Academy notes
Articles and updates from SoloQuant Academy.
Tag: paper
Asness, Frazzini & Pedersen (2018) build a Quality-Minus-Junk (QMJ) factor from profitability, growth, and safety. Plain-language intro. Not investment advice.
Wei, Dai & Lin (2022) propose a deep multi-factor model for equity factor investing. Plain-language intro for after-work Python learners. Not investment advice.
Harvey, Liu & Zhu (2016) warn that the factor zoo needs much higher t-stat hurdles under multiple testing. Plain-language intro. Not investment advice.
Dixon & Polson (2019) study deep learning on fundamental characteristics for equity factor-style modelling. Plain-language intro. Not investment advice.
Nakagawa, Uchida & Aoshima (2018) explore deep neural nets for factor-style return modelling from characteristics. Plain-language intro. Not investment advice.
Kelly, Pruitt & Su (2019) introduce Instrumented PCA (IPCA): firm characteristics instrument latent factor loadings. Plain-language intro. Not investment advice.
Frazzini & Pedersen (2014) document the low-beta anomaly and the Betting-Against-Beta (BAB) factor. Plain-language intro. Not investment advice.
Koijen, Moskowitz, Pedersen & Vrugt define a portable, model-free carry measure across FX, bonds, commodities and equities. Plain-language intro. Not investment advice.
Giglio & Xiu show how to recover risk premia even when some true factors are missing from the model. Plain-language intro for after-work Python learners. Not investment advice.
Guéant & Royer (2013) study VWAP-style execution and indifference pricing of guaranteed VWAP under permanent impact. Plain-language intro. Not investment advice.
Cont, Kukanov & Stoikov (2010) show short-horizon mid moves track order-flow imbalance roughly linearly, with slope inverse to depth. Plain-language intro. Not investment advice.
Cheridito & Weiss (2025) use actor-critic RL to mix market and multi-level limit orders in impactful LOB simulations. Plain-language intro. Not investment advice.
