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.... that's why they call that branch continuous time finance. Ito is only applied in a fair small part of it - just a useful little technical lemma

And... that's why you need to have counterparty risk groups and operational risk groups. What's up with ET's cultish idea that all strategies that have a quantitative component MUST encapsulate everything? Yet at the same time the so called mechanical systems that it touts are so completely...

As a practitioner of quant magic, this is absolutely untrue. There's a deep theoretical and empirical foundation for how monte carlos are used (correctly; there are always people who don't know what they are doing). The volume of research in the last 30 years is VAST. Naturally, there are...

How is this "mind over matter" except in the most literal possible reading of the phrase? It's just a well known effect of experiencing muscle fatigue and failure

I find it hard to believe that the brass at GS, who apparently are powerful enough to single handedly halt the market's decline, will be drinking chilled wine.

What do you hope to find exactly, a big bolded section in the Fed balance book called "here be secret slush fund used for PPT"? You either chose not to read the link that was posted above, or too dense to understand its context. There is no possible way for the Fed to do the purchasing that...

....wow.... I'm sending my kids to private school when they are old enough. This is some really awful logic and basic ignorance of epistemology. And no, I wasn't advocating that there'd be a police investigation of the matter. I'm also fairly certain you don't know what the word analogy...

I'm curious, why don't you think it's a good one? you said that my position is weak because I suppose the lack of evidence doesn't mean that it doesn't exist. I pointed out that not only is there a lack of evidence, there's also a lack of motivation. If this were a police investigation into a...

no, it's an analogy

That's only true if all market participants are risk neutral. Different degrees of aversion to (differing types of risk) means that risk premium can be captured

My argument for that it doesn't exist is that (a) there's no evidence and (b) there's no motivation to exist. Given that the lack of those two items would end most police investigations, shouldn't that tell you something about the case for PPT?

I think I might have just replied on that point right above your post. Does that make sense to you?

Let me try to answer this this way then: If there are participants in the derivatives market who are in it for net economic benefits over their entire spectrum of activities, then they are willing to pay a premium for the ability to remove risk (via the derivatives market). Then, a trader...

In that case I don't under your premise. You are of course right that within isolation each derivatives market is zero sum (net of t-costs). But that's not a particularly useful or relevant observation? So long as there are participants who gains real economic benefits from these...

But it's no zero sum. It's only zero sum when you only consider those markets in isolation. There's no reason to look at in isolation since not every participating within it is doing so in isolation of their wider context. In fact, it's the wider economic context that motivates a vast amount of...

Why are the markets (stock, futures, options, whatever) zero sum? You could argue that within each market (say, IBM equity options), every winner has an offsetting loser, but then you are leaving out the external real economic motivations. The loser might be using the option to hedge a real...

"I wouldn't have to had you understood my point the first time." I called your argument tautological and your reply is that it is? Nice job there, logician. "There is no proof that it would work better if their stock market operations were public. In fact, some could say that the opposite...

Now you are just spitting out tautology. Look, extraordinary claims require extraordinary proof. You are the one supposing the existence of a secret cabal that "manipulates" the stock market. We pointed out that the Fed can do so without being secret, without being hidden, and in fact would...

You didn't answer my (and a bunch of other people's question). Why would the Fed keep it a secret? It's a legitimate (in so far as defensible from a legal and economic perspective) monetary operation. They have already done similar things in non-equity markets. Come on, one of you must have...

Maybe one of you guys can answer this question: why would the PPT be a secret organization? The Fed has broad range powers; It can buy equities if it chooses. It has certainly bought mortgages and structured products that weren't in its usual portfolio en mass. Not only has it not made a secret...