloads 1,140 (16,573)

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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

33.

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 986 (20,573)

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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

34.

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 908 (23,241)

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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

35.

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 782 (28,730)
Citation 1

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

36.

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 599 (41,211)

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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

37.

Cryptoasset Factor Models

Algorithmic Finance (Forthcoming)
Number of pages: 45 Posted: 13 Sep 2018 Last Revised: 20 Nov 2018
Zura Kakushadze
Quantigic Solutions LLC
Downloads 551 (46,110)

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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

38.

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 471 (55,937)

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

39.

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 322 (87,714)

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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

40.

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 305 (93,198)

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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

41.

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 188 (151,548)

Abstract:

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

42.

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 164 (171,119)

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

43.

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

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

44.

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:

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

Other Papers (3)

Total Downloads: 5,157    Citations: 0
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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 2,523

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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 1,692

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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 942

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