Nasem Taleb of 'Black Swan' Fame Will Be On The Colbert Report Tonight @ 11:30 PM

Quote from Pa(b)st Prime:

I didn't say they were more liquid than Vegas. Just tighter.:)

BTW: If you want to see tight AND deep, look at Gore on TS.

And as you know Horse Racing as a pari-mutual has always been an auction market.
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Agreed. I was simply making the case that LV is an auction market.
 
Quote from Pa(b)st Prime:

I don't have the past data to enable an argument but Quantplus is probably making the following points in regards to technology.

(hopefully Riskarb can pop in here) IV in the pre on-line trading days was at a significant premium to historical vol. Do to lower commissions the opportunity to sell options was almost exclusively in the domain of MM's. Now anyone can sell premium at the stroke of a mouse for 50 cents a contract.

Also hedging a short gamma position is cheaper and more efficient these days.

Thus technology and commissions have legitimately caused IV's to converge with historical expectations.

Don't confuse the static state of the human condition to the variables presented by technology.
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I don't disagree, but retail isn't the tail wagging the dog. Algorithmic trading and bots have brought convergence to Merton's ideal. It's completely phucked-logic, but it is what it is.
 
Quote from JamesVU2000:

Hey atticus. Could you elaborate on your last post?
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All these mean-reverting bots circle-jerking under two sigma. You've got these tiered vol-regimes... no vol under two sigmas and historic vols should we trade off a cliff. Everyone and their bot is in the convergence trade. Mean-reversion is the mantra.

FWIW, the first weekly bear-reversal bar in the GBPJPY, USDJPY and EURJPY will signal the end.
 
Quote from atticus:

Agreed. I was simply making the case that LV is an auction market.
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True. I guess I'm trying to think through the inherant marketing limitations of a mere auction market i.e. Vegas versus a two-sided auction like TS.
 
Quote from Pa(b)st Prime:

True. I guess I'm trying to think through the inherant marketing limitations of a mere auction market i.e. Vegas versus a two-sided auction like TS.
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Right, but a bet on the favorite at 3:1 is a bet against the 'dog at 1:3, sans vig. It's simply a matter of dissection.
 
this is similar to bookie operations where if odds are astronomical the bookie will not take the other side.
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Correct me if I'm wrong, but the bookie himself is not taking the other side, it's one of the bookies clients who would take the other side. If the bookie thinks he can't find a client to take the other side, then he may not want to take the inital bet in the first place.

The bookie ideally doesn't care what the outcome of the underlying event is, he just collects the juice if he's laid off all his bets properly.
 
Quote from panzerman:

Correct me if I'm wrong, but the bookie himself is not taking the other side, it's one of the bookies clients who would take the other side. If the bookie thinks he can't find a client to take the other side, then he may not want to take the inital bet in the first place.

The bookie ideally doesn't care what the outcome of the underlying event is, he just collects the juice if he's laid off all his bets properly.
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Well, this is the first "magical" bookie with no net exposure. Bookies are degenerate gamblers too.
 
Quote from QuantPlus:

The FAR more interesting question is:

Has market volatility...
Undergone a ** paradigm shift ** due to technology...
And will now be at a permanently lower level...
Or are we just in a routine 3-4 year period of comatose markets? [/B]
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I think this is an excellent question. Has the rise of electronic markets made markets more efficient, yes or no? Someone could write a good book about this. Also, it seems that the rise of computers has certainly contributed to the death of the floor as we know it.
 
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