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| bio | website | |
|---|---|---|
| location | Tokyo, Japan | |
| age | ||
| visits | member for | 1 year, 2 months |
| seen | 9 mins ago | |
| stats | profile views | 589 |
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Dec 29 |
comment |
How to interpret/use VaR and Standard Deviation? You said you built trading models but you ask how to use VaR and standard deviation? Please get real for a second. I for my part am done with this discussion. You come across as a know-it-all...so I let you have it all. Happy New Year. |
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Dec 29 |
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How to interpret/use VaR and Standard Deviation? @gabriel, sorry but could not help it: "implied vol is not more forward looking than historical"? Then what is implied vols in your opinion. Can you at least do a simple Google search in order to not make others chuckle? Implied volatility is the expectation of future realized volatility of an underlying asset. Which part of this definition is not forward looking and based on expectations? Then your comment about you admitting the existence of a higher put skew but then insisting that more people bid calls than puts for protection makes no sense. |
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Dec 29 |
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How to interpret/use VaR and Standard Deviation? @gabriel, the difference between historical vols and implied vols BY FAR is not just mean stationarity. Divergences can move in completely unpredictable and far from mean reverting ways for so long and by that far that it will break any vol trader's bankroll by sticking out his neck by trying to bank on mean reversion. Look at the Porsche/VW story and what happened to Porsche options' implied vols vs historical vols. Your statement that historical and implied vols are highly correlated is like saying bananas and pine apples are highly correlated: Both are fruits.... |
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Dec 29 |
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Determining portfolio risk return in R given historical data for individual holdings? @Sid , then you did not carefully go through the links. Each single link I provided calculates, as the most basic building blocks, portfolio risk and portfolio returns. |
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Dec 28 |
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what is the implied volatility on a basket of options @Nikos, it is a penalty function, however key here is that it is based on the relative entropy function, which is another name for the Kullback–Leibler divergence. It measures the difference between two probability distributions, in this case the risk-neutral PDF and historical PDF. It needs to be minimized in order to derive the risk neutral PDF. |
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Dec 28 |
answered | Determining portfolio risk return in R given historical data for individual holdings? |
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Dec 28 |
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How to interpret/use VaR and Standard Deviation? @gabriel, and implied vols and historical vols are entirely different animals altogether. Throwing them into the same pot shows that you have a lot of work in front of you. There is an entire species of vol traders who feed their families trading the divergences between the true relationship and what the market thinks of implied vol/hist.vol dynamics. |
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Dec 28 |
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How to interpret/use VaR and Standard Deviation? @gabriel, take a step back here, volatility like all asset classes goes through cycles. If you investigate long term you will see that your conclusions are incorrect for most part. But yes, big moves to the downside generally push up volatility by more than equal sized moves to the upside, thats why you observe a skew and not smile. Welcome to the real world my friend, people always take more extreme measures when you strip them off their clothes rather than showering them in wealth. |
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Dec 27 |
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How to reactivate a risk mangement rule in an automated process @vanguard2k, well I am confused then. "Re-activate" as the OP stated in my book does not ask for rules when to open a position. Re-open positions in my world does not exist. There are rules when to open positions. If different rules are supposed to be applied then a new strategy with the different rules should be run in parallel (I touched on it above though you are right, if its about rules of opening positions then I may want to edit my response). OP can you please clarify? |
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Dec 27 |
revised |
Can determinant of liquidity risk be used as a dimension or measure of liquidity risk deleted 49 characters in body |
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Dec 27 |
answered | Why might a manager consider using an interest-rate in which the notional principal amount declines over time? |
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Dec 27 |
answered | How to reactivate a risk mangement rule in an automated process |
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Dec 26 |
reviewed | Approve suggested edit on Hidden Markov Model & Its Application |
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Dec 26 |
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Hidden Markov Model & Its Application Am curious about this too as I am working on HMM right now, interesting question. |
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Dec 26 |
revised |
Can determinant of liquidity risk be used as a dimension or measure of liquidity risk added 890 characters in body |
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Dec 26 |
answered | What sources would you recommend for Real Time Market Data other than Bloomberg/Reuters? |
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Dec 26 |
answered | Can determinant of liquidity risk be used as a dimension or measure of liquidity risk |
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Dec 26 |
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Can determinant of liquidity risk be used as a dimension or measure of liquidity risk just rushed back from holidays because the SE emergency pager beeped like nuts. Thanks for ruining my holidays...;-) |
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Dec 26 |
answered | Threshold calculation for buying a mean-reverting asset |
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Dec 26 |
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How to interpret/use VaR and Standard Deviation? @gabriel, I recommend you clearly differentiate between historical vols/standard deviations and implied volatilities, they are a different animal entirely. Implied vols can drop even when markets strongly bounce to the upside (especially after larger sell-offs) because of certain market perceptions whereas historical vols may not drop just because the sign of the underlying price momentum changes. You need to make clear which volatility measures you are talking about. |
