Willie Yu

Duke-NUS Medical School - Centre for Computational Biology

8 College Road

Singapore, 169857

Singapore

  • Duke-NUS Medical School - Centre for Computational Biology

SCHOLARLY PAPERS

18

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53,751

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11

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19

Scholarly Papers (18)

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1.

Statistical Risk Models

The Journal of Investment Strategies 6(2) (2017) 1-40
Number of pages: 44 Posted: 15 Feb 2016 Last Revised: 12 Mar 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 9,564 (654)
Citation 6

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statistical risk models, multi-factor risk model, risk factors, optimization, regression, specific risk, factor risk, mean-reversion, covariance matrix, correlation matrix, factor loadings, dollar neutrality, style factors, industry factors, principal components, shrinkage

2.

Machine Learning Risk Models

Journal of Risk & Control 6(1) (2019) 37-64
Number of pages: 26 Posted: 08 Jan 2019 Last Revised: 10 Apr 2019
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 6,362 (1,340)
Citation 4

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machine learning, risk model, clustering, k-means, statistical risk models, covariance, correlation, variance, cluster number, risk factor, optimization, regression, mean-reversion, factor loadings, principal component, industry classification, quant, trading, dollar-neutral, alpha, signal, backtest

3.

Multifactor Risk Models and Heterotic CAPM

The Journal of Investment Strategies 5(4) (2016) 1-49
Number of pages: 49 Posted: 26 Jan 2016 Last Revised: 10 Sep 2016
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 5,841 (1,550)
Citation 3

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multi-factor risk model, risk factors, optimization, regression, specific risk, factor risk, mean-reversion, covariance matrix, correlation matrix, factor loadings, dollar neutrality, style factors, industry factors, principal components

4.

How to Combine a Billion Alphas

Journal of Asset Management 18(1) (2017) 64-80
Number of pages: 23 Posted: 29 Feb 2016 Last Revised: 15 Dec 2016
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 5,832 (1,557)
Citation 2

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alpha, optimization, regression, risk factor, factor model, style factor, principal component, volatility, turnover, momentum, correlation, covariance, variance, equities, Sharpe ratio

5.

Decoding Stock Market with Quant Alphas

Journal of Asset Management 19(1) (2018) 38-48
Number of pages: 20 Posted: 10 May 2017 Last Revised: 09 Feb 2018
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 4,597 (2,358)
Citation 2

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forecasting, expected return, stock, equities, market, alpha, optimization, trading, quant, weights, asset allocation, portfolio, risk model, specific risk, regression, factor model, principal components, volatility, correlation, covariance, Sharpe ratio, position data, machine learning, source code

6.

Statistical Industry Classification

Journal of Risk & Control 3(1) (2016) 17-65, Invited Editorial
Number of pages: 44 Posted: 03 Jul 2016 Last Revised: 31 Dec 2018
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 4,391 (2,551)
Citation 10

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industry classification, clustering, cluster numbers, machine learning, statistical risk models, industry risk factors, optimization, regression, mean-reversion, correlation matrix, factor loadings, principal components, hierarchical agglomerative clustering, k-means, statistical methods, multilevel

7.

Open Source Fundamental Industry Classification

Data 2(2) (2017) 20
Number of pages: 68 Posted: 19 Apr 2017 Last Revised: 26 Dec 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 2,817 (5,472)

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Industry classification, fundamental, open source, source code, stocks, hierarchy, GICS, BICS, ICB, NAICS, SIC, TRBC, quantitative trading, trading signal, alpha, risk model, mean-reversion, optimization, short-horizon, backtest, simulation, download

8.

Stock Market Visualization

Journal of Risk & Control 5(1) (2018) 35-140
Number of pages: 103 Posted: 03 Jan 2018 Last Revised: 09 Apr 2018
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 2,688 (5,904)

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stock market, visualization, mean-reversion, momentum, signal, quantitative, sector, industry, sub-industry, liquidity, market capitalization, color-coding, exchange, functionality, source code, visual effects, trading, tickers, stocks, equities, filtering, tiering, industry classification, price

9.

*K-Means and Cluster Models for Cancer Signatures

Biomolecular Detection and Quantification 13 (2017) 7-31
Number of pages: 124 Posted: 01 Feb 2017 Last Revised: 05 Oct 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 2,044 (9,212)
Citation 1

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Clustering, K-Means, Nonnegative Matrix Factorization, Somatic Mutation, Cancer Signatures, Genome, Exome, DNA, eRank, Correlation, Covariance, Machine Learning, Sample, Matrix, Source Code, Quantitative Finance, Statistical Risk Model, Industry Classification, Bonds, Foreign Exchange, Alphas

10.

