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This may be a tricky question and I am curious to see whether there is indeed a statistical methodology that tries to answer this question. To my experience it really varies with the data you are working with. For instance, one may choose a rolling window above an expanding window when there are structural breaks in the data, hence which can affect the ...


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Well, well ... First of all, i doubt people would think of hedge fund strategies in the way you are thinking. If I were to classify, the first order of a super high-level classification would be, for example, equity stock selection (e.g. say Apple vs Google, etc.), macro selection (e.g. currencies, commodities, country bets via stock indices, etc.), or ...


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Apart from the usual risks measured by Greeks there's risk associated with volatility dynamics. Volatility surface moves with stock movement and is usually dependant on stock price level. This risk is usually modelled by extensions to volatility models that take underlying price into account or stochastic volatility models (e.g. SABR). The way to do ...


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I live very close to their office on Long Island and went to Stony Brook University, where they hire from at times - and the only few couple of people I know that got hired there were pure genius. I really doubt they are a ponzi scheme! I drive by their gates every now and then, definitely secretive but totally legit in my books.


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If we take causal determinism as a given, the behaviour of markets is in the end just physics. In principle you could simulate everything, including uncertainties due to the uncertainty-princple and obtain true expected values. This means that there is a perfect model for the markets. Any other model, if it agrees on the market values of interest for all ...



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