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There is nothing topical that CFA will teach you better then applied institutional experience , but there is no way you get the same breadth. For example, while I can probably pass the derivatives and fixed income sections for any level (probably can do it hung over and standing on my head)...

I am looking for a source of historical intraday data for futures and stocks, something like 1 min or 5 min bars. Preferably it would be some sort of a service that would provide me with the inital data sets and a daily updates (I do not need it to be updated in real time). So, here are the...

There was a guy at one of the funds that would come in and ask a few firms for slight upside calls in a specific semi-liquid stock, in size. The trick was that he would hit all of the firms he quoted - the illiquidity of the underlyng and the option made the trade a self-fulfilling prophecy.

Well, any market maker that traded with The Call Bomber in the early 2000s would beg to disagree. If you are a BSD and pull a lot of clout with the sales force, you can frequently wrestle options liquidity out of the sell side firms that should not be there given the liquidity of the underlying.

It's an urban myth. Also, there are so many facets to institutional trading, from high frequency and higher frequency statistical arbitrage to derivatives to corporate bonds - some of them mainly try to make money on franchise value, some mainly produce risk p&l (which does not mean that they...

Many "grownup" firms would force you to cut positions once you are down 4-5% from HWM. However, this does not mean that you can't just scale your strategy down to keep the draw-downs to the required minimum.

Why not use regular VIX futures? There is plenty of liquidity unless you have a serious axe to grind, spreads can be traded on stand-alone basis and there is a ton of stuff to do in the whole spx/vix vol complex.

I just thought about it, you might be right. An edge has to be something that provides positive expectation to the trades at time zero, be it bid-offer, knowledge of upcoming flows or understanding of some hidden features of the product (e.g. guys trading LIBOR in arrears swaps X years ago had...

Obviously, there is a reason why you are not managing even orders of magnitude smaller capital...

I am not sure that's a real word :) Yep. Edge is something built into your investment process that allows you to have an upper hand on competition. It could be technological, like that for HFTs, it could be access or transactional, like it is for market makers or it could simply be built into...

Protecting IP vs actually living and working is always a trade-off. For example, if you are going to raise capital, you are always torn between being as transparent as possible to please the investors and being as opaque as possible to avoid giving away your edge. Further, it is a major...

Yup, you're right - right in the middle of the triangle, I just looked at the map. Mea culpa. At first, I was going to place it in Chinatown (sic!), but it felt way off. PS. Living on the Upper East, I don't get to go down there much. Plus, there is a theory about the uptown people who like...

A place to have a quiet drink (though, not cheap) is Brandy Library (I assume you like quality hard liqueur). It's on 25 North Moore Street in SoHo.

right, but why do you think that these earnings are not priced in?

Actually, you're right - it times out every two hours and stops working after a while (that "feature" was not there when I downloaded my free version a little while ago). I can't imagine using an SQL DB for anything like tick-data, it's going to be painfully slow (unless there are some...

There are actually two factors that matter when hedging delta - the level of implied vol for the option and the dynamics of volatility with respect to spot. The combination of the two will determine the expected change in option price with a small change in underlying, which is your delta...

Why not use KDB? 32 bit version is free. That's what man grownup firms use :)

They allow you to separate risk by various risk factors - price of the underlying, implied volatility, time etc. For a large book, they also help to understand P&L. If all you are doing is expressing views on stocks and are going to wait for expiration, there is no reason to ever learn or...

Define hedging, to begin with.

This business is very much about ownership of intellectual property, so any smart ideas or methods almost always stay with the person that comes up with them. Even outside prop firms, it's hard to find people who are willing to teach anything. The only time you would get any "free" instruction...