898 reputation
48
bio website lliane.com
location Paris, France
age 25
visits member for 3 years, 4 months
seen Jul 18 '13 at 6:56
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."

Aug
8
awarded  Yearling
Feb
5
awarded  Necromancer
Aug
8
awarded  Yearling
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.
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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?
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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?
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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?