2 ms·
> Short-term trading signals are systematically arb'ed away This isn't necessarily true. There are demonstrable, persistent calendar effects that can be reliab
by 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