Nassim Taleb and Empirica

I've heard Taleb only trades equity options. I can elaborate, but not on a public forum.

arb.

 

Agreed, but I don't think he's trading a pairs-strategy. I've nothing against the strategy per se, especially if you're talking a 3comma portfolio, but I'd hate the see the equity curve.

arb.

 

Vic has(had?) a nicer house/car/etc...

arb.
<sell the tails!>

 

LOL

 

Well which stocks would you pick. nanotechnolgy, hydrogen batteries. Short targets like homebuilders, nuclear reactor owners, insurance companies.

I think it would be fun (morbid) to pick your targets and then determine the best way to put the positions on.

 

:

 

I agree that Nassim is overly pessimistic at times and does miss out on many profitable situations. But if Victor Neiderhoffer understood the "No Black Swan's" problem then he wouldn't have blown up. So I guess I'm long the tails

 

Black Swans had nothing to do with VN blowing up.

 

Really, correct me if Im wrong but New Yorker ran an article sometime back saying 'Just a year later, L.T.C.M. sold an extraordinary number of options, because its computer models told it that the markets ought to be calming down. And what happened? The Russian government defaulted on its bonds; the markets went crazy; and in a matter of weeks L.T.C.M. was finished.'. VN, led by empiricism wrongly judged the rarity of the event. He never saw the defaulting of the Russian Bonds because it never occured in the past. Inho, this is def. a black swan issue.

 

I think VN loss was in Thai baht trade.

But don’t pure short-selling strategies always end badly, like The Art of Speculation author Victor Niederhoffer’s famous 1997 blowup? Not at all, says Ansbacher.

“From what I understand of that situation, the difference between me and Victor Niederhoffer is pretty simple,” he announces. “In 1997, Niederhoffer had already lost half of his money betting on the Thai baht. All the clients that could leave him already had. But Niederhoffer had other clients under a lock-up agreement where they could only leave his fund at year-end. He needed to make back a great deal of money in a short period of time or risk the rest of his clients fleeing. Selling S&P put options was effectively a double or nothing way to try to make himself whole by year-end. He knew exactly what he was doing, and he just kept selling more options on the way down because he knew the game was effectively over anyway, unless the market came roaring back.” It did, of course, but a tad too late for old Vic.
http://ansbacherusa.com/der.html