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Short-term trading signals are frequently arb'ed away. But long-term structural patterns take far more capital to arbitrage and your position can be deep under
by panarky 7y ago
Short-term trading signals are frequently arb'ed away.
But long-term structural patterns take far more capital to arbitrage and your position can be deep under water for years at a time.
There just isn't that much patient capital.
- nickles 7y ago> Short-term trading signals are systematically arb'ed away This isn't necessarily true. There are demonstrable, persistent calendar effects that can be reliably traded. Such trading can be thought of as a service being provided to market participants for a fee (e.g. balance sheet as a service).
- lbotos 7y agoExamples? I believe you, just wanna think about this more.
- nickles 7y agoI apologize for not being more specific, but that was deliberate. Please trust that there are very real phenomena that can be monetized. One example of a calendar effect that is likely not easily monetized is the 'Christmas effect' for VIX [0] due to decreases in trading activity. [0] https://jai.iijournals.com/content/20/2/65 https://jai.iijournals.com/content/20/2/65