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The guy is an incredible crank, but somehow he's attracted a following. PS. I agree, a simple NASD-style insurance should be required for futures brokers. The issue is not the use of the funds (if the brokers would not be able to deploy these funds, the costs for the final users will...

It is a problem with doing anything as an individual. If you do not have a community to critique your actions and ideas, you are most probably going to make the same mistakes other people have made. ET, unfortunately, can not be considered a true community - too many people here are either...

I hear you there, yeah. However, I will have to calculate all this during the day anyway so I can actually make trading decisions. And good vendors (e.g. optionmatrix) will give you all of that in their datasets anyway. Most of the issue is with calculating business time - pretty much every...

Well, the real question is - "what is the monetary value of a US citizenship for a successful individual?" If I am making a million dollars a year in Hong Kong, would I be willing to give up extra 20% (or more, assuming the future increases in the marginal tax rates) for the nebulous benefits of...

Let's imagine for a second that I am your manager, e.g. a head of the desk. A good thing to have sometimes, keeps you thinking straight. In the situation described, I would be less concerned with that fact that a model stopped working and is losing money, but with the fact that the losses...

True. My general experience has been that you want to get raw option prices from a vendor and do you own post-processing. I, obviously, might be wrong since every place I've seen was either a large desk or a large fund.

That's a valid point. On the other hand, I have never seen anyone use vendors data directly out of the box, usually people fit some sort of parametric models into it etc. At the very least, how would I know if the vendor uses the same IV calculation as I do (e.g. same way of looking at time, at...

What is the advantage of using SQL server over MySQL, for example? If anything, I would be stuck with MS windows that is not an ideal server platform. PS. If I were to go with anything commercial and needed scaling, I'd go with KDB for my HFish data and Oracle for my vol data. For the stuff...

I am try to buy a server to use for data storage and statistical models. Since I am not a great hardware maven, I could use some advice. Here are the basic inputs: (1) going to collocate it. Not nessesarily in any R/T collocation facilities, but away from my home to increase redundancy (2)...

I think teen-handle VIX is totally possible this year... though, I'll be such a buyer of that gamma (ATM, not var) if that happends...

Given that bottom 25% of Americans have negative net worth (read - in debt over collateral value), I have higher net worth then all of them combined. Whats the point?

or maybe it's the turn...

Well, that is by no means different from S&P or any other index - companies that have been dropped from the index or defaulted would not contribute after that point. However, from the investor perspective, if you are investing into the broad index via a fund of funds or some other allocation...

"You not a true macro trader if you have not lost money shorting JGBs!"(c) my Ex-boss from BT

Yes, it might work but might not. I'd recon it would be pretty hard to find 50 decorrelated strategies that would not be subject to liquidity constrains. This said, I do know guys that are generating double digit returns on small capitals like 1-3 million. It's not something that's easy to...

HFs, as represented by the aggregate HF index, have done better then S&P (total return) over the recent past: years | HF AGG | SPTR 1 |-2.0% |7.8% 2 |4.3% |18.5% 3 |17.0% |48.6% 5 |10.1% |-0.9%

Well, like anyone. Fleecing the client is not unique to finance, by no means. I had an electrician come by to change some wiring. He took apart one of the light switches and disappeared saying "I have to go buy some parts". Needless to say he was paid by the hour and appeared back in about...

Enlighten us, please? In any case, what the hell is "5% risk" - is it 5% max drawdown? is it 5% P&L volatility? is it some other measure I am not aware of? As for "why HFs?" - mainly diversification and decorrelation of the income stream from the rest of their investments.

(a) No. "Understanding" fundamentals etc has nothing to do with price. It has to do with value. (b) Milliseconds have nothing to do with price discovery, you are perfectly correct. Millisecond traders are liquidity providers to the market. When John Doe wants to sell his 500 dollars worth of...

Well, financial industry provides a number of "societal values", the key ones being a conduit of funding for other parts of the economy, a source for the price discovery and real time manifestation of the economic activity. That is the societal value of the markets, like it or not. Note that...