That being the case, I'm sure you'll find the Ph.D. a waste of time. Then again, as you're looking for a hedge, the Ph.D. can be your own hedge in...
"Business" is a broad discipline. What area of business, e.g., finance? I don't know too many first-year finance Ph.D. students, at least at...
There are a few good ones here: https://www.advisorperspectives.com/dshort/updates/2018/06/25/margin-debt-and-the-market
Good point. I've been trained to cite the seminal paper. A follow-up paper that documents a similar pattern based on more recent data is:...
Very nicely explained. In theory, the math for the numerator of the Sharpe ratio in the context of a market neutral strategy works out to: (Long...
Relatedly, buying 52-week highs works, on average: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1104491 Pretty well accepted pattern...
Typically, the Sharpe ratio is annualized. If using daily returns, i.e., the mean daily return divided by the standard deviation of daily returns,...
IB automates regular locates. I tried Lightspeed for about a week until tiring of all the phone calls required for authorization to short. I'll...
Any sense for how your short availability / short fees compare to IB? For instance, I haven't been charged a locate fee from IB -- does this imply...
The system needs to be equitable. Why would the other 1000 share order be busted, but yours not? Either the other order went through a broker that...
Will we ever find out the outcome of this situation? Would be useful for future reference.
I would be happy to get VWAP. It's a new strategy -- I haven't spent much time optimizing this piece of it. But this is now a priority, and I was...
They are all common stocks, U.S. equities, positively correlated. Relatively liquid. This is an everyday occurrence, so not able to comment on...
Sorry, my reply was to the Lightspeed person's suggestion to use their basket trader. As far as tommcginnis's suggestion, I don't see how...
Thanks. Can one generalize at all? E.g., suppose I am exiting a randomly selected portfolio of relatively liquid stocks?
I am more interested in insight into the steps one would take to accomplish this without using a third party black box algorithm.
Can anyone direct me to a reference on how to optimally exit a basket of stocks? For example, suppose I have 100 long stocks to exit in the next...
What a great post! Read this one over and over. Skill, effort, and optimism can take you far in many fields. Let me add what many successful...
Standard deviation is often expressed as a percentage. Sharpe ratio is not a percentage.
Over the past two weeks, there is one simple thing that has been bugging skeptical macro observers: namely the paradox of i) just how ugly the...
Separate names with a comma.