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You’re fast enough, dude :) It’s a simple conditional probability. You have P(nomination) = 40% and P(presidency) = 25%, which means that P(presidency|nomination) = P(presidency)/P(nomination) = 25%/40% = 62.5%. It’s from predictit.com from a few weeks ago, I don’t follow these markets as much...

I have not looked at the prediction market lately, but last I checked the conditional probabilities were such that if Bernie is nominated as the Democratic candidate, he has higher than 50% chances of winning against Trump. I think it was something like 25% chance of next president being Bernie...

I think most people I know in pro finance feel that Bernie is bearish for both the equity markets and for the bond markets. because of the tape bombs about China/Corona?

You think we are due for more pain tomorrow?

It would make sense and it's mostly a good thing. Biases tend to be more persistent and are easier to capture with limited infrastructure. This said, it's hard to attribute these things well.

In fairness, you don't really know what he's trying to do here. For example, he might be doing some sort of ex post experiments to establish pricing efficiency (i.e. knowing the actual realized vol and simulating delta hedging at each point in time). In any case, learning to price options from...

Well, I'd imagine that your strategies are exploiting a very specific feature, so it's hard for me to comment. In general, however, liquidity and efficiency go hand in hand. Something like the spooz are very liquid and extremely efficient, while something like SET50 futures have all sorts of...

If you assuming geometric SR, no serial correlation of your returns, no alpha decay etc, probably so. Once any of these assumptions is broken, I am not so sure. For example, if you are beholden to dollar Sharpe (many prop shops do that), it becomes a very different decision. Sorry, "smoothness"...

You want to pick the interest rate that’s closest to the expiration of the option (ideally, you’d want to interpolate it exactly). The management fee is listed in the prospectus. These are the easy parts. Borrow rate is what the market makers get charged for borrowing the ETP to sell short...

VXX is an ETN, which underneath is a rebalancing futures index plus a cash deposit. In terms of interest rate, while the futures index is going to be purely excess return, the cash is going to accrue riskless interest minus the management fee. In real life, you probably want to also the borrow...

“there is no such thing as wide markets, there are only narrow minds”

Yeah, that makes a lot of sense. Biases are also known as "risk premia", they are persistent and can be tracked historically in one way or another. Inefficiencies, on the other hand, are fleeting and your ability to capture them is primarily driven by your process (models, execution etc)...

"Bought into that"? It does not take a genius to look at average global temperatures

All they need to do is to hire a Russian-backed stooge and they are destined for greatness (again, of course) :)

I'd think there is a big difference between a historical study and a backtest. Let's take a different example - let's say someone out there is picking out volatility trades. She can look at the history of implied volatility and history of realized volatility to find trades with positive...

Let’s distinguish a “backtest” from a “model calibrated to historical data”. A regression that take some outcome (e.g a level of a book being taken out) on some input (e.g. ratio of size at top of the book to exponential average of all levels) and produces some values used in forecasting is a...

If we are talking about Advances in Financial Machine Learning book, I have read it and found it mildly entertaining. Some of the specific topics were over my head, some generic stuff was full of truisms, some was "ho-hum" and most was "WTF is he talking about". It's impossible to deny that a...

Of the top of my head, without thinking much - Tidjane Thiam (UBS), Shriti Vadera (Santander) and Ken Olisa (Restoration Partners). If you walk on a trading floor in London, you see more asian and black faces than you do in the NYC.

In the end, it's all about judgement. I've deployed plenty of strategies without any backtesting and plenty of strategies with rigorous backtesting - it would be hard to say which one is preferable without caveats. Here is a concrete example. You're a UHF market maker and planning to deploy a...