Sebastian Maass

Sebastian Maass

@srmaass

Followers32
Following541

Macro-Quant / Convexity / R User

New York, USA
Joined on May 07, 2014

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Statistics

We looked inside some of the tweets by @srmaass and here's what we found interesting.

Inside 100 Tweets

Time between tweets:
6 days
Average replies
201
Average retweets
3136
Average likes
12528
Tweets with photos
55 / 100
Tweets with videos
20 / 100
Tweets with links
0 / 100
Great day, finished the paper on option pricing under power laws. Mother of all results.

Shows how tails are underpriced, EVEN now, how theories that tails are "expensive" are by sub-imbeciles.

PLEASE TRY TO DEBUNK PAPER (but politely).
https://www.academia.edu/39149471/Option_Pricing_Under_Power_Laws_A_Robust_Heuristic …

Great day, finished the paper on option pricing under power laws. Mother of all results. Shows how tails are underpriced, EVEN now, how theories that tails are "expensive" are by sub-imbeciles. PLEASE TRY TO DEBUNK PAPER (but politely). https://www.academia.edu/39149471/Option_Pricing_Under_Power_Laws_A_Robust_Heuristic …

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Notre-Dame came far closer to collapsing than people knew. This is how it was saved.

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Replying to @rationalexpec

If the contest is well designed, it can prevent overfitting. For example, consider @numerai: (1) they obfuscate the datasets; (2) researchers never receive the y-array of the testing set; (3) researchers must stake money to receive an award. How could selection bias take place?

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On trade, Trump is the great disrupter.  So it is natural to attribute the current slowdown in global trade to Trump.  

But that's too simple.  

If you set aside commodities and US-Chinese trade (impacted by tariffs), US imports are still growing.  China?  Not so much

1/x

On trade, Trump is the great disrupter. So it is natural to attribute the current slowdown in global trade to Trump. But that's too simple. If you set aside commodities and US-Chinese trade (impacted by tariffs), US imports are still growing. China? Not so much 1/x

Mixed news from the euro area this morning, including weak manufacturing PMIs, strong credit flows (*excluding* Italy), lower unemployment (*including* Italy). Real M1 still pointing towards sluggish growth but no recession. Either way, ECB still likely to cut in September.

Mixed news from the euro area this morning, including weak manufacturing PMIs, strong credit flows (*excluding* Italy), lower unemployment (*including* Italy). Real M1 still pointing towards sluggish growth but no recession. Either way, ECB still likely to cut in September.

✨NYC✨

✨NYC✨

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On Argentina: Don't always agree with Michael Pettis, but I've always loved this bit in "The Volatility Machine" (2001) about how crises in emerging markets are often unfairly blamed on domestic economic policy.
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On Argentina: Don't always agree with Michael Pettis, but I've always loved this bit in "The Volatility Machine" (2001) about how crises in emerging markets are often unfairly blamed on domestic economic policy.

A composite photo of the position and phases of the moon over 28 days, each photo taken at the same exact location each day. 

Photo: Giorgia Hofer Photography

A composite photo of the position and phases of the moon over 28 days, each photo taken at the same exact location each day. Photo: Giorgia Hofer Photography

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Sign language interpreter at Eminem's concert

Sign language interpreter at Eminem's concert

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Bond markets, stock markets & economic data are all saying the same thing

Bond markets, stock markets & economic data are all saying the same thing

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Cuemacro
2 months ago
"Going with the FX flow" I wrote a paper showing how to use @CLSGroup FX flow data to trade FX systematically! Download the full paper from https://www.cuemacro.com/2019/05/10/going-with-the-fx-flow/ …

"Going with the FX flow" I wrote a paper showing how to use @CLSGroup FX flow data to trade FX systematically! Download the full paper from https://www.cuemacro.com/2019/05/10/going-with-the-fx-flow/ …

It is very obvious in Minutes that it was the combo of weak inflation prints in both Sweden and Eurozone and the softer stance from major CBs, in particular #ECB that made #Riksbank executives turn softer too.

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First attempt at removing cars off the roads with neural nets. Will have to dream harder.

First attempt at removing cars off the roads with neural nets. Will have to dream harder.

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Hindenburg hovering over Manhattan--hours before disaster at Lakehurst, NJ, tomorrow 1937:  #AP

Hindenburg hovering over Manhattan--hours before disaster at Lakehurst, NJ, tomorrow 1937: #AP

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Super interesting NY Times article about the 2015/16 economic slowdown. I am giving more contemplation to the idea that this slowdown might have reset the economic cycle clock. The Most Important Least-Noticed Economic Event of the Decade

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Matthew B
3 months ago
For a long time full employment was just a number, but now inflation is low and Fed is gathering input from the community on “what full employment means” as part of its strategy review. Rich Clarida has an alternative that sounds more like conflict theory https://bloom.bg/2ImhKV1 
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For a long time full employment was just a number, but now inflation is low and Fed is gathering input from the community on “what full employment means” as part of its strategy review. Rich Clarida has an alternative that sounds more like conflict theory https://bloom.bg/2ImhKV1 

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Animation showing how the distribution over Earth's surface of annual average temperature anomalies has been shifting due to global warming since 1850.

#GlobalWarming #ClimateChange

Animation showing how the distribution over Earth's surface of annual average temperature anomalies has been shifting due to global warming since 1850. #GlobalWarming #ClimateChange

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