all-prop

fx mm

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@quant_arb vol normalized log returns?

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@quant_arb any logic where you might warehouse more risk than the TWAP would suggest bc of <1min/5/15 alphas?

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@Mang0_trad3r @macrocephalopod @BobEUnlimited @nishantkumar07 i think. With same reasoning a sharpe 3 strats should still have losing years 2.5% of the time

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@Mang0_trad3r @macrocephalopod @BobEUnlimited @nishantkumar07 assuming normal distr. yearly returns. Looking for P(R>0), which is P(R - mu / sigma > 0 - mu / sigma) which is P(Z > -sharpe) which is P(Z < sharpe) which is P(Z < 1) where Z is standard normal variable which is (look it up) ~0.83 which is ~5/6.

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@blockbaron69 @liquiditygoblin @weaponizedFOMO ofc lol. but saying “banks and mm” is saying “cheese and cheese”

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@liquiditygoblin @weaponizedFOMO i mean banks are mm so idk what your trying to get across

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@liquiditygoblin @weaponizedFOMO at first order i don’t understand how you difference MM and banks. And my answer is in response to your follow up not ur initial question

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@liquiditygoblin @weaponizedFOMO there

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@liquiditygoblin @weaponizedFOMO since when does bank hedge once daily?

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@idro___ fireducks?

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@quant_arb -matplotlib +plotly
-pandas + fireducks

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@JonathanRemy8 alright, risk on, usdcad back down

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@quant_arb try 8

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@longironcondor @Biggiethelad1 Fireducks

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@macrocephalopod Would u say the same for the comp. fin. masters at oxford?

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@DannyDayan5 @jhvaranda @JackFarley96 @bennpeifert Momentum wins!

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@DannyDayan5 @jhvaranda @JackFarley96 @bennpeifert what a deep conversation on mean reversion vs momentum