When Hedge Funds Blow
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View Articlequantifying friction
I recently had a pretty visceral encounter with the forces of friction. No, I didn’t fall off my bike – I’m talking about the friction inherent in trading activities. I’ve mentioned Andrew Lo‘s...
View Articlea stat arb story
The always excellent Wilmott Magazine has recently posted a series of articles by Ed Thorp (pictured) in which he describes his experiences developing and evolving a statistical arbitrage product.Â...
View Articlefirst the Doors and now Michael Lewis
Photoillustration by: Ji Lee This afternoon I read by far the best and most interesting article yet on “The End” of wall st by Michael Lewis. Of course, as I was reading this engrossing tale on the...
View Articleswimming naked
With all due respect to the auto industry and the worthies in washington, the big news this morning is about Bernard Madoff. Although it’s been very well covered by the always insightful and acerbic...
View Articleship of fools
I’m delighted that Scott Johnston once again allows me to share one of his excellent monthly newsletters. Scott’s an experienced hedge fund exec who’s currently a PM and principal at the Belstar...
View Articlesend lawyers guns & money…
"We've run out of Federal Firearm Licenses" Yesterday I read this article in the New Yorker: The New Paranoia: Hedge-Funders Are Bullish on Gold, Guns, and Inflatable Lifeboats. In his book Wealth,...
View Articlepimp that strat
A reader of this blog (hey – I’m as surprised as you are!) sent me an email recently detailing a strategy they’d developed. While the details of that strategy aren’t relevant here, they sounded good...
View Articlethe trading frequency spectrum
I’ve been saving the above image in a stubbed-out blog post I’ve wanted to write since a conversation I’d had in Jerusalem last fall. The recent attention to high frequency trading and all of its...
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