World Quant: Alpha Examples

A mathematical model used to predict future price movements of financial instruments, based on distinct ideas that identify patterns and forecast results.

The idea that if an asset's price increases today, it will likely fall tomorrow, and vice versa. It can be used for price, volume, or correlations.

The idea that stocks that have performed well in the past will likely continue to perform well, and vice versa.

The idea that suggests specific times of the year (months, quarters) may influence the price of a security.

The phenomenon where the prices of certain stocks lead, and others lag behind (e.g., industrial company improvement leading to supplier improvement).

When a stock is added to an index, funds tracking the index purchase the stock, potentially increasing its price.

If today's price is higher than the price five days ago, short the stock; if it's lower, long the stock. This can be combined with sentiment data.

Stocks with high past performance are likely to continue performing well, which suggests increased liquidity and bullish sentiment.

Stocks often rise in January due to investors repurchasing stocks after tax-loss selling in December.

The idea that funds rebalance portfolios during the last week of a quarter, which may create predictable price patterns.