avvt4avaw

7 ms·

31.
by avvt4avaw 6y ago
This is pretty clearly an advertisement disguised as content.
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by avvt4avaw 7y ago
Remember that the initial fall in oil price was a supply shock (Saudi Arabia upping production) that was only exacerbated by lack of demand. If demand comes back it won’t push oil back into the 50s/60s.
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by avvt4avaw 7y ago
The market hit a circuit breaker this morning when it was 7% down. No one could trade at the open, not even professionals, because the market was stopped.
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by avvt4avaw 7y ago
For example, if the yield on a long-term bond is 3% and repo rates are only 2%, you might buy the bond, financed with a repo transaction, and bet that over the term of the repo, the bond’s price will hold up enough to allow you to profit fr
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by avvt4avaw 7y ago
I worked in an investment bank (Barclays Capital) in 2008, and at the time we were already developing models which could handle negative interest rates. The idea that this is somehow a new problem that has "broken the pillars of modern
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by avvt4avaw 7y ago
Sure, which is why I said that _most_ passive investments are not really passive. Vanguard Total Stock Market is pretty passive, as long as you consider your investment universe to be "US stocks". But even in this case the fund on
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by avvt4avaw 7y ago
You only need the marginal investor to be informed, so it's not clear that you couldn't have a much higher percentage of passive investment (say 90%) and only a small amount of active investors who are providing price discovery. T
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by avvt4avaw 8y ago
A couple of things I found interesting in this document, speaking as someone working in quantitative trading over 35 years later - 1. Baum and Simons started by using a momentum strategy to trade currencies, years before this was commonly d
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by avvt4avaw 8y ago
Look at the other people on the list this year. Donald Trump. Cardi B. Hugh Jackman. Satya Nadella. Sean Hannity. Jacinda Ardern. Elon Musk. Oprah Winfrey. You can argue about the exact selection of people. You can say that Time is 'po
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by avvt4avaw 8y ago
She was listed by Time magazine as one of the 100 most influential people in the world in 2016 -- not one of the most influential writers, but one of the most influential people. So it seems fair to say that she is one of the most famous wr
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by avvt4avaw 8y ago
Presumably they're not investigating de Putron because it is clear what the source of his donations is (he has a lot of money and owns a profitable quant trading firm).
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by avvt4avaw 8y ago
This massively oversells the usefulness of the Kelly Criterion. The opening lines are > One should buy stock when it is undervalued. What I have always wondered about is how much stock one should buy. A few months ago I stumbled upon the
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by avvt4avaw 8y ago
Authors: Wijnand A. P. van Tilburg & Eric R. Igou
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by avvt4avaw 9y ago
Here is the paper, which is not linked in the news article - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3127825
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by avvt4avaw 9y ago
AQR are certainly not a high frequency trading firm, and Renaissance may do some high frequency trading, but they are not primarily a high frequency trading firm. Where did you get that idea? The paper explicitly addresses the point that
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by avvt4avaw 9y ago
Quantitative trading is certainly an information game, but that does not mean that the information being used is insider information (which has a specific definition - privileged access to material, nonpublic information). There is a large