Calibrated rank volatility stabilized models for large equity markets

By David Itkin, Martin Larsson

Published 2024-03-08

Everscope rating

1732.7

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Rank volatility stabilized model. Problem types: Time Series Modeling, Portfolio Optimization.

arXiv:2403.04674 · Paper rankings

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