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by Alan
December 29th, 2023, 1:34 am
Forum: Student Forum
Topic: Zero-day options
Replies: 3
Views: 1027

Re: Zero-day options

In a sense, nothing is new as every previously traded option became a 0DTE option on its last trading day. But, your question made me look for something interesting at the usual sources: SSRN, arxiv. Nothing caught my eye, until I saw the CBOE is supporting the 1-day SPX options with a new  VIX1D (1...
by Alan
December 28th, 2023, 5:08 pm
Forum: Politics Forum
Topic: Biden and Harris - the first 100 days
Replies: 287
Views: 79092

Re: Biden and Harris - the first 100 days

I put the question to ChatGPT (biblical sources); it mostly directs one to a wikipedia entry on Christian Zionism, which is quite interesting.
by Alan
December 26th, 2023, 11:39 pm
Forum: Book And Research Paper Forum
Topic: My Dinner with ChatGPT
Replies: 127
Views: 32564

Re: My Dinner with ChatGPT

The obvious follow-up: (the arithmetic here look ok to me) ==================================================== >> At a production rate of 9 kilograms per month for 60% uranium, how many nuclear bombs could be constructed from one year's worth of production? Given a production rate of **9 kilograms ...
by Alan
December 26th, 2023, 11:24 pm
Forum: Book And Research Paper Forum
Topic: My Dinner with ChatGPT
Replies: 127
Views: 32564

Re: My Dinner with ChatGPT

In early tests, it seemed that ChatGPT could not readily learn to revise its views.  Lately, as least based on the version in MS Edge/Bing Chat ( ChatGPT-3.5-turbo ), it seems to be improving in that regard. However, its ability to do simple arithmetic still sucks ! (In the conversation, ">>&qu...
by Alan
December 24th, 2023, 6:36 pm
Forum: Politics Forum
Topic: FSU, Toby Young, Eugenics & Wilmott.com
Replies: 569
Views: 134275

Re: FSU, Toby Young, Eugenics & Wilmott.com

Right -- attack the sources. 

Actually, an early source is an Oct 24, 2023 letter from the New York Post to Harvard. 
Harvard's response: a 15-page threat to file a defamation lawsuit

Another letter
by Alan
December 24th, 2023, 12:30 am
Forum: Off Topic
Topic: Higgs boson - Large Hadron Collider (LHC)
Replies: 492
Views: 110590

Re: Higgs boson - Large Hadron Collider (LHC)

The Mont Jura timelapse (1 year) was very cool. Reminded me of the scene in The Time Machine:
by Alan
December 22nd, 2023, 4:33 pm
Forum: Politics Forum
Topic: FSU, Toby Young, Eugenics & Wilmott.com
Replies: 569
Views: 134275

Re: FSU, Toby Young, Eugenics & Wilmott.com

Re FSU: impressive work!  

From this side of the Atlantic, some related news:
Week in Review: DEI Goes Down in Yet Another State
by Alan
December 22nd, 2023, 3:29 am
Forum: Book And Research Paper Forum
Topic: My Dinner with ChatGPT
Replies: 127
Views: 32564

Re: My Dinner with ChatGPT

And read to his cat:
ReadingToCat.jpg


All images by MS Edge/Copilot/Image Creator
by Alan
December 22nd, 2023, 3:22 am
Forum: Book And Research Paper Forum
Topic: My Dinner with ChatGPT
Replies: 127
Views: 32564

Re: My Dinner with ChatGPT

The new President loves to play poker:
NewPresidentPoker.jpg
by Alan
December 21st, 2023, 5:48 pm
Forum: Book And Research Paper Forum
Topic: My Dinner with ChatGPT
Replies: 127
Views: 32564

Re: My Dinner with ChatGPT

The new President's dog, "Sam":
The 2032 elections produced, as usual, a divided Senate (half human parties and half AI parties):
SamTheDog.jpg
 
by Alan
December 21st, 2023, 5:28 pm
Forum: Book And Research Paper Forum
Topic: My Dinner with ChatGPT
Replies: 127
Views: 32564

Re: My Dinner with ChatGPT

Jan 20, 2033: ChatGPT 15.0 takes the oath of office, in a Tesla Optimus Gen 10 body:

RobotPresident.jpg
by Alan
December 17th, 2023, 3:11 pm
Forum: Student Forum
Topic: Step in Ito's Lemma Derivation
Replies: 6
Views: 2248

Re: Step in Ito's Lemma Derivation

My first remark is still correct. But your argument for why [$]dW_t^2 = dt[$] is much better than mine.
by Alan
December 17th, 2023, 5:36 am
Forum: Student Forum
Topic: Step in Ito's Lemma Derivation
Replies: 6
Views: 2248

Re: Step in Ito's Lemma Derivation

It's not true -- there's a missing [$]\sigma^2(t,X_t)[$].

As for [$]dW_t^2 = dt[$], first [$]E[W_t^2] = t[$]. The latter probably suffices for Ito's lemma. 
by Alan
December 17th, 2023, 5:19 am
Forum: Student Forum
Topic: Implied Volatilities
Replies: 4
Views: 1965

Re: Implied Volatilities

Yes, they'll match up closely near the at-the-money strikes. They'll match up exactly at the special strike in the VIX white paper which generates the forward price.  Having said that, it's probably not too useful to think about arbitrage in terms of IV's. What matters for arbitrage are the tradeabl...
by Alan
December 15th, 2023, 5:26 am
Forum: Student Forum
Topic: Implied Volatilities
Replies: 4
Views: 1965

Re: Implied Volatilities

Another possibility is the IV's were computed using the last trade prices (a bad idea), in which case the put price is an hour stale relative to the call -- and not even within the current bid-ask spread. But, this seems unlikely given the relative IV values.