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@BlackSwan_ptf

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Jr derivatives market maker. U are as good as ur last trade. Tweets reflect only my ideas and are not linked to any firm. Languages: Fortran and English.

Joined October 2022
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 month
Your job as a quant trader is to convert raw signals into actions in a world full of randomness. In the end, everything boils down to one q: buy or sell? Imagine you post 2 consecutive stories on Instagram, and these girls like both of your stories, what do u do? hit or wait?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
2 months
Interested in Parallel programming and high performance computing w/ Python? This is just an introduction, ~10 hours of lectures This was one of the gems about those concepts I found while doing my thesis goated course, link in the first comment if you know other gems, share!
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
4 months
This book is really a bomb, too bad I only discovered it now. It contains everything I need to know as an options trader and is written in an intuitive and practical manner, minimizing when possible mathematical formalities In the images, you can see the table of contents
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
4 months
on delta hedging and option models 1/n If you'd like to have a look on how option desks run their books, watch this video (link in the first comment). The professor clearly explains the delta hedging (simplified) in practice, showing examples, sharing code & giving insights
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
2 months
This one was one of the best resources I got in my hands two years ago, I can't remember how I got it it was the best tool, lots of advices (books, courses, life, podcasts, channels etc) But I do not remember this TerribleQuant guy, where did he went? Anyone remember anything?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
11 months
This is a highly reccomended book If you'd like to go for a quant/trading career, the questions you will be asked are included in this book It states that the questions asked in '07 are similar to the ones asked in '99. I received this questions even this year
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
3 months
Trading floors before Lehman must have been such an incredible environment Below, the infamous O'Hare hedge is explained Something which I believe and I hope is practically impossible nowdays because Risk Office will soon knock at your door if you make such bets
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
5 months
On Sundays, we make girls fall in love with us and we contemplate options theory (By the way, fantastic book, one of the best so far)
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
If you're preparing for a junior position in quantitative trading, I recommend having a look @ the following link: it will give you a concise idea of the necessary knowledge. I found insightful the section "Making Markets"
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
29 days
trying to stabilise in my memory a few things happy summer to everyone
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
21 days
A q to all derivatives market makers / traders / whatsoever I am (re)reading Taleb's book about dynamic hedging and I'm really enjoying it since its full of "trading desk stories" Are u aware of other similar books, even blogs are fine. I want to learn from others, its cheaper
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
6 months
A question I ask to options trading interns Assume u have a call and you delta (Δ) hedge it. Now consider 2 scenarios. \1 market goes up, u Δ hedge and u make money \2 market goes down, u Δ hedge and u make money too so, why isn't everyone long gamma all the time?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
This is one of the most comprehensive and understandable books about QF that I've read. It covers models for equity options and interest rates, with 500+ pages of codes. The mathematics is challenging but it is very well written. Lech also has an excellent YT channel.
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
2 months
jr Options Trader Interview question: Define brownian motion and explain why those two heuristics are valid, given that dB_t is a brownian motion process and dX_t is given by a dt + b dB_t Now, explain why the usual chain rule is not valid and dF(t, X_t) has 1 more term
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
With some embarrassment, I only recently discovered the YT channel "QuantPie". It has lessons on ODEs, PDEs, Quant. Finance, B&S, and more. The analogies between physics and finance, like Dupire/Fokker-Planck, caught my attention. It calls for a meticulous dive this weekend.
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
I found this link on acing quant interviews to be extremely helpful. Below, you'll find a slightly modified summary (including my experience) of what is mentioned, including preparation, interview topics, and a few firms.
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
7 months
Your chill weekend read
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
5 months
On mental math: When you apply for trading positions, many firms ask you tons of rapid mental math questions I used to think it was quite useless, but in reality, if you're good at it, you'll save yourself tons of time and hopefully money on the desk
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Math Tricks And Mental Math Course
www.youtube.com
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Have you ever wondered which books on quantitative finance would be excellent to have on your shelf? I found this list on quant.stackexchange. It seems I still have a lot to buy
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BlackSwan
@BlackSwan_ptf
9 months
It's the second time I recommend a book by Euan Sinclair, but how can I not? To interns, we ask what is covered in the first 6 chapters (on top, we then ask many more questions about volatility models.) For a flow desk, the chapter on market making is a great starting point IMO
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Book recommendation: "A Primer for Financial Engineering - Financial Signal Processing and Electronic Trading" This is a quick read that is recommended for beginners. It is packed with useful references to important papers, e.g., if you are interested in mkt microstructure ...
