Willie Yu

Duke-NUS Medical School - Centre for Computational Biology

8 College Road

Singapore, 169857

Singapore

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 466

SSRN RANKINGS

Top 466

in Total Papers Downloads

40,338

CITATIONS
Rank 30,858

SSRN RANKINGS

Top 30,858

in Total Papers Citations

18

Scholarly Papers (16)

1.

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 7,483 (735)
Citation 4

Abstract:

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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

2.

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 5,367 (1,309)
Citation 2

Abstract:

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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

3.

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 4,490 (1,804)

Abstract:

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

4.

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 3,637 (2,582)
Citation 7

Abstract:

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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

5.

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 3,508 (2,747)
Citation 1

Abstract:

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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

6.

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 3,115 (3,400)
Citation 1

Abstract:

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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

7.

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 2,535 (4,784)

Abstract:

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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

8.

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 1,945 (7,502)

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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

9.

*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 1,817 (8,431)
Citation 1

Abstract:

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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

10.

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 1,422 (12,542)
Citation 1

Abstract:

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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

11.

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 1,341 (13,780)

Abstract:

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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

12.

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 1,166 (17,087)

Abstract:

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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

13.

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 1,016 (21,044)

Abstract:

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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

14.

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 938 (23,710)
Citation 2

Abstract:

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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

15.

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 371 (78,962)

Abstract:

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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

16.

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
Quantigic Solutions LLC, Two29 Consulting LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 187 (160,673)

Abstract:

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