Share this page!

Darren 🦃 Profile picture
Twitter logo
25 Nov, 4 tweets, 2 min read
Nice machine on sale at Costco:

costco.com/.product.10057… Image
The Kindle Paperwhite is now on sale for $84.99 (at a 35% discount from the list price):

amazon.com/All-new-Kindle… Image
The Digiland 10.1" tablet (Android, 2 GB RAM, 32 GB SSD) is now on sale at Best Buy for $59.99 (at a 40% discount from the list price):

bestbuy.com/site/digiland-… Image
It's interesting that you can get a 10" Android tablet (above) for the same price as the 10" Wacom Intuos drawing tablet (below): $60.

Not even close to what I would have predicted three years ago... like other humans, I suck at predicting!

amazon.com/Wacom-Drawing-…

• • •

Missing some Tweet in this thread? You can try to force a refresh
　

Keep Current with Darren 🦃

Darren 🦃 Profile picture

Stay in touch and get notified when new unrolls are available from this author!

Read all threads

This Thread may be Removed Anytime!

PDF

Twitter may remove this content at anytime! Save it as PDF for later use!

Try unrolling a thread yourself!

how to unroll video
  1. Follow @ThreadReaderApp to mention us!

  2. From a Twitter thread mention us with a keyword "unroll"
@threadreaderapp unroll

Practice here first or read more on our help page!

More from @ReformedTrader

Darren 🦃 Profile picture
27 Nov
1/ Why Do Price and Volatility Information from the Options Market Predict Stock Returns? (Muravyev, Pearson, Pollet)

"Findings suggest that the IV spread [ATM puts & calls] and skew predict returns because they proxy for expected stock borrowing costs."

papers.ssrn.com/sol3/papers.cf… Image
2/ "The implied volatility spread is the average difference of the implied volatilities of the available calls and puts with the same strike price and expiration date.

"The IV skew is the difference between the IVs of an out-of-the-money put and an at-the-money call." ImageImageImage
3/ "The high correlations between option-implied and
indicative fees suggest that the option-implied borrowing fees can be useful proxies for the actual stock borrowing fees faced by a marginal investor." Image
Read 16 tweets
Darren 🦃 Profile picture
26 Nov
1/ Momentum, Reversal, and Seasonality in Option Returns (Jones, Khorram, Mo)

"Option returns in individual stocks have momentum, short-term reversal, and quarterly and annual seasonality. This remains strong after controlling for other characteristics."

papers.ssrn.com/sol3/Papers.cf… Image
2/ Zero-delta one-month near-the-money straddles in individual stocks are formed each month and held to expiration.

Returns are excess returns calculated based on bid-ask midpoints.

IV-HV uses one-year HV
IV term stpread is calculated between 60-day and 30-day options ImageImageImage
3/ "Straddle returns in the previous month are likely to be reversed in the following one.

"At lags 3+, there is momentum. The slope coefficients on lags 3 through 12 are all positive and all statistically significant.

"There is a complete lack of long-term reversal." ImageImage
Read 9 tweets
Darren 🦃 Profile picture
26 Nov
1/ Structure of Scientific Revolutions (Thomas Kuhn)

"A new theory is not chosen because it is true but because of a worldview change. Progress is not a simple line leading to the truth. It is progress away from less adequate conceptions of the world."

amazon.com/Structure-Scie… Image
2/ This book changed the way the history of science is studied.

It's part of the list "The 100 Most Influential Books Ever Written:"
en.wikipedia.org/wiki/The_100_M…

For related reading, check out the syllabus for Michael Friedman's Stanford course:
web.stanford.edu/class/phil61/
3/ Introductory Essay (Ian Hacking)

"That is the structure of scientific revolutions: normal science with a paradigm and a dedication to solving puzzles; followed by serious anomalies, which lead to a crisis; and finally resolution of the crisis by a new paradigm.
Read 29 tweets
Darren 🦃 Profile picture
17 Nov
1/ Nudge: Improving Decisions About Health, Wealth, and Happiness (Thaler, Sunstein)

"Small and apparently insignificant details (nudges) can impact people's behavior without forbidding any options or significantly changing economic incentives." (p. 6)

amazon.com/Nudge-Improvin… Image
2/ "To count as a nudge, the intervention must be easy and cheap to avoid. Nudges are not mandates. Putting the fruit at eye level counts as a nudge. Banning junk food does not.

"The power of these small details comes from focusing people's attention in a particular direction.
3/ " “If a man sees a fly, he aims at it.” Kieboom, an economist, directs Schiphol’s building expansion. His staff conducted trials and found that etching images of house flies in urinals reduces urine spillage by 80%." (p. 4)
Read 57 tweets
Darren 🦃 Profile picture
17 Nov
I'm considering getting a 10" Android tablet to annotate papers.

I'll need a reader that can open the same PDF in two tabs (for both the text and charts sections).

I'll also need to be able to take/name custom screen shots (as in the Windows Snipping tool).

Should I go for it?
@HovmarkSimon @Greenbackd @WoodyWiegmann @aaljechin @ExSan_com @dmitrygenin @NikoFinnigan @KPack1972 @theotherrt @EddieRII
For the record, getting a tablet is an attempt to nudge myself into reading more papers. I'm hoping it will get me to one paper per day, but I am notoriously bad at predicting like every other member of the human race. 🤣
Read 5 tweets
Darren 🦃 Profile picture
16 Nov
1/ Borrowing Fees and Expected Stock Returns (Hendrix, Crabb)

"Stocks with high borrowing fees tend to underperform their peers over the short term, but persistence of high borrowing fees is fast-decaying and not systematically predictable."

papers.ssrn.com/sol3/papers.cf…
2/ "Lending data are sourced from a proprietary database maintained by DFA that contains the global lending activity of its US mutual funds.

"Fee = fed funds rate (or OBFR) – rebate rate.

"We compute a weighted average (by number of shares in each loan) fee for each security."
3/ Small caps are the 10% lowest U.S. market cap, 12.5% in developed ex-U.S., and 15% smallest in emerging markets

Small caps tend to have higher borrowing fees than large caps, more stocks on loan, and a greater dispersion in fees required to borrow the stocks.
Read 15 tweets

Did Thread Reader help you today?

Support us! We are indie developers!

This site is made by just two indie developers on a laptop doing marketing, support and development! Read more about the story.

Become a Premium Member ($3/month or $30/year) and get exclusive features!

Become Premium

Too expensive? Make a small donation by buying us coffee ($5) or help with server cost ($10)

Donate via Paypal Become our Patreon

Thank you for your support!

Follow Us on Twitter!

Like this author's thread?

Get email notifications when new thread is out from this Author!

Check out other threads from this Author!

Read all threads by @ReformedTrader