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
This thesis was one of my first readings on Volatility trading It presents s a trading strategy that, with some adjustments and proper risk management, can be turned into a very effective one IMO Highly recommended for jrs to try backtesting it, understand it, & improve
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Junior Equity Option Interview Question: "An insurance company is requesting a locally capped and globally floored cliquet (see payoff formula). A colleague of yours has already priced it, once using a stochastic volatility model and once using a local volatility model ...
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
7 months
Option pricing 101: Two different analysts, A and B, have different views concerning how the stock price of a firm will evolve, as shown below. They assign different up / down move probabilities to different ending values Which call option will be cheaper, A's or B's and why?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
14 days
Once you deal with complex options printing +100 M$ gamma, you really understand this paragraph from Taleb, in dynamic hedging: “For anything beyond a medium length stable option close to the money, a delta does not reflect anything meaningful”
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
8 months
Advice for derivatives traders/quants (w/ no experience) If, during an interview, you are asked what implied volatility is, use this quote from Rebonato and u'll leave a good impression (IMO) "Implied volatility is the wrong number in the wrong formula to get the right price"
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
If you trade options, you've to read this: Quantitative Strategies Research Notes - Regimes of Volatility, by Derman. takeaways: -negative skew in the market after 1987 -sticky strike rule and its applications -sticky delta rule and its applications -sticky imp tree and ...
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
20 days
Managing an exotic options book has very nasty and difficult challenges hidden in it "Volatility exploded and he lost considerable money due to the difference in convexity between vegas he owned and vegas he so massively sold. [...] The trader was even short the 6th moment"
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
An overview of computational optimization techniques and how to use them in trading. If you want to learn about mathematical optimization techniques then head over to Vertox'sthread: 1/n
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Another Interview question I got at an Options Trading role. "Why do you think the volatility surface tends to flatten as time increases for a model that adopts jump-diffusion?" Answer below
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
A coincise thread about Momentum strategies. Moskowitz, was one of the first to comprehensively study these strategies in the academic literature. Later Hurst et al provide statistical evidence that CTA funds do employ such strategies. Read below to see some improvements.
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Moskowitz et al. describe everything u need to know about time series momentum in this paper, IMO. Their findings suggest that time series mom, demonstrates strong and consistent performance across diverse asset classes, with small loadings on standard risk factors. Reccomended
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
I was recently recommended this book, and I haven't seen it mentioned by anyone here on X. It covers everything needed for trading exotic options, including vol. models, correlation, forward starting options, barriers, ATRs etc. It's proving to be quite a challenging read
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
3 months
a lot of talking about dispersion trading, especially now that implied correlation has been smashed but do you know what this is about? if not, you can get an idea reading 1. Exotic Options Trading, ch 24 2. Exotic Options And Hybrids, ch 7,8,9 and then, be my counterparty
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Another must-have book, very trading-focused, not very complex from a modeling perspective, but with plenty of insights for options trading. The first 5 chapters are very useful for those who want to learn about volatility trading / hedging options / forecasting volatility
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
10 months
Expected Returns, a great book, a must-have on the shelves of many asset managers. Can you recommend others, similar to this one, that perhaps delve more into trading strategies?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
15 days
going on a date with a girl which is like a 10/10, feeling a bit anxious how is this even possible? i told her im an important institutional trader from the get go please advise on what NOT to do
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Whether you are a quant-practitioner or a master's/doctoral student, I highly recommend this book: “Monte Carlo Methods in Financial Engineering, by P. Glasserman.” Monte Carlo methods are an essential tool in the pricing of derivative securities and in risk management.
