… evaluation The book also includes a companion Website where selected sample trading
strategies can be downloaded and tested Written by respected industry expert Irene Aldridge …

… IRENE ALDRIDGE is managing director and quantitative portfolio manager at ABLE Alpha
… IRENE ALDRIDGE is managing director and quantitative portfolio manager at ABLE Alpha …

In the classic mean-variance portfolio theory as proposed by Harry Markowitz, the weights of
the optimized portfolios are directly proportional to the inverse of the asset correlation matrix…

This article presents a model of distributional properties of returns on financial instruments
tied to exchange traded funds (ETFs) via high-frequency statistical arbitrage. As the author's …

… Marco Avellaneda, a leader in quantitative finance, and quantitative methodology author
Irene Aldridge help readers harness the power of Big Data. Comprehensive in scope, this book …

Neural networks have piqued the interest of many financial modelers, but the concrete
applications and implementation have remained elusive. This article discusses a step-by-step …

This article describes research into the short-term nature of movements in price data. The
study's key finding is that asset returns do not evolve at the Gaussian increments commonly …

This article surveys the evolution of machine learning from linear regression through ChatGPT
to fully unsupervised learning. We illustrate the advantages of artificial intelligence (AI) …

This article aims to provide information on how networks gauge and visualize complex
interactions and relationships between assets, factors, or other economic variables. The authors …

The current research assesses the risks commonly attributed to the presence of HFT in the
context of different market structures deployed by the US exchanges. In particular, we find that…