Re:Modern Portfolio Theory: A Case Study on Turnips
by JoshuaDavid on Tuesday June 02, 2020 @09:08AM
(#23390578)
What would happen if you made two futures markets, one resistant to manipulation on the short side and the other resistant to manipulation on the long side, through whatever mechanism makes that possible? Would that mean you could detect the presence of manipulation on one side or the other if the prices diverged (though you wouldn't necessarily know which side the manipulation was on).
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Re:Modern Portfolio Theory: A Case Study on Turnips
by 082349872349872 on Wednesday June 03, 2020 @01:04AM
(#23399950)
Good question! I don't know enough about the subject, honestly. Would you like me to try to dig up the paper from which I got that summary?
Re:Modern Portfolio Theory: A Case Study on Turnips
by JoshuaDavid on Wednesday June 03, 2020 @01:19AM
(#23400052)
Yeah, I can't find anything like that on google scholar. The specific claim I find surprising is that it's possible to make a futures market that is resistant to manipulation at all, even in only one direction. I kinda suspect it's going to come down to a non-standard definition of the word "resistant", but if that's not the case it's bound to be interesting.
Re:Modern Portfolio Theory: A Case Study on Turnips
by 082349872349872 on Wednesday June 03, 2020 @08:43AM
(#23402679)
I think it was Pirrong, "Manipulation of Cash‐Settled Futures Contracts"
https://www.jstor.org/stable/10.1086/209671?seq=1#metadata_i...