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
11 months
I have always considered important to study the mistakes of others in an attempt to minimize our own This brief article recounts the disasters of some speculative funds Feel free to comment below with similar links if you have any
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Option trader interview question (some experience): "You are a vanilla options trader, and one of your delta-neutral portfolios consists of shares of GOOGL as well as options on this stock." ... refer to the image below ... References: - An Introduction to Option Trading
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
On pairs trading, a short thread about the Copula approach. [Vidyamurthy, 2004; Gatev et al, 2006; Do and Faff, 2010; Qi Liew, 2013]
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
2 months
finally the weekend now I can finally chill and read one of the best books on option pricing and trading, the Natenberg
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
I haven't seen much talk about these two books, which I recommend for those who want a trader-style approach to equity derivatives They are rich in practical examples and useful risk management concepts 1) An introduction to options trading 2) Exotic options trading
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
9 months
Reading this book by @chanep , reccomended to me by @monopo_lyman , I've derived a few ideas which guided me on how to construct a reliable basket of mean reverting pairs. Please comment below with any other books on mean reversion
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
If you'd like to get into the world of stat arb but not sure where to begin looking, give this paper a quick read. It's got the most extensive review I've found, and you'll find a bunch of other useful references inside to dig deeper into the topic. Ref: [Krauss, C, 2015]
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BlackSwan
@BlackSwan_ptf
1 year
Arbitrage-free conditions for option prices. In financial markets there are usually not enough market option quotes to approximate all sorts of financial derivatives, w/ different prices and maturities Therefore, interpolation and extrapolation of market option quotes .. 1/n
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
As you work in an exotic equity options desk, you'll be exposed to worst of puts, for instance. As the name suggests, this derivative is a put option on the worst-performing underlying (among a basket) and it is quite educational to think about how correlation affects it .. 1/n
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Book suggestion for Options Trading Interview: (this will require three tweets). So, in my (very limited) experience I've been asked questions about: - Brownian motion, Ito integrals, etc. - B&S model (PDE, assumptions, weaknesses, etc.) - Greeks (deriving them by hand, ...
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
8 months
After my recent exploration of pairs trading, it's time to delve into carry strategies. I'll start with this interesting paper on a monthly multi-asset strategy with a good Sharpe ratio
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
8 months
Please suggest to me some books on derivatives, both plain vanilla and exotic, focused on trading. So far, I know: - Dynamic Hedging, Taleb - Exotic options trading, Frans de Weert - Positional Options Trading, Sinclair - Exotic Options and Hybrids, Bouzoubaa what am I missing?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
5 months
+EV game: I'm letting you play a game against me. You toss a fair coin until a head appears, if it appears on the N_th toss you win 2^N dollars and the game stops, otherwise, you will continue to play the game. How much are you willing to pay to play it?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Junior options interview question (no experience required): How would you replicate the payoff of a binary call option with strike K that pays either 0 or 1 at expiry? Answer in the pic below
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
friends told me that for quant developer roles, they're often asked for problems from project euler. if you're aiming for that career, I recommend peeking at that site. Project Euler is indeed a series of challenging mathematical/computer programming problems An example below
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Follow up on this tweet. This book covers topics discussed in the JS pdf and is a natural extension of it. Here the authors created a "Quantitative Primer" w/ useful resources and questions taken from interviews Link:
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
If you're preparing for a junior position in quantitative trading, I recommend having a look @ the following link: it will give you a concise idea of the necessary knowledge. I found insightful the section "Making Markets"
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 month
Sunday readings This time, Mandelbrot on fractals in finance I'm already halfway through the book, nothing super new to me so far, but the exciting part seems to be coming Comment below with similar books, please, i’ll have some time this summer
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Jr options trading interview questions: 1\ which strategy(\ies) would you implement using both a call and a put, if you expect volatility to rise? 2\ do you recognise the following payoff at T? if the stock reaches 150%K: are you long or short dividends?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
4 months
I don't understand why people are so angry w/ him Black&Scholes assumption was that stocks follow a log-normal distribution (they don't), and they won a Nobel Prize This guy assumed that the price chart follows a normal distribution (it doesn't) Maybe he'll win a Nobel Prize 2
@great_martis
The Great Martis
@great_martis
4 months
Bitcoin 🚨 MAJOR ALERT 🚨 Parabola law in play . Notice the erratic top ?⏰🔔 Almost always signals a major top Diamond top formation 💎 Watch for the breach next week .✍️📖
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
10 months
Vol trader question: "Given the average negative correlation between an index and its volatility, many investors seek pure volatility instruments for diversification. How can one take a pure volatility position? ..." continues below
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
4 months
On butterflies, geometric Brownian motion and options. Can you tell me at which price you have the most expensive butterfly? I took this "quiz" from the blog of @KrisAbdelmessih I find it very good and I'll try to make its blog a "compulsory" reading for all my interns
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Another interview question I received for a jr role in Options Trading: Someone has calibrated a model using FFT and obtained the prices shown in the figure (x: model prices, +: mkt prices). What observations do you make? Can you determine which model they used? Answer below.
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Reason for skew, from an option seller POV. In downward markets, lower strike options have higher gamma and realized volatility. This leads option sellers to rebalance delta more often, resulting in greater losses. To compensate, option sellers ...
