Dear friend nononsense, Would I be a firm believer in Santa Claus, I would still be trying to decipher Jack's sophisticated charlatanism. I...
Thanks a lot dude!
Gamma's curvature oscillates between convexity and concavity, depending on the spy's price. When gamma is convex, theta is concave, and...
1000% can mean a lot..... of luck. And will most likely. Hedge fund managers with 30% returns often offer low market correlation and low...
I find the explaination quite arid too. The thing, calpump, about what you described is that once delta hedged, an option is still exposed to...
What's funny is that often a good innovative, profitable, backtested but not yet traded strategy is cheaper and less risky than entering a fund...
The idea is that the trader who hits your quote either detains directional information on the asset or not. If he does, you lose money. If he does...
Here are quick thoughts. "Volatility" in financial markets is the 2nd moment of asset returns distribution. Since returns are not distributed...
This document approaches both the trade duration and the volume factors, in addition to a few others......
Now that's interesting... Are you saying that periods with shorter trade duration were more noisy? or markets with shorter trade duration were...
Quote from rufus_4000: Such high frequency data analysis and trading more closely resembles game theory rather than any finance theory or TA....
There are three mathematical "effects" at play here (from simplest to more complex): gradient, divergence and curl. A former French poster in ET...
Seeing as how algorithmic trading is reactive rather than proactive, a sharp human trader should be able to pick up on some variables that the...
Montreal here.
Quote from straddle_me: from what i gather, it's not as easy as theory to delta hedge. let's say the trader thinks 20 vol is low, he isn't...
Actually I would not make such an analogy. Understanding the value of what you trade is always worth something. Regardless of frequency. An...
How does having a single person doing this prevents further transaction costs? It's the same desk, two traders can trade one with the other. It's...
Actually, thinking of it, it's quite funny that the vol traders at your place dont do their own hedge. Seems like inefficient separation of...
Of course information risk exists! Information risk is why trading is "expensive". Homogeneous information explains liquidity, and...
Theoritically, you use 'real vol', adjusted for *many* things. However, since the delta is computed from black scholes, this is much more art than...
Separate names with a comma.