You can start by looking at an index, but then you must test on something tradeable, such as SPY or S&P futures.
Thanks. So a big customer sell could drive an ETF price below INAV. That causes an Authorized Participant, perhaps the one that bought the ETF...
I am trying to understand what causes ETF inflows and outflows. Is the following thinking correct? If an investor wants to exit a big ETF...
Aren't firms like Citadel and Susquehanna trading options in an automated fashion? Aren't there systematic volatility hedge funds? I do think...
Thanks to everyone for their informative replies.
If a stock is trading at 10.00-10.01, and I place an order to buy 10,000 share at 10.00, will the broker I use (say Fidelity vs. Interactive...
Let's be respectful. Yes, some women are much more attractive than others, but I would not refer to any woman as an "ugly fat pig".
Wrong! There is no reason to assume the Sharpe ratio of the S&P 500 approaches 1 over time. In fact, if you assume historical volatility of about...
Thanks for presenting your strategy. Here are a few comments and questions. It's been mostly a bull market. If every time you sold an option...
1. See the paper Recovering Probabilistic Information From Options Prices and the Underlying or the article Estimating Option-Implied Probability...
Here are some quotes from a Wall Street Journal story about how a successful hedge fund manager uses options. It is useful to be able to back out...
I think a retail options trader should try to understand option theory at the level of Natenberg's "Option Volatility & Pricing: Advanced Trading...
Amazon is starting a forecasting service for business, using methods employed in its own operations. Users will upload their time series data and...
To clarify, what I quoted appeared in the daily announcements, and I think it appears more than once a week, but it may not appear every single day.
At the public middle school my children attend in Massachusetts, the daily announcements include the following: Queer-Straight Alliance Are you...
Sometimes I post when the markets are moving in a way that especially surprise me, asking for color. For example VIX and VIX futures were...
What do people think of Real Vision? Offering Inspiration and Advice, Real Vision Is HGTV for Hedge Fund Hopefuls By Landon Thomas Jr. New York...
That's true. For some markets that interest me, and which I have studied, I have created some indicators that predict daily returns in a multiple...
The NYU Tandon School of Engineering has created a Machine Learning and Reinforcement Learning in Finance Specialization with four courses on...
Ideally your model will predict both the mean and volatility of returns. Exponentially weighted realized volatility and GARCH models have been...
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