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Justina Lee Profile picture
Justina Lee
@justinaknope
I write about quants, crypto and other markets stuff for @business. Opinions my own.
Jul 7 • 8 tweets • 3 min read
I see index rebal is in the news again. One question we've covered both sides of over the years:

Do the profits come at the expense of index investors?

Thread 🧵👇 1/ The 'yes' side is pretty obvious. In 2022, we wrote about a paper that shows index additions on avg rise 67 bps in the 5 days before rebal date, then drift downward.

The conclusion here is passive should *not* be trading on rebal day and the only reason to do so is to keep tracking error low

papers.ssrn.com/sol3/papers.cf…Image
Apr 18, 2023 • 7 tweets • 4 min read
Gonna start a (non-chronological, non-exhaustive) thread with all the research on ChatGPT and finance:

1. Reviews ChatGPT and future of NLP in finance

2. ChatGPT is better than random at asset allocation
https://t.co/I9Beu7FwVqpapers.ssrn.com/sol3/papers.cf…
papers.ssrn.com/sol3/papers.cf… 3. ChatGPT reads corp news headlines to forecast stock moves

4. ChatGPT decodes Fedspeak https://t.co/qs20JiKkN0

5. ChatGPT analyzes historical stock price data and tweets https://t.co/eQCWUI2o1S

6. ChatGPT for finance research https://t.co/tUFXbZRjjVpapers.ssrn.com/sol3/papers.cf…
papers.ssrn.com/sol3/papers.cf…
arxiv.org/abs/2304.05351
sciencedirect.com/science/articl…
Mar 27, 2023 • 24 tweets • 3 min read
CFTC just sued Binance and CZ for regulatory violations

Let's dive into the 74-page complaint 🧵: 1/ First, as CFTC notes itself, it's hard to know what co even runs Binance

They've targeted Binance Holdings (Cayman entity) + interestingly two Irish ones that own a bunch of local Binance entities

+ CZ + chief compliance officer Samuel Lim
Nov 30, 2022 • 13 tweets • 4 min read
Wrote about COUNTERPARTY RISKS and the crypto MARKET STRUCTURE with @MuyaoShen

bloomberg.com/news/articles/…

Promise you it's more fun than it sounds

TL;DR Many pro traders don't wanna post collateral to exchanges anymore after FTX

A thread 🧵 1/ Centralized exchanges eg Binance and FTX dominate volumes in crypto

They're faster, cheaper to trade, more dummy-friendly

They also do everything. They settle your P&L and give you leverage. But you have to post collateral directly.
Oct 5, 2020 • 6 tweets • 2 min read
1/ Bernstein's top quant strategist, Inigo Fraser Jenkins of passive-is-worse-than-Marxism fame, has a hot take from Friday Image 2/ Comes along with his colleague's note about quants' existential crisis. Bernstein sample of US quant managers underperformed benchmark by ~3% this year vs outperformance of 0.6% by fundamental peers

*Within* style categories of value/growth, quants also lagging Image