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  • 11 votes cast
Feb
13
awarded  Critic
Dec
18
answered How can I calculate the margin requirements for a Bitcoin futures contract?
Nov
14
answered How to synthesize a futures spread option?
Oct
15
awarded  Teacher
Oct
15
answered Minimum variance hedge with more than one asset
Sep
19
comment Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
I feel compelled to point out that plugging your t statistic into the t distribution does not give you the probability that the excess returns were from luck. Instead, it gives you the probability that the fund manager would have earned those returns if he was unskilled (your null hypothesis), and if your distributional assumptions are correct (which they're almost certainly not).
Jul
25
comment Trading a stock (or other asset) based on Bollinger Bands.
"There are people who make a killing trading ... bollinger bands, and there are on the other hand 1000s of others who lose money day in day out." -- I feel obliged to point out that if you get thousands of people to trade a strategy, and they all implement it slightly differently, then you expect some of them to make great profits through chance alone. Even if the strategy has negative expectation overall. That doesn't mean that they're great traders or that they are smarter, or put in more work. It means they got lucky.
May
25
awarded  Supporter
May
25
awarded  Autobiographer