An interesting article from Vineer Bhansali and Jeremie Holdom at LongTail Alpha offers a bi-modality interpretation of return expectations. The analysis offers some an interesting analysis of asset price forecasts implicit in option prices, as well as applications in...
One of the main perpetrators for the Cum/Ex fraud, the biggest white collar crime in history, has been charged by the Danish tax authorities. He had defrauded Danish tax authorities by an estimated $1.6 bn and is currently living in self-exile in Dubai. The Cum/Ex...
Corruption has a new enforcement agency. The CFTC announced in March 2019 that it would start enforcing the FCPA, and it effectively delivered with a $95m enforcement against Vitol, the Swiss energy firm, for bribes paid in Brazil, Ecuador and Mexico. "The misuse of...
While economists and journalists pour into the 2,000+ pages of the Brexit treaty and its long-term impact, the financial services are already seen as the big missing part. The UK has one of the largest financial sectors in Europe, representing 2 million jobs, 12% of...
Oh, so faking up an initial spread to start a market isn't allowed? Let me put this one out, it's not rare... CFTC fines TFS-ICAP and its managers $7m for fake FX option markets. Interestingly enough, the action comes from a whistleblower (who will be entitled 10-30%...
Goodhart’s Law: When a measure becomes a target, it ceases to be a good measure. The Sharpe ratio has changed investor behavior. We chase the metric rather than the underlying quality it is trying to assess, and there are plenty of situations where the Sharpe is a...
A big step ahead in stochastic PDE?A paper so good, it must have been 'written by aliens'?Congratulations Mr. Hairer. Plus you are making Mr. Zuckenberg poorer, so you really deserve our appreciation. Credits to Ian Sample, Science editor at The Guardian.
A good piece on the history of ETNs, who are in period of lackluster growth / demotion / regulatory pressure, unlike ETFs. ETNs’ complexity makes them interesting for professionals, but unfortunately extremely dangerous for most investors as well. No, XIV is not a...
If you open a brokerage account, you sign the disclosure and the liabilities with your blood. 1 - The markets can go against you fast, really fast. It happens more often than people think and than math says. 2- Your broker-dealer has the legal right to recover your...
The futures for immediate delivery of WTI oil has a negative price. Why?-> If you are long, you HAVE to take delivery or roll the futures into Mays.-> The roll is similarly expensive.-> There is no storage left.Some may end-up taking delivery of those barrels...
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