AEGIS is a hierarchical optimization framework that uses volatility-adjusted momentum and minimax correlation to generate asymmetric alpha with reduced drawdowns in backtests.
Returns to buying winners and selling losers: Implications for stock market efficiency,
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
cs.CE 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Taming the Black Swan: A Momentum-Gated Hierarchical Optimisation Framework for Asymmetric Alpha Generation
AEGIS is a hierarchical optimization framework that uses volatility-adjusted momentum and minimax correlation to generate asymmetric alpha with reduced drawdowns in backtests.