Betas, Benchmarks and Beating the Market

The Journal of Trading 13(3) (2018) 44-66
Number of pages: 36 Posted: 05 Jun 2018 Last Revised: 14 Jun 2019
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,587 (13,815)

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Market, Beta, Benchmark, Alpha, Trading, Portfolio, Stock, Equity, Optimization, Sharpe Ratio, Risk, Return, Expected, Factor, Loading, Specific, Idiosyncratic, Volatility, Variance, Covariance, Correlation, Matrix, Bound, Cost, Constraint, Regression, Weight, Source Code, Index, Investment, Long

11.

Factor Models for Cancer Signatures

Physica A 462 (2016) 527-559
Number of pages: 70 Posted: 01 May 2016 Last Revised: 10 Apr 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,510 (14,935)
Citation 1

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factor models, principal components, statistical risk models, nonnegative matrix factorization, somatic mutations, cancer signatures, genome, exome, DNA, eRank, correlation, covariance, serial, cross-sectional, sample, matrix

12.

Altcoin-Bitcoin Arbitrage

Bulletin of Applied Economics 6(1) (2019) 87-110
Number of pages: 26 Posted: 06 Feb 2019 Last Revised: 03 Apr 2019
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,461 (15,780)

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cryptoasset, cryptocurrency, Bitcoin, altcoin, factor, risk, return, size, volume, volatility, momentum, minable, cross-section, time series, source code, backtesting, market cap, price, mean-reversion, statistical arbitrage, market, liquidity, token, trading, signal, alpha

13.

Machine Learning Treasury Yields

Bulletin of Applied Economics 7(1) (2020) 1-65
Number of pages: 68 Posted: 10 Jan 2020 Last Revised: 05 Feb 2020
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,447 (15,991)

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non-negative matrix factorization, NMF, clustering, k-means, Treasury, yield, machine learning, maturity, time series, weight, factor, exposure, source code, principal component, correlation, forecasting, interest rate, stability, level, slope, curvature, fixed income, term structure, yield curve

14.

Dead Alphas as Risk Factors

Journal of Asset Management 19(2) (2018) 110-115, Invited Editorial
Number of pages: 9 Posted: 01 Aug 2017 Last Revised: 26 Feb 2018
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,413 (16,622)

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Expected Return, Stock, Equities, Market, Alpha, Optimization, Trading, Quant, Weights, Asset Allocation, Portfolio, Risk Model, Risk Factor, Specific Risk, Regression, Factor Model, Principal Components, Volatility, Correlation, Covariance, Sharpe Ratio, Position Data, Machine Learning, Source Code

15.

Notes on Fano Ratio and Portfolio Optimization

Journal of Risk & Control 5(1) (2018) 1-33
Number of pages: 29 Posted: 10 Oct 2017 Last Revised: 18 Apr 2018
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,130 (23,209)
Citation 2

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Portfolio, Stocks, Equities, Optimization, Sharpe Ratio, Fano Ratio, Risk, Return, Expected Return, Alpha, Specific Risk, Idiosyncratic Risk, Factor Loadings, Factor Covariance Matrix, Risk Factor, Volatility, Variance, Covariance, Correlation, Bounds, Trading Costs, Constraints, Regression, Weights

16.

iCurrency?

World Economics 20(4) (2019) 151-175
Number of pages: 33 Posted: 04 Sep 2019 Last Revised: 29 Jan 2020
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 462 (76,836)
Citation 2

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cryptocurrency, numeraire, currency, supply, demand, Libra, volatility, stability, FX, target zone, Brownian motion, drift, reflecting barriers, government, HKD, USD, EUR, JPY, monetary authority, currency board, reserve, Bitcoin, stablecoin, blockchain, trading, finance, carry trade, interest rate

17.

Mutation Clusters from Cancer Exome

Genes 8(8) (2017) 201
Number of pages: 84 Posted: 04 Apr 2017 Last Revised: 16 Aug 2017
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 394 (92,506)

Abstract:

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Clustering, K-Means, Nonnegative Matrix Factorization, Somatic Mutation, Cancer Signatures, Genome, Exome, DNA, eRank, Correlation, Covariance, Machine Learning, Sample, Matrix, Source Code, Quantitative Finance, Statistical Risk Model, Industry Classification

18.

Estimating Cost Savings from Early Cancer Diagnosis

Data 2(3) (2017) 30
Number of pages: 22 Posted: 28 May 2017 Last Revised: 03 Apr 2019
Zura Kakushadze, Rakesh Raghubanshi and Willie Yu
Quantigic Solutions LLC, Two29 Consulting LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 211 (177,648)
Citation 1

Abstract:

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cancer, costs, incidence, stage, early diagnosis, treatment, data