You’re fast enough, dude :) It’s a simple conditional probability. You have P(nomination) = 40% and P(presidency) = 25%, which means that...
I have not looked at the prediction market lately, but last I checked the conditional probabilities were such that if Bernie is nominated as the...
I think most people I know in pro finance feel that Bernie is bearish for both the equity markets and for the bond markets. because of the tape...
You think we are due for more pain tomorrow?
It would make sense and it's mostly a good thing. Biases tend to be more persistent and are easier to capture with limited infrastructure. This...
In fairness, you don't really know what he's trying to do here. For example, he might be doing some sort of ex post experiments to establish...
Well, I'd imagine that your strategies are exploiting a very specific feature, so it's hard for me to comment. In general, however, liquidity and...
If you assuming geometric SR, no serial correlation of your returns, no alpha decay etc, probably so. Once any of these assumptions is broken, I...
You want to pick the interest rate that’s closest to the expiration of the option (ideally, you’d want to interpolate it exactly). The management...
VXX is an ETN, which underneath is a rebalancing futures index plus a cash deposit. In terms of interest rate, while the futures index is going to...
“there is no such thing as wide markets, there are only narrow minds”
Yeah, that makes a lot of sense. Biases are also known as "risk premia", they are persistent and can be tracked historically in one way or...
"Bought into that"? It does not take a genius to look at average global temperatures
All they need to do is to hire a Russian-backed stooge and they are destined for greatness (again, of course) :)
I'd think there is a big difference between a historical study and a backtest. Let's take a different example - let's say someone out there is...
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Let’s distinguish a “backtest” from a “model calibrated to historical data”. A regression that take some outcome (e.g a level of a book being...
If we are talking about Advances in Financial Machine Learning book, I have read it and found it mildly entertaining. Some of the specific topics...
Of the top of my head, without thinking much - Tidjane Thiam (UBS), Shriti Vadera (Santander) and Ken Olisa (Restoration Partners). If you walk on...
In the end, it's all about judgement. I've deployed plenty of strategies without any backtesting and plenty of strategies with rigorous...
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