Recent content by MIT_ALGO_TRADER

If you can't pass the first round test with minimal prep, than you don't have the mental quickness it takes to succeed at market making. You should focus your attention on the second round test. Do as many mind benders / probability questions that you can get your hands on.

Holy shit 16 pages of this. This is truly astonishing I stopped reading after 3 posts, but I am just going to say that there are people a lot smarter than almost all of you who have already modeled this to make sure no "arbitrage" opportunities exist. In truth FAZ/FAS is no different than...

You've been a member since 2002 m22au. How can you not understand a concept this simple, yet you have not blown out your account yet? I ask this truthfully. I will give you a hint if you insist that deviations away from fair value were quickly arbitraged as you claim they "must" have...

I made a fucking killing on these the first week they were issued and no one had an idea how to price them I can't believe this thread has lasted this long. I can look at the price action in tell you in 5 seconds that there is absolutely no even remotely neutral trades on these anymore.

Your analysis is perfect apart from the inconvenient fact that when you lose money, that's negative dollars.

Most of this is great information if the OP wanted to sell naked options, but his wording makes it very clear that he is interested in selling options naked. I can't claim to have experience in this area, but I would imagine that it would be safer, albeit less enjoyable to sell options naked...

Yes, and much thanks for coming out to MIT this past January for Mike Epsteins Gambling seminar. It was very enjoyable to hear from you

I don't see this as being worthwhile to argue because you are extremely ignorant to the issue. I've read "How I Became A Quant and it is a severe simplification of what it means to be a quant. I don't know why quantum physics is relevant here? It is only one discipline, which you certainly...

How did Hershey create such a stir? His ideas were horrendous.

How does physics not offer insight into why prices are set where they are? Consider: Black-Scholes-Merton, Cox-Ingersoll-Ross, and Modigliani-Miller. They were all based off the same thought processes as physics teaches, which explains the names behind the models.

I can't believe that no one has said physics yet. Physics is the best subject if you want to learn how to think analytically, especially considering how abstract pure maths is becoming. Most financial models are indeed derived from physics, same with most trading systems, although this is...

They've been around ~20 years, which is extremely impressive from a probabilistic standpoint in this industry, yet there is relatively little information about them. Can anyone tell me more about them?