I've read FBR, and it's definitely a beautifully written book... one of my favorites of all time. What I do find odd is that at one point in the book Taleb maligns dip buyers for being one trick ponies, but it certainly seems like a single, albeit slightly more complex, trick that he claims to have played on the market over the course of the past years. From what you guys have said about vol trades across the recent years, we can retroactively say to some extent that this looks like a somewhat unjust accusation.
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How does Nassim Taleb trade?
- Thread starter stocon
- Start date
Quote from davidlynch2000:
I've read FBR, and it's definitely a beautifully written book... one of my favorites of all time. What I do find odd is that at one point in the book Taleb maligns dip buyers for being one trick ponies, but it certainly seems like a single, albeit slightly more complex, trick that he claims to have played on the market over the course of the past years. From what you guys have said about vol trades across the recent years, we can retroactively say to some extent that this looks like a somewhat unjust accusation.
If Taleb didnt feel the need to "malign" anyone and everyone who doesnt trade according to the world of Taleb,he probably wouldnt need to have "associates" monitoring boards to defend his honor....
I have no idea how successful he is,but i do know I wish he would keep his personal rants to himself in his books on derivatives.
Quote from taowave:
My subjective comment regarding his "attitude" was from reading his first book.It was very clear that he had a hard on for traders,and annoyingly voiced his contempt and loathing thruout the book....His huberis and self appointed intellectual superiority was a bit much..
Bottom line is if he was long vega in the equity markets the last 4 years he probably got his head handed to him.I have no idea what ratio he has the near nerm vol realtive to the longer dated OTM vol,but my guess is the steeper the ratio,the more he lost.
I sincerely doubt the decay from the spot options made up for acroos the board vol contraction...
You and I are on exactly the same page. The point of my post was just to highlight that Talebâs strategy is not as simple as many say it is, which is that he just sells volatility. He in fact, buys it and sells it simultaneously, just over different horizons.
Do I think itâs a great investment philosophy? Of course not.
Do I think Taleb has offered a valid point in that the market underprices outlier events the logical implication of which is that such pricing actually encourages market movers to push the market to those extremes whenever exogenous events give them the excuse to do so and that the trite public is completely ill-equipped to understand this therefore placing squarely in opposition to those who understand this premise? Absolutely.
Whatâs the consequence of the public not understanding that outlier events are priced in such a way as to actually bring them to bear? Uhm â serious money for those willing to rape them.
Agreed. I don't really care if Mr Taleb is a good or bad human being. He brings up some interesting issues with regards to fat tails, the bell curve and its usefulness, distributions, etc. For me the idea that we don't have absolute certainty relative to risk is key; how do you price it then? probability, VAR, black swan events? this may seem obvious as a trader; Similar to backtesing issues because the future is unknown. Relatively simple but I think it has some good practical applications. I am sure he would be a most unpopular compliance officer conjuring images of 20-30 sigma events.
I think Nassim Taleb is a nice, polite and very knowledgeable guy. Two or three times I have emailed him he responded promptly without having to ¡gain¢ something from me. I don¢t know how successful is with his trading but I suspect someone managing to be many years in the market through different market-tunes has to be somehow successful. Could someone of you who has access to his trading record (Empirica statistics etc.) post any info so we don¢t speculate on this matter?
Regards
Regards
I am also interested in Taleb's Trading Style.
Within the past year it has been reported that he is still trading and based on his 2004 income tax return he made a 7-figure income from trading.
Besides his trading of exotics, to produce short-term income he trades butterflies and also buys a lot more wings. Also, he shorts the body strike near or ATM to receive maximum credit. This allows him to invest more on OTM wings.
He uses a portion of his income to buy OTM options, as much as 20+ sigma, in case of extraordinary events. Using this approach, he has had at least two major scores that has contributed to his wide fame.
Within the past year it has been reported that he is still trading and based on his 2004 income tax return he made a 7-figure income from trading.
Besides his trading of exotics, to produce short-term income he trades butterflies and also buys a lot more wings. Also, he shorts the body strike near or ATM to receive maximum credit. This allows him to invest more on OTM wings.
He uses a portion of his income to buy OTM options, as much as 20+ sigma, in case of extraordinary events. Using this approach, he has had at least two major scores that has contributed to his wide fame.