Dynamic Trading with Predictable Returns and Transaction Costs
AdvancedIntradayLFTTheoryFree to readTestable with your data
Trade partway toward an 'aim' portfolio that weights each signal by how slowly it decays. When costs bite, fast alphas get less weight.
At a glance
- Level
- Advanced: Stochastic control, point processes, heavy econometrics or deep learning
- Horizon
- Intraday, LFT
- Data needed
- None to read it; no dataset required Set what data you have
- Themes
- Risk & portfolioExecution
- Assets
- Equities
- Market
- Global