Falkenblog

Michael Heiser
Joe Rogan and Tucker Carlson mentioned demonic spirits in a recent podcast, and my first thought was that they need to look up Michael Heiser. He was an Old Testament scholar who spent his career examining how various ethereal spirits fit into our world...

 Recently deceased philosopher Daniel Dennett called Darwin's idea of natural selection the best idea anyone ever had, a universal solvent that melts away all the problems in biology. Dennet had contempt for Christians, coined the term 'brights' for...

 Generally, markets are efficient in that it isn't easy to make above-average returns day-trading, and most mutual funds underperform market-weighted ETFs. Yet historically, in various applications, options have been underpriced for decades. For example...

 A curious aspect of high-frequency data is that most come from centralized limit order books (CLOBs) where the bid-ask spread makes the data look negatively autocorrelated as trades are randomly made at the bid and the ask.
The returns driving this pattern are well below transaction costs, so they do not generate an arbitrage opportunity. However, one might be tempted to use the high-frequency data to estimate variance for pricing options or convexity costs (aka impermanent...