SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 33 matches

by lloydsatchwell
May 15th, 2020, 12:28 pm
Forum: Politics Forum
Topic: Are you ready for Brexit?
Replies: 745
Views: 55186

Re: Are you ready for Brexit?

The EU was famously described as a "monument to the vanity of intellectuals". At this time, I think that describes a number of things quite well.. I'm  fortunate  (or unfortunate?) enough to have been to all the former soviet states and think we have enough "Fallen monument" parks to remember where ...
by lloydsatchwell
March 30th, 2020, 9:34 pm
Forum: General Forum
Topic: Cleaning Tick Data
Replies: 2
Views: 2998

Re: Cleaning Tick Data

From Reuters, Bloomberg or elsewhere? Equities, Derivatives, Bonds, FX? Facing issues with removing outliers or something else?
Cleaning and normalising can be a frustrating task, but having something usable in a standard or language specific to your use case can make it worth the effort
by lloydsatchwell
March 29th, 2020, 6:38 pm
Forum: Off Topic
Topic: Is the cure worse than the disease?
Replies: 35
Views: 2284

Re: Is the cure worse than the disease?

It's not obvious either way. Our societies are complex systems, and seems we at least run the risk of over allocating to slowing the virus without a cost/benefit to that. Non trivial, but would be nice to see some of that being done, or at least a nod to it.. Or as Paul says, maybe that's just heart...
by lloydsatchwell
March 29th, 2020, 6:30 pm
Forum: Trading Forum
Topic: Trading halts, circuit breaker rules in the US
Replies: 13
Views: 6494

Re: Trading halts, circuit breaker rules in the US

What is their response when you suggest it may be that NAVs are dislocated from the "real value" and the ETF better represents the perceived value of the underlying? The market structure & price discovery process of a number of assets has become a more interesting in these times, to me at least. Sep...
by lloydsatchwell
March 15th, 2020, 8:28 pm
Forum: Off Topic
Topic: How good or bad are the pandemic warning models?
Replies: 856
Views: 92737

Re: How good or bad are the pandemic warning models?

Text message from one of the 200 “scientists” saying he doesn’t know much about the subject but trusted others on the list!!! Of all the species who we should be taking advice from sheep are low down on the list. Sounds like herd credulity..! Successful scientists usually have humility as a trait, ...
by lloydsatchwell
February 26th, 2020, 7:27 am
Forum: Off Topic
Topic: How good or bad are the pandemic warning models?
Replies: 856
Views: 92737

Re: How good or bad are the pandemic warning models?

https://www.theatlantic.com/health/archive/2020/02/covid-vaccine/607000/ One of the less sensational articles. "The Harvard epidemiology professor Marc Lipsitch is exacting in his diction, even for an epidemiologist. Twice in our conversation he started to say something, then paused and said, “Actu...
by lloydsatchwell
September 25th, 2019, 7:47 am
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 798
Views: 107936

Re: End of bitcoin?

Good forecasting on Libra so far - seems to have been a trigger for making central banks shift gears on the topic.

Trading and Arbitrage in the Cryptocurrency Markets - something to read on market structure
by lloydsatchwell
June 19th, 2019, 10:41 am
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 798
Views: 107936

Re: End of bitcoin?

Keen to hear Wilmott forum thoughts on how this story might play out
by lloydsatchwell
May 15th, 2019, 11:49 am
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 798
Views: 107936

Re: End of bitcoin?

In modern days, "a Marxist" is just a code word for "a politician who could raise my taxes". I hope my code is literal (it usually needs to be understood by a computer) so was respecting McDonnell's own self identifcation when he said "I am a Marxist". Perhaps in future I can prove his identity wit...
by lloydsatchwell
May 8th, 2019, 8:30 am
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 798
Views: 107936

Re: End of bitcoin?

The crypto-libertarian world view probably makes him nauseous given his positions on market inefficiences and cold words about Adam Smith's invisible hand. To be fair, at a fledgling stage there are quite a few inefficiences in that market structure.. His information asymmetry & adverse selection wo...
by lloydsatchwell
March 20th, 2019, 11:26 am
Forum: Trading Forum
Topic: Detecting front running using machine learning algorithms
Replies: 9
Views: 5692

Re: Detecting front running using machine learning algorithms

Came across a nice summary of how that last bit tends to work:
When fundraising: AI
When recruiting: ML 
When building: Linear Regression  
by lloydsatchwell
February 11th, 2019, 4:01 pm
Forum: Trading Forum
Topic: Detecting front running using machine learning algorithms
Replies: 9
Views: 5692

Re: Detecting front running using machine learning algorithms

As mentioned above, defining front running may be a good place to start if there is something specific you are looking for. However, what some commentators have described as "front running" is really just quote fade & adjustment by liquidity providers. If you do not have a clear definition, analysin...
by lloydsatchwell
February 7th, 2019, 11:08 am
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 798
Views: 107936

Re: End of bitcoin?

CBC coverage even includes courtroom photos of Quadriga's bookkeeping on top of a stove, with a lit candle...
by lloydsatchwell
January 4th, 2019, 11:48 am
Forum: Book And Research Paper Forum
Topic: The FLAW & HOW TO FIX CAPITALISM
Replies: 17
Views: 10725

Re: The FLAW & HOW TO FIX CAPITALISM

I certainly welcome recommended reading on free banking and capitalism fixing "captialism".There seems to be a renewed interest in free banking & private currencies. Perhaps new possibilities with the advent of new technology. Free banking & private currencies was the topic that otherwise likeminded...
by lloydsatchwell
December 4th, 2018, 8:29 am
Forum: Politics Forum
Topic: UK and the EU: In or out?
Replies: 2196
Views: 137839

Re: UK and the EU: In or out?

Can someone use this and explain to me why Brexit is a good idea? Because GDP = Consumption + Investment + Gov Spendng + (Exports - Imports) So if we stop trading with the EU entirely, with a deficit of ~ £60bn, folks in the UK will be about a grand richer each! Terrible, ceteris paribus anaylsis, ...
GZIP: On