Well, I suppose you could call it slippage. But it wasn't standard slippage. It was the fact that people knew which side LTCM was on and knew they could milk them for all they were worth.
I don't think slippage was a big deal. There was slippage when they were making good returns at the start. Big deal.
The problem was that their betting system fell apart when black swan (one-in-a-trillion) events started happening repeatedly during the Asian currency meltdown. Bets that were supposed to offset didn't anymore.
Soon, everyone knew their position and played them for it.
Their Nobel brains were mostly marketing gimmicks, too. Meriwether did what he does.
You are good. But you are the type that flames out. Take off the damned leverage. All you need to make is 30% a year for a while, and you'll beat everyone. I've seen great people go down with great systems because of overconfidence.
Nothing to be fixed. The increased liquidity lowers trading costs. Good for everyone. You see it in discount brokerage commissions, penny spreads, etc.
>>Why are you smarter than him?
Most of the people in the market really are dumb. The big money is smart, though. The trick is to get the dumb money before the other smart money gets it.
The real problem is the data. The code is much easier.
Nearly all commercially-available data is useless. Most suffers from survivorship bias. A dataset with survivorship bias will kill you in the market. For the good data, you have to pay.
>>However, it still can't predict things that a human can (yet). I doubt that a computer can incorporate thigns like global news, company announcements, and other such real world variables into how it makes judgments. That was the one thing that the article didn't really talk about.
Advantage computer. The human overweights the importance of the news item an then the computer creams him.
People throw around "efficient markets" as if they knew what the were talking about. Come back when you've read everything Fischer Black wrote on equilibrium. He was smarter than you are. Fischer Black assumed that there were a small number of superior performers. They are the ones eating up the rest of you.
>>Anyone who really knows anything about this subject will not post....The only sensible post I've read.
I do this for a living, and have been for a while. Discussion is futile because systems traders won't say anything useful. We will say nothing, or we will try to mislead you. We are interested in the $$$ and not the bragging rights. You don't believe me and I don't give a damn that you don't. So this is the stupidest thread ever.
I can't believe the dumb things I'm reading. My eyes are rolling so hard I'm getting a lens burn. I encourage you people to make neural nets and join the fray. I'd love the extra money.
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Well, I suppose you could call it slippage. But it wasn't standard slippage. It was the fact that people knew which side LTCM was on and knew they could milk them for all they were worth.
Except systems trading is legal and pump and dump is not.
I don't think slippage was a big deal. There was slippage when they were making good returns at the start. Big deal. The problem was that their betting system fell apart when black swan (one-in-a-trillion) events started happening repeatedly during the Asian currency meltdown. Bets that were supposed to offset didn't anymore. Soon, everyone knew their position and played them for it. Their Nobel brains were mostly marketing gimmicks, too. Meriwether did what he does.
No, I don't think so. Lots of offsetting bets.
You are good. But you are the type that flames out. Take off the damned leverage. All you need to make is 30% a year for a while, and you'll beat everyone. I've seen great people go down with great systems because of overconfidence.
Chaotic doesn't imply that you can't trade it. See "Fooled By Randomness."
That's funny. I like you. I own my own small quant trading company. You want a hint? I'm not in Connecticut.
Please interpret my posts in whatever way will cause you to give the most money to me.
Ignore opportunity cost at your peril.
Nothing to be fixed. The increased liquidity lowers trading costs. Good for everyone. You see it in discount brokerage commissions, penny spreads, etc.
Why the monkeys win: smallcaps.
>>Why are you smarter than him? Most of the people in the market really are dumb. The big money is smart, though. The trick is to get the dumb money before the other smart money gets it.
If you read Lowenstein's book, you'll see that at the end they weren't following their game plan, but were making big one-way leveraged bets.
The real problem is the data. The code is much easier.
Nearly all commercially-available data is useless. Most suffers from survivorship bias. A dataset with survivorship bias will kill you in the market. For the good data, you have to pay.
>>However, it still can't predict things that a human can (yet). I doubt that a computer can incorporate thigns like global news, company announcements, and other such real world variables into how it makes judgments. That was the one thing that the article didn't really talk about. Advantage computer. The human overweights the importance of the news item an then the computer creams him.
People throw around "efficient markets" as if they knew what the were talking about. Come back when you've read everything Fischer Black wrote on equilibrium. He was smarter than you are. Fischer Black assumed that there were a small number of superior performers. They are the ones eating up the rest of you.
You are wrong. With enough stocks it's a statistical play.
The arms race is won already. By DE Shaw.
>>Anyone who really knows anything about this subject will not post. ...The only sensible post I've read.
I do this for a living, and have been for a while. Discussion is futile because systems traders won't say anything useful. We will say nothing, or we will try to mislead you. We are interested in the $$$ and not the bragging rights. You don't believe me and I don't give a damn that you don't. So this is the stupidest thread ever.
I can't believe the dumb things I'm reading. My eyes are rolling so hard I'm getting a lens burn. I encourage you people to make neural nets and join the fray. I'd love the extra money.