In utility space scaling in is analogous to widening a stop-loss. It's risk-affine (convex coefficient). At least that's how I think of it....
I'm in the US so IB isn't a viable option for forex. I think the account minimum is like $10 million, I'm not sure tho. Also, when a forex...
What you want is called a central limit order book (CLOB). I don't know if you'll find that for a retail account, but the ECNs offer them. Keep...
First time I've seen Raoul Pal's name mentioned on a forum anywhere. Are you an RV subscriber?
I never claimed that we are always on our best behavior. I'm sure you'll find me being aggressive at times, too.
I'll add to what DiceAreCast had to say. I don't know this for certain, but I know other people running factor models (e.g. FF3/Carhart) on US...
It's true. It's human nature that our pride gets in the way. Fortunately, we both held that in check. Thx for keeping things civil and making...
I understand what you're saying. HFs _shouldn't_ be paid for beta. Yet they are. It seems like we've both been around HFs a long time. HFs are...
DiceAreCast: "What makes you think anyone gets paid for beta?" bluelou: I'm not really sure why you want to make this argument when you've already...
I guess we'll agree to disagree. I've invested $ hundreds of millions in HFs. I've interviewed the managers of countless HFs and analyzed their...
A low correlation with US equities isn't a necessary condition for a HF portfolio. Unless the stated objective of a HF is equity market neutral...
There's some truth in what you're saying. Let's see if we can unpack the ideas. The largest component of the HF universe is L/S equity. The...
If you click thru to the index provider the methodology is "available upon request". The idea of an equity quant index does sound suspect. Are...
Where are you located? I'm in NYC, left "Wall St" about a dozen years ago.
FX is probably impossible without an edge. OTOH, with equities you've got a drift term as part of the process; that covers up a lot of b.s.
Thx. Have a good night. See you tomorrow :)
60% of the time it works every time. Amirite?
Thx for the counterfactual and it's a pleasure to meet you. I just checked out your profile. You don't appear to be a trader. All of your many...
Oh, there's plenty of getting stopped out by a single tick, entering on top ticks, just like discretionary traders. Just automated and driven by a...
LOL. I appreciate your candor. Perhaps you're right that it's mostly bored day traders. I'm trading 100% systematic. Hoping to add a more...
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