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Collector
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Super quants

September 29th, 2019, 12:15 pm

i try to understand what kind of models super quants are using to get enormous return on low risk, as a quant novice I am studying the introduction books "Futures and Options Markets: An Introduction"
Screen Shot 2019-09-29 at 2.04.53 PM.png
 mirror strategy...hemm, some complex secret math behind that I guess! One of the first using Machine learning before others knew about it?

 can someone experienced in such quant strategy tell me the Sharpe ratio on this, distribution, skewed, fat-tails? 
 
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FaridMoussaoui
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Re: Super quants

September 29th, 2019, 3:52 pm

The strategy: your don't receive a margin call from your broker when you have a heavy loss (-$100k on a "small account") and wait until you are right on the trade to collect your profit.
 
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katastrofa
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Re: Super quants

September 29th, 2019, 3:59 pm

The strategy: your don't receive a margin call from your broker when you have a heavy loss (-$100k on a "small account") and wait until you are right on the trade to collect your profit.
If I understand it rightly, the mathematical trick for this strategy is known as St. Petersburg paradox.
 
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Collector
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Re: Super quants

September 29th, 2019, 5:56 pm

I heard only the Kyiv paradox can trump this strategy!
 
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katastrofa
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Re: Super quants

September 29th, 2019, 8:22 pm

Dead or alive?
Image
 
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bearish
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Re: Super quants

September 29th, 2019, 11:35 pm

Dead! Or, technically alive, but destined for premature death.
 
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Cuchulainn
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Re: Super quants

September 30th, 2019, 12:56 pm

Kat, what's John Bercoe's cat called?
"Compatibility means deliberately repeating other people's mistakes."
David Wheeler

http://www.datasimfinancial.com
http://www.datasim.nl
 
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katastrofa
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Re: Super quants

September 30th, 2019, 1:30 pm

Kat, what's John Bercoe's cat called?
Order
 
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Collector
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Re: Super quants

October 4th, 2019, 10:38 pm

A note on odds in the cattle futures market by Seth, Jackson and Steagall

"This paper investigates the odds of generating a 100-fold return in the cattle futures market. We employ cattle futures data for the period October 11, 1978, through July 31, 1979, to compute the probability of obtaining such a return. The tests are constructed to give the investor the benefit of the doubt whenever doubt exists. The most conservative finding is that the probability is one in approximately thirty-one trillion. Assuming that the return is made in the most efficient way possible, this probability falls to approximately 1.5×10−16."

hmmm did they use Gaussian based tests (not access to the full paper from the remote area I am now).  I can see several things not being Gaussian distributed here, the returns and the...

(PS I suspect Fabozzi misspelled as Eabozzi and Hull as Holl)


"the First Lady attributed her success to her advisor James Blair’s “theory that because of the economy in the early part of the 1970s, a lot of cattle herds had been liquidated, so that there was going to be a big opportunity to make money in the late Seventies."

Mø!
Last edited by Collector on October 4th, 2019, 11:09 pm, edited 1 time in total.
 
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bearish
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Re: Super quants

October 4th, 2019, 11:09 pm

Kat, what's John Bercoe's cat called?
Order
Would that be "Awdah!"?
 
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katastrofa
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Re: Super quants

October 5th, 2019, 5:54 am

John Bercow is cool. With his stepping down it will be the end of the show for me. But then again I was sceptical about Peter Capaldi, and after the first episode I loved him.

You're grazing on risky pastures, Prof. Collector: https://vegnews.com/2019/9/beef-and-dai ... eport-says
 
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Paul
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Re: Super quants

October 5th, 2019, 7:04 am

Bullies are not cool!
 
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Collector
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Re: Super quants

October 5th, 2019, 7:06 am

Take them by the horns?
Screen Shot 2019-10-05 at 11.21.23 AM.png
 
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FaridMoussaoui
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Re: Super quants

October 5th, 2019, 2:43 pm

A note on odds in the cattle futures market by Seth, Jackson and Steagall

hmmm did they use Gaussian based tests (not access to the full paper from the remote area I am now). 
You can have it from anywhere with sci-hub.
 
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tagoma
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Re: Super quants

August 22nd, 2020, 10:23 pm

(my background: quite a lot of years in the ags space).
FWIW I haven't read the this whole research paper ("not free, no go"), hence know very little about the authors' methodology. I just want to stress that cattle market (as well lean hogs) are quite "specific" markets in the sense that they are in the hands of a few players (Tyson, Smithfields...). These are very difficult markets to trade for outsiders. Actually, there are many jokes around trading cattle/lean hogs ("got suicidal, started trading cattle?") among ags traders. You would trade grains, but not farm animals. I believe it has been so for decades (authors used trading data from the 70s).
I'm a also puzzled by the "period October 11, 1978, through July 31, 1979" used in this study. Cattle markets are obviously (super) seasonal and based on cycles. I mean a hardly 10-month long time length seems too short (but once again, I know almost nothing about authors' methodology, what type of trading it is, etc...).