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macrocephalopod's profile
macrocephalopod
macrocephalopod
macrocephalopod
@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. Girolamo Carlo Casio‏ @INArteCarloDoss 30 Jan 2021

      Girolamo Carlo Casio Retweeted formalPikachu

      The major unwind last week was the first step. This was a major correlation warning signhttps://twitter.com/yolo58849655/status/1355439189177712641 …

      Girolamo Carlo Casio added,

      formalPikachu @yolo58849655
      Replying to @INArteCarloDoss
      Correlation is due for a reversion pic.twitter.com/GT3ru8uimA
      7 replies 7 retweets 103 likes
    2. macrocephalopod‏ @macrocephalopod 30 Jan 2021
      Replying to @INArteCarloDoss

      My problem with this narrative is that pairwise correlation between stocks is driven by exposure to common return drivers, in particular how volatile those return drivers are compared with stock idiosyncratic vol — so it’s mechanically true that when the ...

      1 reply 0 retweets 2 likes
    3. macrocephalopod‏ @macrocephalopod 30 Jan 2021
      Replying to @macrocephalopod

      ... realized vol of the market factor increases (ie risk aversion goes up) then stocks will be more correlated, because this is the one return driver that they are all positively exposed to. This happens most often in selloffs, so selloffs coincide with jumps in

      1 reply 0 retweets 2 likes
    4. macrocephalopod‏ @macrocephalopod 30 Jan 2021
      Replying to @macrocephalopod

      realized correlation, without any need to specify a causal relationship.

      2 replies 0 retweets 2 likes
    5. Girolamo Carlo Casio‏ @INArteCarloDoss 30 Jan 2021
      Replying to @macrocephalopod

      Who mentioned anything about causation? Besides you miss the point. Correlation is a TRADE , not a narrative

      2 replies 0 retweets 2 likes
      macrocephalopod‏ @macrocephalopod 30 Jan 2021
      Replying to @INArteCarloDoss

      Your claim is that realized correlation is low, therefore it will revert, and the market will drop as a result right? ie low realized correlation is a signal for a pullback?

      1:50 AM - 30 Jan 2021
      0 replies 0 retweets 0 likes

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