Navnoor Bawa
Quantitative Researcher
| Platform |  | Pricing | Only free issues | Publishes | Daily |
|---|---|---|---|---|---|
| Issues | 225 | Founded | a year ago | Last Issue | 5 days ago |
| Active | |||||
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navnoorbawa.substack.comLatest Issues
The 895x Gap Behind Volmageddon. Credit Suisse’s $500M Question Still Isn’t Settled.
A 3.8-standard-deviation day in February 2018 exposed an 895-times gap between what a Gaussian risk model treats as impossible and what Markov’s own inequality never ruled out. The specific vehicle that blew up that day has since been delev...
Black-Scholes Delta Is Wrong: Hull-White’s Fix Beats SABR
The practitioner Black-Scholes delta — the hedge ratio computed by substituting implied volatility into the BS formula and taking the partial derivative — systematically over-hedges S&P 500 call options and under-hedges put options r...
D.E. Shaw, Citadel, and Renaissance Run Statistical Arbitrage. The OLS Bias in Mean-Reversion Speed Has Been Known Since 1954.
D.E. Shaw, Citadel, and Renaissance are among the largest practitioners of statistical arbitrage, running mean-reversion strategies on the Ornstein-Uhlenbeck framework that has been the field standard since Avellaneda and Lee’s 2010...
Alphabet, Baillie Gifford, and Founders Fund Made Billions From SpaceX. The RKLB/ASTS Pair Is the Only Alpha Left.
The post-IPO SpaceX alpha trade is not SPCX. It is a specific pair (long RKLB, short ASTS) built on the observation that the June 12 IPO-day rotation sold both names identically when one has a $2.22 billion government-contract backlog and t...
Universa Built $20B Calling Stochastic Vol Wrong. A BIS Rule Just Proved It.
The Hill estimator’s cross-sectional equity alpha — 5.4% annually per Kelly and Jiang (2014, Review of Financial Studies) — is dead in the form it was published. Hou, Xue, and Zhang (2020, Review of Financial Studies) find t-statistics of 0...
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