You mean re-straddle components that have had outliers in opposite directions right? Good luck with journal no.4 Riskarb. I'm still trying to arrange an account with ABN AMRO through German friends...but taking some time Hopefully I can play along with you soon. MoMoney
:eek: You'll like ABN. I have hopes that they'll extend durations and increase the max on barriers, currently 10k euro. Thanks guys.
They're definitely worse than BOM, and far worse than interbank. I still use Oanda due to deal size [$20k per account], tight spot spreads, and the discrete durations.
I am using an off the shelf dispersion app and lmt-expo. I won't be discussing the notionals, hedge ratios or weightings... This will be a pure dispersion with all Dow components represented. The only non trivial variable will be the outlier trades.
Will you be using your proprietary dart for setting up the barriers or have you invented a different signal? Much success in your journey!
You guys keep requesting mo's translation services so often that perhaps you should pitch in a few bucks each month and compensate the guy. After all, he has to recover the tuition cost of his PhD in nuclear science.