Research · working papers

The math behind the engine, written for academics

Working papers documenting the engine architecture in academic format — full equations, peer-reviewed citations, JEL codes, ready to submit to SSRN. We write these for the same reason Renaissance and AQR do: to be cited, criticised, and improved by the field.

WORKING PAPERJEL · G11, G12, G14, G17

APEX: Bayesian-coherent composition of twelve academic factors on the equity cross-section

We present a unified Bayesian framework that composes twelve published equity factors — quality (Novy-Marx 2013), value (Fama-French 1992), momentum (Jegadeesh-Titman 1993), post-earnings drift (Bernard-Thomas 1989), insider flow (Seyhun 1998), 10-K narrative tone (Loughran-McDon

Read full paper →