Smartest thing I have heard so far. Many of these advanced models exibit curve fitting or work only on a large time scale and have results no better then a simple reversion to the mean model. I predict that until we can get our hands on quantum computing we won't be experiencing any significant break throughs in the field of finance. -Neo
================= Laugh out loud, on thaT one, Nazzsdack. Could even be an exception to the rule, but it would take more than some months to prove. Could possibly be an exception to the rulw on Predictors LLC that was bough by UBS; they're located in Santa Fe ,New Mex. Not a prediction. It is true , that they discovered, not to long ago; blackberries, blueberries, strawberries help your brain work better
I almost took this post seriously..then I opened up the PDF and saw "The trade that made too much money" Learn how one HFT made outsized returns by trading options on realised variance. yawn....regardless of the approach price will always be price.
No, not exactly. You gotta understand not all quants are the same!! LTCM's approach is one of many quants approach. Unfortuantely, it failed and everyone associate LTCM's approach as the "quant" approach. This is not true. There are probably some quant methods that work that people will never hear about. And their approach philosophically is flawed according other quants.
It was? I have seen several DOW +/- 200 point days in the last three months, and a slew of +/- 100 point days. Markets are changing... nitro
Yes, no disrespect to Jerryz intended but it you havent been trading/watching markets for very long this volty would seem to be high.....its not. Welcome back volty....I have missed you
Most people are under the mistaken expression that LCTM failed mainly due to a failure of their models, but it was more like the fact that they strayed away from their models. They started to make directional bets instead of following their market neutral strategy, they over-leveraged and lastly they kept adding to losing positions. According to what I've heard, if they weren't over-leveraged they could have salvaged much of their portfolio and actually made a profit. -Neo
Science Advancements on trading Could somebody tell me what is a "scientist" as related to market-trading? Must be some hybrid between our Jack and a Quant I guess. More seriously: Does anybody around here know what is meant by "science", "scientist" and "scientific knowledge"? nononsense, Ph.D.