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
A quick thread about diversified portfolios. I recommend having a look at this paper, I know some investment managers that use these techniques. 🧵
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
10 months
If you're aiming for a jr role as an options trader, you'll definitely be asked these questions (from my experience): \ derive the B&S equation and comment the terms \ price a call option using the binomial tree \ what happens to the value of a call when σ approaches infinity?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
6 months
Hopefully, back from very hard weeks Besides that, how can one resist reading a book with such a beautiful cover? A recommended book for options traders who already have some experience in my opinion, luckily the math part here is not so difficult
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Moskowitz et al. describe everything u need to know about time series momentum in this paper, IMO. Their findings suggest that time series mom, demonstrates strong and consistent performance across diverse asset classes, with small loadings on standard risk factors. Reccomended
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BlackSwan
@BlackSwan_ptf
1 year
Note to self: Watch every trading seminar Bitmex has on its channel, such as this one: Read every article on derivatives written by Artur himself, like this one: If you came across similar content, please leave it as a comment
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Interested in copula trading? Check out the paper 'Trading strategies with copulas' by Stander et al. (2013)
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BlackSwan
@BlackSwan_ptf
1 year
I'd recommend having a look at this blog, it is very well-written and I'm learning a lot
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@skyscraper_91
Akın
@skyscraper_91
1 year
@BlackSwan_ptf Can you also recommend for introductory mathematics books for options
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BlackSwan
@BlackSwan_ptf
11 months
Continuing with the use of VIX as a signal for a strategy, I recommend these two. The 1st outlines a very simple strategy that demonstrates outperformance compared to B&H; it could be a good starting point. The 2nd reports extensive literature on investors' sentiment strats
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Option Pricing and Quantization: a thread. Quantization involves approximating continuous distributions with discrete ones. This method can be applied also to option pricing in order to speed up the process!
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
11 months
equity derivatives jr trader question: "when you are pricing options, why does not it matter if the underlying price exhibits mean reversion?" a follow up qstn: "since to answer this question, you moved from a probability measure, to another one, what happened to volatility?"
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
8 months
And here is the super list for derivatives lovers! A heartfelt thanks to Maxime for sharing. I think I've read like 60% of that. I also recommend the book at this link, written by Maxime himself, widely used in a lot of trading floors from what I know
The Derivatives Academy

This book aims at sharing knowledge about Derivatives. It has been written within a pedagogical approach alongside the development of exotic options pricers. The goal is to allow the reader/user to...

bookdown.org
@Maxime_deb7
Maxime de Bellefroid
@Maxime_deb7
8 months
@Virtuvest6 @NicoGladia @BlackSwan_ptf Here is the list of the books I have about Derivatives (not specifically Trading as I don't split my library under more specific subjects tbh :))
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
10 months
Outperformance options: they measure the outperformance of a stock against another 1 and pays the difference. e,g., below, an outp. option on BMW and VW where the investor thinks BMW will outp. A question I ask to candidates: what is the correlation sensitivity of this call?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
6 months
U can for instance find answers to this question and much more in this book. Not much complicated, very nice to start with
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
10 months
Stat Arb question: Let's say I've a way to figure out stocks that I want to pairs trade, e.g, based on SSD and correlation I select many pairs and then I do a backtest (1st image, top 10 performers) w/ these I do an out-of-s. backtest (2nd image) How can the algo be improved?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
4 months
jr derivatives trader interview question (pretty common) what’s a digital option? how would you price it? is it skew sensitive? some of the answers and references at the link below tldr: price it as a limit of a call spread
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
9 months
@pyquantnews The goat. the ones interested in Local Vol / Stoch Vol, I really suggest also this YT channel
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Local Volatility Model: Dupire PDE and Valuation/Pricing PDE Deriva...

Introduces the Local Volatility Model, and derives the Dupire PDE using two alternative approaches. Also compares and contrast the Dupire PDE against the Val...

