Jimberly why you do thishttps://twitter.com/business/status/1358442196089909256 …
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but to be honest I read his book, he did pretty much what LTCM did back in the day a little more in depth but non the less the same math
Um LTCM was mostly doing fixed income relative value, Medallion is mostly doing equity, futures and currency stat arb.
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They both use the same methodology to measure risk... same concept different instruments
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P(|X-mu| > k sigma) <= 1/k^2 i.e. the probability that a r.v. is further away from its mean value than 10 standard deviations is less than 1/100. They both relayed heavenly on provability of events... A pandemic is provably a 10-sigma event in their code lol
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