tag:blogger.com,1999:blog-261139923818144971.post1098730175033204187..comments2024-03-29T07:20:07.753+00:00Comments on This Blog is Systematic: David Versus GoliathRob Carverhttp://www.blogger.com/profile/10175885372013572770noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-261139923818144971.post-35807175445984197722016-01-10T18:52:27.463+00:002016-01-10T18:52:27.463+00:00I could an article, but really there isn't muc...I could an article, but really there isn't much I could put that wouldn't be in the seminal papers like:<br /><br />http://www.nber.org/papers/w19325<br /><br />http://onlinelibrary.wiley.com/doi/10.1111/jofi.12021/full<br /><br />http://onlinelibrary.wiley.com/doi/10.1111/jofi.12096/full<br /><br />Good luck with your thesis.Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-25372483564059400102016-01-10T08:29:49.081+00:002016-01-10T08:29:49.081+00:00Hi Rob,
Firstly thank you so much for your article...Hi Rob,<br />Firstly thank you so much for your articles!<br />They are so informative and practical.<br />I was wondering if you could do an article on the carry trade/ co integration strategy (hedged strategy) as I am looking at writing a thesis on it.<br />Many thanks and best,<br />Andrewandrewczhttps://www.blogger.com/profile/05621042370193042292noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-68866368016822006642016-01-10T08:21:47.300+00:002016-01-10T08:21:47.300+00:00Hi Rob,
Firstly thankyou so much for your articles...Hi Rob,<br />Firstly thankyou so much for your articles. Really informative and probaly some of the best practical information out there. Big fan here!!!<br />I have a question, I was thinking of doing a thesis on the carry trade strategy (how to hedge it) and was wondering if you would possibly have the time to do an article on it.<br />Many thanks and best,<br />ANdrew<br />andrewczhttps://www.blogger.com/profile/05621042370193042292noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-36200660439032319412015-11-26T06:21:51.093+00:002015-11-26T06:21:51.093+00:00There are a variety of reasons why I don't tra...There are a variety of reasons why I don't trade instruments, not just liquidity. Some instruments are too big (JGB). For some the data is too expensive. And of course I'm limited in the number I can trade. <br /><br />As it happens I'd trade OJ if I didn't have these constraints and could trade say 100 contracts, but Lumber, oats and rice I wouldn't bother with. <br /><br />Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-56108587663021051702015-11-25T20:32:20.404+00:002015-11-25T20:32:20.404+00:00What are the less liquid contracts that a large fu...What are the less liquid contracts that a large fund trades? Orange Juice, Lumber, Oats, Rough Rice, what else?Unknownhttps://www.blogger.com/profile/18171152161121468270noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-21171751253200318442015-11-17T13:33:46.694+00:002015-11-17T13:33:46.694+00:00It probably would... except I don't know how t...It probably would... except I don't know how to do that. All the analysis I've done points to the fact it is really hard to overcome the transaction costs of trading faster. I don't see any point in trying. Of course there are people out there who seem to be able to do it, but it's not for me.<br /><br />Having said that I do trade a little quicker than a large fund, mainly because I trade the 40 more liquid (and hence cheaper) instruments out of the 300 or so of the large fund.Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-10646297163909643272015-11-17T13:15:03.630+00:002015-11-17T13:15:03.630+00:00Would in not make sense to trade at a higher frequ...Would in not make sense to trade at a higher frequency where large funds can't participate due to capacity constraints? Xavier Witdouckhttps://www.blogger.com/profile/16940880005069644051noreply@blogger.com