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by acastaldo
May 24th, 2004, 5:54 am
Forum: Off Topic
Topic: Ahmed Chalabi - putting the 'con' into neo-con
Replies: 20
Views: 190111

Ahmed Chalabi - putting the 'con' into neo-con

Quote 'neo-con' is a vague term with no precise definitionA useful questionnaire to find out if you are a neo-con (or else an Isolationist, Realist or Liberal).QuizOr just read a definition of neo-cons here.
by acastaldo
May 23rd, 2004, 11:55 pm
Forum: Technical Forum
Topic: Omega Performance Measure
Replies: 3
Views: 190054

Omega Performance Measure

<t>Here are a 1 page article and a 15 page article about OmegaFrom Alpha to OmegaAn Introduction to OmegaSince it requires knowledge of the probability distribution of returns, Omega would appear to be relatively useless in applications. We could try to estimate the probability distribution with the...
by acastaldo
May 10th, 2004, 12:15 am
Forum: General Forum
Topic: Why convert a convertible
Replies: 11
Views: 189926

Why convert a convertible

<t>QuoteOriginally posted by: jonplease assume no callable/putable features Of course you may assume whatever you wish; and I appreciate that one should analyze simple cases before moving on to more complex ones. But keep in mind that most real life converts are callable by the company that issued t...
by acastaldo
April 24th, 2004, 5:06 am
Forum: Technical Forum
Topic: Dispersion IV and Correlation
Replies: 8
Views: 190369

Dispersion IV and Correlation

<t>0. The value of an option depends on Volatility of the underlying1. A basic result in option theory (due I think to Merton) is that "a portfolio of options is more valuable than an option on a portfolio" (it would cost more to buy options on each of the 500 stocks in the S&P than an option on...
by acastaldo
April 20th, 2004, 2:20 am
Forum: General Forum
Topic: Interesting read on Taleb/Niederhoffer/Extreme_event_risk...
Replies: 26
Views: 191700

Interesting read on Taleb/Niederhoffer/Extreme_event_risk...

QuoteOriginally posted by: HankScorpioJust for the curious...does anyone here know how Taleb's and Niederhoffer's trading strategies have been performing recently?From very limited personal knowledge Niederhoffer [...] while Taleb [...]. [Sorry, I prefer to remove these comments.].
by acastaldo
April 19th, 2004, 2:02 am
Forum: General Forum
Topic: A silly question
Replies: 9
Views: 189870

A silly question

<t>If you are saying that there are thousands of prices in an economy and that most of them are not determined by noarbitrage conditions, I agree with you. Only a few prices are determined by noarbitrage conditions. The prices of stocks S are determined by what people want to pay for them (supply an...
by acastaldo
April 18th, 2004, 2:47 pm
Forum: General Forum
Topic: A silly question
Replies: 9
Views: 189870

A silly question

<t>What brings prices closer to being "correct" is of course adjustments in supply and demand. To continue Aaron's example, if eggs are priced at $1 each or $12 for a dozen, then the production of eggs is unusually profitable wrt production costs. More people enter the business. This takes time, cap...
by acastaldo
April 12th, 2004, 9:39 pm
Forum: Off Topic
Topic: Is it Time to Cut & Run?
Replies: 55
Views: 191510

Is it Time to Cut & Run?

<t>> When they have jobs and tv sets at home i doubt islamic revolution will sound as that attractiveYou are right about the need for jobs. But they already have tv sets an they are watching Al Jazeera and Al Arabyia which are full of anti american and anti western propaganda. Plus shows about how w...
by acastaldo
April 3rd, 2004, 1:53 pm
Forum: Technical Forum
Topic: Expected returns: alpha models
Replies: 2
Views: 189406

Expected returns: alpha models

<t>One method is to assume that the premium/discount will vanish in a certain number of years, say four years. The mispricing will correct in that time. So if Acme Company is at a 20% discount to your DCF, its alpha is 20/4 = 5% for the next year. Not very scientific but I have read of people using ...
by acastaldo
March 28th, 2004, 10:17 pm
Forum: General Forum
Topic: vol trading / VIX future contract ??
Replies: 28
Views: 192734

vol trading / VIX future contract ??

>Where are you getting the quotesDelayed quotes here:http://quote.cboe.com/SimpleQuote.asp?TICKER=vxb
GZIP: On