
Bell's theorem-like effects from missing data and write skew - jasonmorton
https://arxiv.org/abs/1708.03264
======
PaulHoule
Issues like this turn out when you analyze hedge fund returns, see

[http://press.princeton.edu/titles/9177.html](http://press.princeton.edu/titles/9177.html)

~~~
jasonmorton
Interesting, why is that? Hedge fund returns certainly don't suffer from light
speed issues (although missing data can be a problem).

~~~
PaulHoule
Hedge fund returns often show delays relative to the underlying assets for a
number of reasons. First they are not "marked to market" daily the way mutual
funds and ETFs are. They can also "sell Peter to buy Paul", use options, and
do other things that complicate serial complications.

Lo's book does a great job of explaining it and also talks in detail about a
quant strategy that was almost as good as printing money in the 1990's that
eventually burned out.

