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The only "invocation" I've heard was linked to Oscario-Cortez who is (while an interesting personality and, tbh, rather cute) more or less irrelevant to actual legislature. I would say probability of FTT in the US is close to zero. If it did happen, I would also think it would not be the end...

Ugh, this is one of the times when I hate the whole compliance bullshit I am subject too. Can I ask why you think that's the optimal solution? Is it because you expect a very asymmetrical payoff potentially? A late friend of mine had this idea that you want to use a Roth IRA for stuff that can...

You like classical music? In my opinion, the early part of the year was like the Griegs Hall of the Mountain King, spooky andante culminating with a crazy crescendo in early Feb.

Monday, it was ~38 at the close (well, depends if you look at cash or futures close, cause it was a SHITSHOW). It was 17 and some pennies at the Friday close.

It really depends on the metric you are using. VIX index went all the way to 50 at the open on the 6th of February, for example.

It does really matter what estimator you are using since the error on your estimate are much larger than the difference between different estimators. What matters more is how well does the future volatility track your estimate, if there is any persistent error, does the asset need de-jumping...

At the level of index mathematics, not really. When the index is calculated, the stock that is being dropped and the stocks that is being added are "sold" and "bought" at the current market price. Imagine a simple index of two stocks (A and B), allocated at 50% each. If we decided to drop A and...

Index rotation is a performance-neutral event by definition. The index manager "sells-out" of the stocks and replaces them with new ones at the market prices. PS. Granted, because of the index rotation you will see some correlation to the momentum factor, but it has zero "alpha" vs the...

You don't really have to go through all of that, you know. Simply take the backtest sample, exclude your trades (under assumptions that both samples have some meat to them) and look if the strategy results (e.g. mean) are statistically significant. Then you could apply the two sample T test or...

Up is a prevailing direction in the market, so almost any "random research" would give you a strong long bias. If your dataset is biased to the recent 10 years, it's even more so (heck, there were stretches when SPX was posting a Sharpe of 3).

He has a choice of either doing SVD on the return series or getting eigenvectors/values of the covariance matrix. The result would be similar. Now, there is really no point in doing PCA only on the series your are hedging (i.e. 2s/5s/10s) - it's a dimensionality reduction technique, right?

Participation in the auction depends on many things. Sometimes you have stocks that have well over a billion in ADV and an opening auction with an average participation of under million. No real difference, as long as you participate in the opening cross it will do whatever it does. IIRC...

I am just saying that even a perfectly ATMF option (i.e. exactly accounting for the rates and divs) would have a small call bias due to the lognormality and that bias would grow with higher vol.

As a side point, ATM forward options will not have a perfectly 50-delta either, instead will have a slight bias toward the call.

Why, not only - you also get filled if your level get traded through and you are not on the touch any more :P

With the prevalence of the HF players, providing liquidity exposes a non-HF trader to massive negative selection. It's obvious that in that environment (tighter spreads, higher potential for negative selection) it makes more sense to execute aggressively if you can't compete on latency.

To add to what @CME Observer said, this business is an odd mix of an apprenticeship and education. If you find the right guy to work with, it will take you far but in the end the education comes from within.

(a) stuff that works is difficult to find and stuff that is known to everyone stops working (b) because of (a) nobody in the right mind would share anything beyond truisms (c) due to (a) and (b), be afraid of any pearls of wisdom that are shared voluntarily (d) to avoid (a), (b) and (c), find an...

Yes. The general idea is that you can't compete with HF players (unless you invest a lot of money into technology). Instead, you want to find longer-term strategies (from hours/open-to-close to weekly hold times) that can assume aggressive execution and have high pnl/tradevalue.

You only need tick data if you are planning to get involved in micro-structure games and my prior would be that you don't (not that you can easily get the types of latencies required anyways). Thus you probably can get away with 1 min bars or similar type of data.