Alpha Factors

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01. Intro: Efficient Market hypothesis and Arbitrage opportunities
02. install libraries
03. Alpha Factors versus Risk Factor Modeling
04. Definition of key words
05. Researching Alphas from Academic Papers
06. Controlling for Risk within an Alpha Factor Part 1
07. Controlling for Risk within an Alpha Factor Part 2
08. Sector Neutral Exercise
09. Ranking Part 1
10. Ranking Part 2
11. Ranking in Zipline
12. Ranking exercise
13. Z score
14. z-score quiz
15. z-score exercise
16. Smoothing
17. Smoothing Quiz 1
18. Smoothing Exercise
19. Factor Returns
20. Factor returns quiz
21. get_clean_factor_and_forward_returns
22. Factor and forward returns exercise
23. Universe construction rule
24. Return Denominator, Leverage, and Factor Returns
25. Making dollar neutral and leverage ratio equal to one
26. Factor returns coding exercise
27. Sharpe Ratio
28. Sharpe Ratio Coding Exercise
29. Halfway There!
30. Ranked Information Coefficient (Rank IC) : Part 1
31. Ranked Information Coefficient (Rank IC) : Part 2
32. Quiz factor_information_coefficient
33. Rank IC coding exercise
34. The Fundamental Law of Active Management: Part 1
35. The Fundamental Law of Active Management: Part 2
36. Real World Constraints: Liquidity
37. Real World Constraints: Transaction Costs
38. Turnover as a Proxy for Real World Constraints
39. Factor Rank Autocorrelation (Turnover)
40. Turnover Exercise
41. Quantile Analysis Part 1
42. Quantile Analysis Part 2
43. mean returns by quantile quiz
44. Quantile analysis exercise
45. Quantiles: Academic Research vs. Practitioners
46. Transfer Coefficient
47. Transfer Coefficient Coding Exercise
48. It’s all Relative
49. Conditional Factors
50. Summary
51. Interlude: Reading Academic Research Papers, Part 1
52. Interlude: Reading Academic Research Papers, Part 2
53. Interlude: Reading Academic Research Papers, Part 3

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14. z-score quiz

Zscore

Check out the documentation for the zscore function in Zipline
According to the documentation, what parameter can you set if you wish to exclude extreme values from the calculation of the mean and standard deviation?

mask

groupby

SOLUTION:

mask

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