We give a simple explicit formula for turnover reduction when a large number of alphas are
traded on the same execution platform and trades are crossed internally. We model turnover …

We discuss investment allocation to multiple alpha streams traded on the same execution
platform with internal crossing of trades and point out differences with allocating investment …

We propose a framework for constructing factor models for alpha streams. Our motivation is
threefold. 1) When the number of alphas is large, the sample covariance matrix is singular …

Internal crossing of trades between multiple alpha streams results in portfolio turnover
reduction. Turnover reduction can be modeled using the correlation structure of the alpha …

We give an explicit algorithm and source code for combining alpha streams via bounded
regression. In practical applications, typically, there is insufficient history to compute a …

In these notes we discuss investment allocation to multiple alpha streams traded on the
same execution platform, including when trades are crossed internally resulting in turnover …

The stock markets. Whether you invest or not, the workings of the stock market almost
certainly touch your life. Either through your retirement fund, your mutual fund or just …