Poor Man's Hedge Fund

Status
Not open for further replies.
Quote from riskarb:

There are some path-dependent pricing assumptions which I intend to abrogate through the discrete turnover of diametric-outliers on the long gamma component basket. I intend to show that it is possible to add significant alpha to a pure replication.
More...

You mean re-straddle components that have had outliers in opposite directions right?

Good luck with journal no.4 Riskarb.

I'm still trying to arrange an account with ABN AMRO through German friends...but taking some time :mad: Hopefully I can play along with you soon.

MoMoney
 
Quote from momoneythansens:

You mean re-straddle components that have had outliers in opposite directions right?

Good luck with journal no.4 Riskarb.

I'm still trying to arrange an account with ABN AMRO through German friends...but taking some time :mad: Hopefully I can play along with you soon.

MoMoney
More...

:eek:

You'll like ABN. I have hopes that they'll extend durations and increase the max on barriers, currently 10k euro.

Thanks guys.
 
Quote from KS96:

riskarb, don't you think that the box-options
(touch/notouch) at Oanda are unfairly priced?
It's a rip off...
At least, that's the conclusion I reached sometime
ago with some simple calculations.
More...

They're definitely worse than BOM, and far worse than interbank. I still use Oanda due to deal size [$20k per account], tight spot spreads, and the discrete durations.
 
I am using an off the shelf dispersion app and lmt-expo. I won't be discussing the notionals, hedge ratios or weightings... This will be a pure dispersion with all Dow components represented. The only non trivial variable will be the outlier trades.
 
Will you be using your proprietary dart for setting up the barriers or have you invented a different signal?

Much success in your journey!
 
Quote from IV_Trader:

good luck , B
I suggest you do it by using two threads , PnL and QA a la P/L2006.
Sometimes it was impossible to find your current positions on the old journals.
Eddy L , move over , habemus papam ! lol
More...

Good idea, and we like to have a thread for Mo's interpretation.
 
You guys keep requesting mo's translation services so often that perhaps you should pitch in a few bucks each month and compensate the guy. After all, he has to recover the tuition cost of his PhD in nuclear science.
 
Quote from riskarb:

I am using an off the shelf dispersion app and lmt-expo. I won't be discussing the notionals, hedge ratios or weightings... This will be a pure dispersion with all Dow components represented. The only non trivial variable will be the outlier trades.
More...

wow , just done with all ratios for NOV , best short dispersion conditions that I EVER saw...
IMO
 
Status
Not open for further replies.
Back
Top