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by andylei 5357 days ago
> So, even if you had a perfect model for the market without you applying your model

Actually, most trader's models do take market impact into account. If you had a perfect model for the market, I'm pretty sure that you (as a participant) would be included. In fact, your own actions are the easiest part of the model to get right, because you control them entirely.
1 comments
danmaz74 5357 days ago
Ok, but you would need to take into account the interaction with other traders' models that are put into play all the time...
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andylei 5357 days ago
yup, building good models is hard. doesn't mean they always produce bad results. billions of dollars of quant hedge fund money prove that.
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danmaz74 5357 days ago
"essentially, all models are wrong, but some are useful" George EP Box - one of the greatest truths imho :)
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