My research papers and notes

Here you will find a list of my research papers and notes (some as PDF files). From my first paper in 2007 where is presented for the first time the concept of an increasing Sharpe ratio over time to present day where I am finally at the implementation phase.

It was a long journey, often sidestepped by the need to prove to myself the underlying mathematical foundation on which this trading methodology is based.

I hope you will find this whole quest for alpha points interesting and enlightening. A lot of it has been chronicled on the Wealth-Lab forum under the Alpha Power thread.

Alpha Project