www.youtube.com
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
GS trading interview question: "You have two minutes to answer this: Is 3.599 a prime number or not?" This one is relatively easy; it is the time constraint that might lead you to troubles A possible answer can be obtained by observing that 60**2 = 3.600, so -> (60-1)*(60+1)
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Let’s do a quick exercise about options and greeks. I’ll recommend following it since it was one of the reasoning questions I got in an interview. Consider the following payoff, this is a Down-and-In Put, meaning that it only comes into existence when the barrier is reached
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
7 months
if you are interested in learning more, check out the course "Computational Finance" of professor Lech A. Grzelak, it is free and available on youtube
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
11 months
Vol trader question: Referring to the following figure, where the solid line is the output of my model and the dots are bids and offers, can you guess which model I used? (w/ jumps, stochastic or local). How can I improve short term maturity options? it continues in the comment
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Since a lot of you like #TimeSeries , here's another one I enjoyed. A great book that explains the BASICS of #Forecasting and provides several pointers to advanced topics. Very practical and result-driven. It's available for free on Google
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
A fast(er) way to estimate Pi w/ Monte Carlo Methods and Python. The first time I was taught how to calculate option sprices using Monte Carlo methods, we started by tackling a simpler yet somewhat similar problem 1/n
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 month
real quants learned the concept of adverse selection when, while playing 'spin the bottle’ for the first time as teenagers, they saw all the girls suddenly move away
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
5 months
@quantymacro Bro please find a girl or something
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
This thread shows how to formulate an RL problem and how to apply it to trading, which is currently the subject I am focusing on this summer. Let's delve into it and please leave your comments 1/n
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Probability question on optimal stopping with dice rolls. This question is often asked, it bears analogies to pricing an American option using a bino. tree "How much would u pay for a game where u can roll a dice 2 times and after each roll you can stop and get $ = face value?"
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
2 months
Found these questions on linkedin, if you feel puzzled and don't know about forward starting options, blackswan has your back You just need to read ch. 11 of Exotic Options Trading where he shows how to hedge forward starting options. Skew is the super important
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
5 months
Exercise for the intern over this sunny weekend 1) Derive the dynamics of volatility skew under local vol. model and under the stochastic vol model, underlying their differences 2) after that, show mathematically how a digital call option is skew sensitive hints below
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
10 months
Look at the two images. Here's the output of a short-term global diversified momentum strategy. The code that generates the two charts is the same, I just changed a consonant and the output is super different What do you think I did?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
9 months
I really enjoy learning, a lot Hence I invest my free time in reading books and taking quantitative trading courses. Besides @HangukQuant and @therobotjames courses, which I find super helpful, PLEASE comment below your recommendations (every subject is welcome)
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 month
This summer I'll be visiting some European and Asian countries, wearing the Black Swan cap in the profile picture If you happen to see me, you can offer me an espresso and we can talk about Ito’s Lemma and options trading
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
The bible of #timeseries analysis, even though one might argue that machine learning has taken over, reading some of these chapters will help a lot your analysis
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
Arbitrage question: Let A and B denote two stocks w/ initial price = 100 RUB. Imagine u can sell a structured product C that pays the holder the min value between A and B after 2 years. (T = 2 years) Would you sell it for 100 RUB? (no need to think of vol, rates etc)
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
1 year
#Jr #Options #Trader Interview (easy one, but they want to see how you think) Do you recognize this Greek? If yes, please explain its behavior with respect to T (i.e., Time to maturity). Not mathematically, though. The formula is simple, but from a probabilistic point of view.
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
6 months
This video marked the begin of the market-making era for a lot of crypto retail traders BitMEX YT channel has other useful videos, especially about futures / swaps / spots arbitrages Do you know any other similar resources, especially on market making?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
9 months
I'm trying to build a solid stat arb framework hence I'm digging into lots of papers, books, etc It's interesting to see academia heavily using copulas, cointegration, PCA, DBSCan etc, while every trader I talk to never mention them This reminds me of the tweet below
@macrocephalopod
cephalopod
@macrocephalopod
2 years
Trading stuff that amateurs traders seem to care about a lot, and which are mostly ignored or seen as trivial by practitioners - 1. Stationarity / unit root tests for time series 2. Cointegration 3. Volatility forecasting 4. Exit signals 5. Stop losses
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
2 months
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Bora Canbula

Doç. Dr. Bora Canbula, Manisa Celal Bayar Üniversitesi Bilgisayar Mühendisliği bölümünde öğretim üyesi olarak görev yapmaktadır. Bilimsel çalışmalarına veri bilimi, yüksek başarımlı hesaplama ve...

www.youtube.com
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
4 months
@xmgnr i’m a quant trader and as you know our job is extremely stressful and we have a very limited amount of spare time. when i log into twitter and i see the same person, always commenting / engaging etc, I find it difficult to believe that person actually trade markets
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
8 months
Let's say that you are a trader and your quant gives you a model to price multi-asset options From this model, you see that the correlation between DAX and SP500 is 0.53 Intuitively, this is too low, when both markets are open you observe a higher pho What's wrong and why?
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@BlackSwan_ptf
BlackSwan
@BlackSwan_ptf
9 months
Basic options trading interview question: the first time he posted this, he said that, being delta = .14, the probability of that option expiring in the money was indeed, .14 (Then he deleted the tweet and made this) Why was he wrong (and a bit right) at the same time?
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