2
votes
How to interpret the turnover formula?
This is a very standard approach for measuring turnover from portolio weights.
First, assume there are no buys or sales during the month. Then we can predict the weights at the end of the month from ...
2
votes
How to interpret the turnover formula?
To add onto Julien's comments, you should add the labels for the variables and what they mean. The turnover (or change in weight per asset $i$) is due to this term:
$Retained\:Weights=\frac{w_i (1+r_{...
1
vote
Markout PnL why looking in the past
Too many use cases to enumerate.
One important thing it shows is if someone else is getting information earlier than you. A naive example is that some options market makers will time their sweeps in ...
1
vote
Accepted
In which context do hedge funds use the Gauss Markov Theorem?
Yet in this experiment nothing is random since the stock prices everyone have the same when training the model, so I am really confused in which kind of experiment we want the properties of the OLS?
...
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