Quant Mashup - Falkenblog
Convexity Explains the High BitMEX ETH Funding Rate [Falkenblog]
BitMEX offers swaps that make it easy to lever a long or short bitcoin (BTC) and ether (ETH). The main reason it trades so much is that they are based outside of US or EU control in the little archipelago-nation of Seychelles, and also that it transacts only in Bitcoin. This combination makes it
- 3 months ago, 1 May 2019, 11:20pm -
Why Taleb's Antifragile Book is a Fraud [Falkenblog]
In Nassim Taleb’ book Antifragile he emphasizes that ‘if you see a fraud and do not say fraud, you are a fraud,’ I am thus compelled to note that Antifragile is a fraud because its theme is based on intentional misdirection. The most conspicuous and popular examples he presents are also
- 5 months ago, 13 Mar 2019, 09:59am -
Why My 1994 Low-Vol Dissertation Didn't Make Impact [Falkenblog]
Pim van Vliet posted a link to my 1994 dissertation, noting it was an early documentation of the low-vol effect. One may wonder, why did this early evidence fall flat? Clearly, lots of things, but I'll try to highlight the keys. Here's my lead paragraph, which makes clear I saw the low vol
- 1 year ago, 16 Apr 2018, 02:18pm -
Finding Alpha pdf [Falkenblog]
My book The Missing Risk Premium is a steal at only $15, but my first book, Finding Alpha, is a $65, which is a bit much for anyone not expensing their books. Finding Alpha goes over why the current asset pricing model fails, with lots of evidence, explains why economists still like it, and then in
- 2 years ago, 21 Aug 2016, 08:26pm -