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I am almost never naked short or long anything. The idea is to trade one form of risk premium against another. So far, "black swan" years have been my best years pnl-wise, just by nature of what risk premium i think is rich and which risk premium i think is cheap (or, better, 'not too rich')

While it's clear that any access to more leverage would overall add risk to the system. The premise of the paper is that it was PM that "influenced and triggered the U.S. stock market crash in October 2008", which is very questionable. In any case, I have repeatedly found that good risk...

FDAX is a bright guy, but... dispersion over the past few years has deteriorated into what pretty much amounts to short index vol trade - dispersion traders blow up like on cue when the going get tough. In general, dispersion is a great trade when you are entering into the trade at high implied...

that most stocks are not part of the index

well, yet I have yet to hear of anyone blow up being short dispersion and the street is littered with people who have gotten their asses ripped when index vol ran through the roof...

I would agree with amazingIndustry that it's pretty rare to see functional language (or any sort of interpreted languages) in a production trading process. For R&D purposes, especially once you got the data in/out all sorted out, it's hard to think of something better.

Most hedge funds do not even have a web site and it's near impossible to get your hands on their investor letters or fund presentations (which, in turn, contain nearly nothing of value). Why would any fund care to tell the world anything at all about their process of alpha generation? I...

Off the top of my head. In vol-arb space, Laurion runs exclusively off R, including risk management scenario analysis and that sort of stuff, they got 2 yards last time I checked. Winstone capital runs on R (not a yard yet, but close). In fixed income/rates, Prologue (a rates fund, something...

What exactly is "this" specific business? If you are looking at stuff tick-level, sure, go with C++. If you care about dynamics of implied volatility or simple technical indicators in a non-latency dependent way, why would I want to be f*cking around with memory, pointers and virtual functions...

That should have been the first sentence, you seem to be substituting personal choice for informed choice. I was a Matlab user myself, but converted to R almost completely by now. I think the key difference between the two is that R is diverse and pragmatic enough to be the core development...

I have moved from Excel+VBA solution to a programming language (Matlab initially, now R) when I transitioned from trading rates to equity derivatives. It was a pain, but it was well worth it.

I have not used Matlab for a few years, what turned me off is the fact that they charge you for every little package. I have moved pretty much all of my alpha-generation code to R (i do primarily volatility arbitrage, with a little stat arb) already and I think will move most of my risk...

Actually, in root-time space the skew gets flatter. That is, if you are adjusting the slope by the square-root of time, it gets slightly flatter as it approaches maturity. This, of course, begs the question what is the best measure of skew and nobody could answer that (footnote 1) for a general...

you probably need some real programming language, Excel would not cut it for initial processing

I have. Like every other dealer, the data requires cleaning and vols are wrong, but the prices are there. You can't beat them for the price.

Out of curiosity, what did you do when you were at the startup stage? This isn't much credit you can do with two bucks...

True, but the version of 80/20 rule applies here too - determination and hard work make up for 80% of their success. Raw talent and (in large part) luck is what makes them the champions. Oh, and don't forget about steroids, of course!

HFT has multiple definitions. If you want to define it as "latency-dependent trading", in that case very few people indeed are doing real HFT. If you want to define it as "real-time statistical arbitrage", in that case many people can get involved and Smoker is probably doing something along...

(a) Unless you are a AMM, you do not need high-frequency or trade-level data for options. While it's useful to know what vols have done intraday historically, it is not crucial. (b) The EOD price data on options can be bought fairly cheaply, about a grand for the US optionable stocks. (c)...

Attention shoppers! Freebie! I have a series 3 prep lying on my desk, first come first serve if you are willing to pick it up in NYC. I am not going to arse myself taking it to the post office, sorry.