It's really awkward to play a loser's game and win. I've been in Las Vegas a couple of times and enjoyed playing videopoker (jacks 'n better). In the optimal strategy, your overall chances are a little less than 50%, but the variance is high. So the trajectory of your "account" (in a particular gameplay) is really interesting. I've already been "invited to leave" a casino once (in reality the lady just asked for my passport and pointed to the surveillance camera)... I always play small (25c bets) and until "bankruptcy" ($5 for some minutes of fun). But that time my equity curve was wild and I was multiplying my "investment" by 3 (as I said, I wouldn't stop until the law of large numbers presents itself). But I cashed out my ~$15 and left the room.
Picking up pennies in front of a steamroller: a short tale
- Thread starter bbt80
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why would a casino ask you to leave if you were only up 15 dollars?
Exactly, in my approach to trading, it was natural to reassess the scenario as the information flows... of course this is bs...
Once I played the roulette (an automated version in Argentina that allowed smaller bets) just to "prove" a point to myself. I started with $16 total and individual bets (50c) on "blacks", using the martingales strategy (doubling the bet every time I lost). I was surprised how fast I lost it all! I though I'd have half an hour of fun (I didn't calculate it). It was almost as "they knew it" (yeah, a big conspiracy to take my $16).
Of course it was not for the money. I think I just looked underage at the time... but I had my driver's license with me, and she said politely that she's been asked by they (pointing to the camera) to show my passport or leave the room.
Nice post. You might direct your attention to rough volatility models.
Good article to get you started: Volatility is rough
Could the losses have been hedged?
Perfect hedging in rough Heston models
Good article to get you started: Volatility is rough
Could the losses have been hedged?
Perfect hedging in rough Heston models
Mandelbrough was absolutely correct, and in fact everyone IS screwed in the end, the goal is apparently to put off the finality as long as possible.
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
I did some work on this area in 2018 and found a microstructure model that fit the long tails very well but it only gave a 3 millisecond lead on the expected time of the next event. I thought fuck it, i cant monetize that. A few years later, I read about how the microstructure models lead to rough fractional volatility in the limit, so that research was not wasted, after I learned how to trade options and futures. I'm ok as long as they dont discontinue VIX. So, all those other assholes doing HFT kind of make noise that makes things like they are in the macro limit
thats certainly not what you implied in your OP. Glad it’s clarified.
Changing the subject to a related one:
Maybe I'm wrong, but I think the magnitude of the eruptions of a volcano follows a power-law distribution (a power-law!). And time intervals between eruptions maybe (again, I really don't know) follow some kind of exponential distribution.
Nonetheless, the area around Mount Vesuvius is densely populated. I think it has something to do with soil fertility and agriculture = years of stable income vs. everyone dies₢.
Of course people are not stupid (right?), and scientists closely monitor the volcano activity. But a power-law distribution against me... I'm out of it!
Not really...
If I was given the chance to move to Italy, with this nice view of Mediterranean Sea, I would readily say goodbye to my developing country and "spin the wheel".
- Fanc*lo la legge di potenza, giusto?
I will certainly look at the papers you have indicated. I was studying something along those lines, but I think that maybe I'm wasting time with tempered stable distributions (although research in the area is hot right now and I'm looking for a PhD in the next years). Thank you!
As traders we are all playing chicken.
Either we are short the tail, or we are long it.
If you think you are flat the tail, you are probably short it.
Either we are short the tail, or we are long it.
If you think you are flat the tail, you are probably short it.