This Blog is Systematic

Also hydromatic, automatic: "It's Geeks Enlightening" Rob Carvers blog about quant trading, investing, and economics.

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Monday, 14 November 2022

If you're so smart, how come you're not SBF? The Kelly criterion and choice of expectations and utility function when bet sizing

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There has been a very interesting discussion on twitter, relating to some stuff said by Sam Bankman-Fried (SBF), who at the time of writing ...
8 comments:
Wednesday, 2 November 2022

Optimal trend following allocation under conditions of uncertainty and without secular trends

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Few people are brave enough to put their entire net worth into a CTA fund or home grown trend following strategy (my fellow co-host on the T...
1 comment:
Tuesday, 20 September 2022

What exactly is a CTA?

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When I use a word... it means just what I choose it to mean CTA. An industry standard term, that seems straightforward to define: Commodity ...
2 comments:
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