I'd agree that you'd not want to publish your idea if it works. The typical academic journal referee wouldn't appreciate it anyway. It's like...
Yes, that works. No wash sales if you don't trade in December.
Meanwhile, Congress trades based on inside government information with no repercussions....
As far as a long-term investment, how do you factor in government incentives to restrict crypto in order to maintain the effectiveness of fiat...
Another consideration is Biden raised a large amount of campaign dollars from Wall Street. He owes them a few favors.
Professor Cornell comes off as the epitome of ivory tower cluelessness. How is a so-called investments expert seemingly unfamiliar with the...
The main reason is shorting has become incredibly difficult since the end of the financial crisis, probably because of the Fed's influence on the...
No reason for a "market neutral" fund to remain 22% net short after the market dropped. If you re-balance to market neutral after the market drop,...
Well, worst case is 5 cents on $20, or 25 bps per trade. Even half that annualizes to 37% per round trip. Not too many day traders clear that.
Sounds like it is per share, which of course would devastate HFT and many forms of day trading. I think as long as it's a NY tax, rather than an...
Perfect, thanks a lot! I'll order one today.
Thank you. It slows down at times, and I've wondered why, so this helps. I load real time data for 1,000 stocks into Excel (1,000 rows x 10...
Thank you. What max temperature is OK? I'm getting readings of ~98 degrees for package and from 80-100 on the cores.
I don't think it exists other than the two-stock combo at IB mentioned earlier. Yes, it is useful. I programmed it as part of a larger automated...
There is a small limit to the number of legs, just two, I think, maybe three. Otherwise, this would work.
That being the case, I'm sure you'll find the Ph.D. a waste of time. Then again, as you're looking for a hedge, the Ph.D. can be your own hedge in...
"Business" is a broad discipline. What area of business, e.g., finance? I don't know too many first-year finance Ph.D. students, at least at...
There are a few good ones here: https://www.advisorperspectives.com/dshort/updates/2018/06/25/margin-debt-and-the-market
Good point. I've been trained to cite the seminal paper. A follow-up paper that documents a similar pattern based on more recent data is:...
Very nicely explained. In theory, the math for the numerator of the Sharpe ratio in the context of a market neutral strategy works out to: (Long...
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