Lliane

862 reputation

bio	website	lliane.com
	location	Paris, France
	age	23
visits	member for	1 year, 9 months
	seen	Mar 1 '12 at 8:47
stats	profile views	61

Simon "Lliane" Depiets Epita Promo 2011 http://www.lliane.com A man is smoking with his girlfriend. She angers herself : "don't you see the warning on the box ?!" To which the man replies, "I am a programmer. I don't worry about warnings. I only worry about errors."

	862 reputation	bio	website	lliane.com	visits	member for	1 year, 9 months
18 badges		location	Paris, France		seen	Mar 1 '12 at 8:47

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Aug 8	awarded	Yearling
Nov 30	comment	Given markets usually fall fast and rise slowly, are there trading mechanisms to take advantage of this? Sure you can buy deep OTM Puts and sell slightly ITM Puts, but it doesn't match any mathematical model. Also, you're probably gonna pay a stupidly high premiums on those deep OTM Puts, which explains why Black Swan funds returns are lame except for the really short term view.
Nov 30	awarded	Commentator
Nov 30	comment	Given markets usually fall fast and rise slowly, are there trading mechanisms to take advantage of this? I don't see how it could be priced in, doesn't make any sense to me. The risk free interest rate is something that is priced in, not the rise in volatility when things go bad.
Nov 29	comment	Given markets usually fall fast and rise slowly, are there trading mechanisms to take advantage of this? Strike = 90% of Forward (Discounted Spot)
Nov 28	revised	Given markets usually fall fast and rise slowly, are there trading mechanisms to take advantage of this? edited body
Nov 28	answered	Given markets usually fall fast and rise slowly, are there trading mechanisms to take advantage of this?
Oct 24	comment	Are there financial instruments that make a bet on traded volume instead of price or its derivatives? There is a strong correlation between the volume traded and the results of NYSE-Euronext for example (or the Hong Kong Stock Exchange for volume in HK), but you'll see that in their results every three months, definitely not intraday.
Oct 24	answered	Are there financial instruments that make a bet on traded volume instead of price or its derivatives?
Oct 23	answered	What procedure do leveraged ETFs use to limit losses?
Oct 7	awarded	Nice Answer
Oct 6	comment	What is a reasonable upper bound on the performance of a daily trading strategy? Well, with the new formatting Tal answer makes sense, the question really didn't at first. 2000% return trading penny stocks (or simpl y with leverage) and getting lucky is still a reasonable limit, your strategy isn't reasonnable but it doesn't have anything to do with returns. It's just a matter of how much risk you can take, and then if your question is "how much risk can I handle", IC or looking at the sharpe ratio make sense.
Oct 6	comment	What is a reasonable upper bound on the performance of a daily trading strategy? I am sorry but your question doesn't really have a sense, sure if 20x is impossible then it will not happen. If there is a fault it's not your strategy that is wrong, it's your backtester or your market data, in that case it's no use putting a limit, your 1.2x return will be faulty too.
Oct 6	answered	What do we really mean by put-call ratio and how should it be expressed?
Sep 26	revised	How can an ETF outperform its benchmark index? added 182 characters in body
Sep 26	revised	How can an ETF outperform its benchmark index? added 703 characters in body
Sep 26	answered	How can an ETF outperform its benchmark index?
Sep 22	answered	Who is in debt when a bank investments in commercial paper?
Sep 19	answered	Do you know a good article on ETF's counterparty risk analysis?
Sep 17	comment	How should you manage lot sizes in this situation? Did you define a maximum global and per position sharpe ratio and exposition you want to achieve ?