Macrocephalopod - Managing a Mid-Frequency Crypto Prop Desk (S6E5)
Flirting with Models
The Limits of Arbitrage
This is an area I know you've thought a lot about, not just the transaction costs, but back testing and research and simulation in general. This conversation starts to lean into the realm of simulations and research and testing that concept of transaction costs and equities being a key feature as to maybe the limits of arbitrage. For me, the research is what you do before you run the back test. Then you do the back test to validate the idea and get some ideas about what a performance can look like,. What a drawdown is going to look like.
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