Thumbs up, LOL

Neomodern Drawing Board -Serious

Normally a trader would put a piece of arbitrary claim such as "Stat Arb won't work" or "market neutral strategy is doomed" into a paper shredder, enjoying the Whirrrshhhhhhhcccchhh sound as it goes, LOL. I am not that kind of trader and long passed ...

Market Neutral Corner

It is not possible to predict the expected value of a Cauchy Distribution

Why it is possible to predict price movement?

A good starting point for the inquistives Trading Spreads and Seasonals The Handbook of Pairs Trading Pairs Trading: Quantitative Methods and Analysis Blindly following trading methods in educational materials without checking their premises won't ...

Market Neutral Corner

-100%

Realistic Monthly Trading Profit?

1. I agree you for saying "every trade is kind of spread"---no instrument can be quoted without a fiat currency "price" assigned to it, which essentially means for every transaction, a trade involves not 1 but 2 instruments: buys/sells an instrument ...

Market Neutral Corner

Thank you for chipping in. You would've need at least two instruments to construct a spread.

Market Neutral Corner

Not a conventional view but alright, what about stocks traded in NYSE quoted in USD(ex. MSFT/USD)? Are they spread trade in your definition? I like the "trim excess volatility affecting your desired outcome" part. A fundamentalist's approach of ...

Market Neutral Corner

url

Market Neutral Corner

I meditated on what you said about spurious relationship for a few days and still feel the importance of it could not be appreciated enough; a highly-correlated pair/basket indicated by statistics alone does not insinuates fundamental tandem of long ...

Market Neutral Corner

@PipMeUp Don't know if you are comfortable with semi-discretionary style, but I use technical analysis to devise entry/exit rules as if the basket is just another ordinary spearding combo without any "neutrality" assumption; of course, no BB as ...

Market Neutral Corner

I was hesitant to use a movie Jiangshi picture coz' it may crept the hell out of some non-asians. YOU DID IT!!!

Technical Analysis Fallacy

By managing positions are you referring to rebalancing? We may come from different schools in that regards---mine's static hedge so the rebalancing won't happen as often as your dynamic hedge.

Market Neutral Corner

Support from image

Technical Analysis Fallacy

Couldn't agree more. Beneath China's exponential growth rate fueled by infrastructure bubble on the verge of explosion lies more fundamental viscosity nurtured by the unchallenged party of totalitarian naivety that long abandoned heritage for the ...

Technical Analysis Fallacy

You are right. To avoid being caught in the Gaussian, one would ditch Pearson and replace it with Spearman; finding a substitute for SD's bit tough though. Thanks.

Market Neutral Corner

merguise Synthetic or not, PipMeUp's example should be sufficient enough to explain the difference between correlation and cointegration in the most logical manner. Confusing? Quite so if it is the first time you hear the phrase "cointegration". ...

Market Neutral Corner

Neutral to "direction", yes. Then you have to have a strict definition for "direction"; unlike dollar neutral, beta neutral which describe underlying risk exposure, direction neutral is quite vague if not too subjective. For pure Pair-trading ...

Market Neutral Corner

"Market Neutral" is a confusing & oversimplified term; neutral to what exactly? Neutral to certain currency exposure? Neutral to equity market risk overall? Neutral to Delta? Neutral to what kind of basis risk? After we apply some makeup *cough* I ...

Market Neutral Corner