Seasonality is one of those things that I dismissed for a long time because of things like "sell in May and go away." In reality, most seasonal effects are really structural flows or seasonal risk premia (eg harvest or economic announcement cycles) E.g. papers.ssrn.com/sol3/papers.cf…
Seasonality is one of those things that I dismissed for a long time because of things like "sell in May and go away." In reality, most seasonal effects are really structural flows or seasonal risk premia (eg harvest or economic announcement cycles) E.g. papers.ssrn.com/sol3/papers.cf…
@choffstein Same! And I struggled with how you’d get statistical significance from small data… Until I grokked that “I’m not really sure but I think so” is the sweet spot for edge Your recent episode on this was really good man
@choffstein I’m not sophisticated enough to follow all seasonal flows but largely like to follow beginning/end month, quarterly and year-end flows. Helps to stay out of harms way if leaning the wrong direction.
@choffstein Like the tides to the ocean, the ebbs and flows of liquidity in the market. Is the seasonal effect a result of a noisy liquidity premium signal?