You mean there is no such thing? Maaaaaan....
That's just silly. Did passive Vanguard investors do "oh so well" last quarter too? Passive investing has a very different profile and it does not...
As you approach lower and lower rate, the term premium increases (because people rightfully ask how low can the rates stay for a long time) and...
Yeah, true. Normalization allows me to avoid calibrating/fitting almost completely by taking a sigmoid of a z-score and assuming some reasonable...
I was curious today, so I reached out to someone involved in the field. Apparently, people at Guggenheim have a different opinion of his work...
Hmm. My approach has been to normalize any signal I use against it's standard deviation (cross-sectional or longitudinal), fit a sigmoid to clip...
Ugh, "it's complicated". I trade a relatively small set of underlying securities, but once these have been mapped out into actual traded...
Interesting. Do you actually filter out the low strength forecasts or use scale the trades based on the signal (obviously, clipping at some...
How do you know that the rally of the last quarter was not the market pricing in the China deal? You know, the usual "buy the rumor, sell the...
Dude, you got your causality totally backwards. Yield curve inverts because everyone expects recession and the resulting easing of the monetary...
How do you integrate back-testing with the live trading (e.g. for perfomance attribution)?
You think? I have not read anything so don't have an opinion, to be honest, but he seems to have a history of working at various fancy places.
Thanks for this! The source code for re-barring data based on various metrics (volume, N-ticks etc) is nice and tidy. FWIW, I am not a great...
Yup and here it is: https://fred.stlouisfed.org/series/T10Y3M It's more than just "it predicts a recession" by forecasting the expected path of...
I take pride in the fact that my car is the cheapest in our garage by a large margin. To be honest, if I did not rock climb and did not have a...
CME has been trying to popularize ES options for a long time and yet CBOE is more or less winning the game (for various reasons). Also, they are...
Cute :)
I think almost every high paying profession out there has a strong cyclical component, be it in finance, programming or anything else. Percent of...
It's a very good education, but it's really about the connections. The list of the parents is a veritable who-is-who and the kids will have a...
I drive a decrepit Toyota Fit that probably costs less than my garage a month. My total cost of ownership (garage, insurance and maintenance) is...
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