Hi. How can we get the composition of this model (for example, 1*eur/usd, 1*aud/jpy, etc) to be able to execute the stat arbitrage ourselves when for example the difference btw spy and model goes to +/- 0.60?
Dear VZ, We are still in test mode and are trying to avoid changes intraday but our apologies if there was a shift.
The framework will be re-calibrated short-term at around the 1030ET mark and not changed from that point on during the trading day in production. The goal is that we adapt our dynamic framework early in the trading day and that is what we trade for the rest of the day. All deltas will be distributed to clients at the time of re-calibration in order that execution is possible.
I’ve been watching your models for a couple months, after reading about them on Zero Hedge. Do you offer this information in real time to individual (small) investors? I believe it is offered through Bloomberg Terminals but do you have it available anywhere else? Thank you.
Hi. How can we get the composition of this model (for example, 1*eur/usd, 1*aud/jpy, etc) to be able to execute the stat arbitrage ourselves when for example the difference btw spy and model goes to +/- 0.60?
Thnaks so much.
There is a post here:
http://capitalcontext.com/2011/08/17/spy-arbitrage-performance-2011-08-17/
Appears to be HYG, VIX and TLT (ishares 20 year treasury)
I had a little look into this one, it’s not clear how to trade this but then again you can’t expect something for nothing. Nevertheless a great tool!
Thanks for the model, it would be great if it was enlarged.
Do you keep the model (betas) fixed during the day or do you update it intraday?
We set the betas at (roughly) 10:30 am ET and then keep them fixed throughout the day.
Looks like you do it more frequently. The charts at 15:30 and 16:00 were different.
Dear VZ,
We are still in test mode and are trying to avoid changes intraday but our apologies if there was a shift.
The framework will be re-calibrated short-term at around the 1030ET mark and not changed from that point on during the trading day in production. The goal is that we adapt our dynamic framework early in the trading day and that is what we trade for the rest of the day. All deltas will be distributed to clients at the time of re-calibration in order that execution is possible.
Hope this helps
Tim
I love it when Quants go renegade public. Good Karma to you all.
I’ve been watching your models for a couple months, after reading about them on Zero Hedge. Do you offer this information in real time to individual (small) investors? I believe it is offered through Bloomberg Terminals but do you have it available anywhere else? Thank you.