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by Alan
January 16th, 2020, 5:23 am
Forum: Brainteaser Forum
Topic: BlackJack game
Replies: 26
Views: 815

Re: BlackJack game

Yes, another good answer for the OP next time around: "I like poker and I like to drink" --- you're hired!
by Alan
January 15th, 2020, 8:54 pm
Forum: Off Topic
Topic: Grammar Time!
Replies: 1649
Views: 201041

Re: Grammar Time!

Very true.
Re Trump, at that link I posted, perhaps every 12 letter word fits? -- well, maybe not 'unnoticeable'
by Alan
January 15th, 2020, 8:43 pm
Forum: Off Topic
Topic: Grammar Time!
Replies: 1649
Views: 201041

Re: Grammar Time!

Words that end in  able  are generally the words that can stand-alone without suffix; while words that end in  ible  are words that can not stand alone. If a word ends in a single “ e ” drop the  “e” before adding “able.” I think there are likely exceptions to #2: knowledgeable p.s. wow --  225
by Alan
January 15th, 2020, 8:13 pm
Forum: Careers Forum
Topic: Adding CS to do algo and ML trading
Replies: 14
Views: 694

Re: Adding CS to do algo and ML trading

I think that you just want to stay in school -- not that there's anything wrong with that. Anyway, if you do, go up, not down. Maybe some program like  this . Even if you fail to complete your PhD, you can walk away with a Masters in CS. If you do complete your PhD, you'll be glad you did, and much...
by Alan
January 15th, 2020, 4:56 pm
Forum: Brainteaser Forum
Topic: BlackJack game
Replies: 26
Views: 815

Re: BlackJack game

I suspect the purpose of the question is to see if the candidate has read Thorp's 1966 classic "Beat the Dealer". If so, then the short answer could be: follow his Basic Strategy. This will allow you to hang out at most tables for a while with a (very) small edge, unless the casino gets irritated at...
by Alan
January 15th, 2020, 4:22 pm
Forum: Careers Forum
Topic: Adding CS to do algo and ML trading
Replies: 14
Views: 694

Re: Adding CS to do algo and ML trading

Hi Alan  That's not the case. Going back to school would mean no salary, living off savings, paying for extra education plus tons of other drawbacks. The real reason is simply looking forward and expanding the skill set which cannot be taught/learned at math or economics department.  On the other h...
by Alan
January 15th, 2020, 3:48 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3199
Views: 132888

Re: Trump -- the last 100 days

Wait, you forgot the $37B donated to his ex -- just kidding, MacKenzie!  :D More seriously, I am glad each of these folks gets to make their own decisions here -- rather than Elizabeth W. or Bernie S. The Gates' make smart decisions and give their money to Malaria No More , as one example. In contr...
by Alan
January 14th, 2020, 8:53 pm
Forum: Careers Forum
Topic: Adding CS to do algo and ML trading
Replies: 14
Views: 694

Re: Adding CS to do algo and ML trading

I think that you just want to stay in school -- not that there's anything wrong with that. Anyway, if you do, go up, not down. Maybe some program like  this . Even if you fail to complete your PhD, you can walk away with a Masters in CS. If you do complete your PhD, you'll be glad you did, and much ...
by Alan
January 14th, 2020, 5:25 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3199
Views: 132888

Re: Trump -- the last 100 days

Wait, you forgot the $37B donated to his ex -- just kidding, MacKenzie!  :D More seriously, I am glad each of these folks gets to make their own decisions here -- rather than Elizabeth W. or Bernie S. The Gates' make smart decisions and give their money to Malaria No More , as one example. In contra...
by Alan
January 11th, 2020, 2:34 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 640

Re: Nonparametric hedging of volswaps with varswaps only

Yeah, if you really need to do positive correlation under this type of process, just stick with put options, which have a non-ambiguous value. (See the discussion around Table 8.7 in my Vol II book).
by Alan
January 11th, 2020, 1:56 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 640

Re: Nonparametric hedging of volswaps with varswaps only

You're welcome.  Re MC. For the model form I posted, likely you'll choose some mean-reverting [$]a(\sigma)[$], so the process: (a) lies on [$](0,\infty)[$], (b) never reaches a boundary in finite time, and (c) has a stationary distribution. Given that, I would transform it to [$]d y = \tilde{a}(y) \...
by Alan
January 11th, 2020, 3:00 am
Forum: Book And Research Paper Forum
Topic: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
Replies: 33
Views: 2841

Re: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution

@tw, What bearish said + SEC and CFTC cases indicate scrutiny of trade allocations and 'cherry picking' The SEC gets to see whatever they want, say on a regular inspection (infrequent, in my experience) or a surprise inspection prompted by a whistleblower tip or some other concern.  If you're a mone...
by Alan
January 10th, 2020, 11:28 pm
Forum: Book And Research Paper Forum
Topic: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
Replies: 33
Views: 2841

Re: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution

How do these high frequency guys with multiple subfunds with mixed internal/external ownership participation and who want  to remain as secretive about their portfolio composition as possible, avoid the obvious conflict of interest concerns? Would an auditor provide any assurances of best execution...
by Alan
January 10th, 2020, 7:51 pm
Forum: Book And Research Paper Forum
Topic: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
Replies: 33
Views: 2841

Re: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution

It feels like they found a leak in the plumbing of the market, and figured out where to put the bucket to catch the money. Then, it's just a matter of concocting a cover story, and making millions of trades a year seems like a good one. I actually doubt that the "alpha" source has anything to do wi...
by Alan
January 10th, 2020, 6:50 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 640

Re: Nonparametric hedging of volswaps with varswaps only

I thought the trick with the H-process was clever.  In the final formula (5.15) I suppose [$]\Sigma\_[$] is defined at (4.7). If so, you might explicitly say that, since (as you said) there was a notational abuse. Related, I think you need to show that all is sensible with the proposed hedging of a ...
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