Finding New Alphas for Multi-Factor Model
Our research aims at finding new alphas in multi-fatcor models in Finance. Based on the stastiscal arbitrage, our research makes use of the volume and price data as well as the fundamental data. The definite volume and price data contains trading volume, illiquidity, price and ATR. During the research, we combines five alphas by weighted adding and we make sure the position neutral. According to the result, these alphas may have been used by many investors and the final return is neagtive. Thus, it shows that we can find other alphas from many other aspects instead of trading volume and price and so on.
Authors
- Yunxin Guo
- Haitong Wang (ORCID: https://orcid.org/0009-0001-3216-4726)
- Yin Tang (ORCID: https://orcid.org/0000-0002-4479-5074)
- Yichen Wang (ORCID: https://orcid.org/0000-0002-1228-0295)
- Junyi Nan
Institutions
- Beijing Normal-Hong Kong Baptist University (CN)
- Hong Kong Baptist University (HK)
- Chinese University of Hong Kong (HK)
- Shanghai Jiao Tong University (CN)
- Southwestern University of Finance and Economics (CN)
- Beijing Normal University (CN)
- Chinese University of Hong Kong, Shenzhen (CN)
- Zhejiang University of Technology (CN)
Publication Details
- Journal
- Advances in Economics Management and Political Sciences
- Published
- 2025-07-04
- DOI
- https://doi.org/10.54254/2754-1169/2024.24780
- Primary Topic
- Advanced Data Processing Techniques
- Type
- article
- Field-Weighted Citation Impact
- 0.00