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Hey guys! I’ve just released a refined, compact edition of one of my newsletter series on the foundations of quantitative trading. It is a theoretical introduction designed for aspiring quants who are beginning to explore the field. The focus is on first principles, method, and the conceptual framework behind quantitative trading.
Link in the comments. I hope you enjoy it.
The problem is that the additional reward depends on price changes and sentiment, not on how much of each asset the agent actually holds or trades.
There’s only one reason I haven’t told X to fuck off. 🤣
Auditor resignations are another data source because it can reflect governance and risks. Indeed, his job can be assessed as any other event. Here, the bearish setup carries high conviction when a resignation intersects with deteriorating liquidity.
The authors acknowledge in Section 3.1 that the dynamic program uses the entire realized order-flow path of the evaluation day, including information that becomes available after each trading decision 😬 in other words, look-ahead bias
The jackknife method systematically evaluates the impact of each observation by recalculating the median after its removal <3
Resolved filing delays create opportunities when the 10-Q or 10-K report numbers that match expectations. The long thesis strengthens once accounting issues are clear, and the stock begins recovering the NT drop. Here the entry triggers after the filing posts.
Interesting interpretation for the Sunday morning. I only have to say that learning a representation of market microstructure is not equivalent to learning a predictive, economically useful, or causally accurate model of financial markets.
Nobody is talking about the broadest synchronized hedge fund losses since the pandemic, but anyone can have one bad day right!?
NT 10-K is like a disclosure-risk event. With it you can score the stated reason for delay (may accounting, expected resolution time, or management). Use it as a long-avoidance filter first, then short only when price and liquidity confirm deterioration.
