I paid $100 to get futures intraday data for last few years, used very simple information extraction method, I can see the data wiggling profitably over last few years, until the middle of last year. I worked very hard on the data, making sure my computer churning 100% overnight ,..., until Christmas Eve, the CPU or may be the motherboard got burned out.
Goldman Secrets Working out of a granite-and-glass office tower a few blocks from Goldman Sachs's Broad Street headquarters in lower Manhattan, Carhart and Iwanowski hunt for market variables called risk factors that often lead to excess investment returns, or premiums. In an even darker recess, down a maddening thin spiral staircase, and protected by two kung fu geishas is a door. A black door. Behind this door toils the future of Goldman Sachs ... it's a disheveled looking man eating cottage cheese on toast and hating it. Having his sixth cup of coffee and trying not to think about the rest of the world. Ladies and gentlemen meet the stonedinvestor!
Ahhh, this story remind me of the good old LTCM. Betting on spreads that will eventually converge base on financial models. Good read. Thanks for posting it.