Today's Document
Lint Roller? I Barely Know Her
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Noah Kahan
Game Changer & Make Some Noise
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Phantogram Three
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Mike Driver
@theartofmadeline
PUT YOUR BEARD IN MY MOUTH
Sade Olutola
Cookie Run:Kingdom Official!
todays bird
Fieri Frames
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I'd rather be in outer space 🛸
let's talk about Bridgerton tea, my ask is open
RMH
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@paowongsakorn
STOP USING INORGANIC (poison) ROOTING HORMONES
… use organic Aloe Vera instead
Aloe is full of goodies ~ like enzymes, saponin, salicyclic acid, vitamins, and amino acids.
you can use them to clone your other plants too and its easy to do.
‘Ticking Time Bomb’ Seen in Record-Low S&P 500 Volatility
Record lows in U.S. stock volatility amount to a “ticking time bomb,” according to Dhaval Joshi, a BCA Research Inc. investment strategist. Joshi cited a gauge derived from S&P 500 Index put options, which rise in value as the benchmark declines, in a report Thursday. The indicator reached new lows four times this month, most recently last Friday. The lack of volatility cuts into the potential return from owning shares rather than bonds, Joshi wrote, and may set the stage for a “violently negative” reaction from investors.
Potential Black Swans and How to Hedge Against Them
It happened again, and again.
Last Thursday volatility increased sharply at around 1.30 p.m, then it came back to normal at the end of day. For now, we ignore the cause. But this event reinforced our observation: sharp volatility spikes occur more and more frequently these days.
[caption id=“attachment_382” align=“aligncenter” width=“590”] Volatility on July 27, 2017. Souce: InteractiveBrokers[/caption]
In a low volatility environment like this one, market participants are becoming more and more aware of the potential risks caused by the volatility feedback loop which will happen when the short volatility players are forced to deleverage. Sharp spikes in volatility are usually caused by unanticipated, black swan type of events. According to Steve Cucchiaro, the following circumstances can have the potential of leading to black swans
Momentum is a principal reason why equities keep hitting new highs. Could this shift to momentum turn into a parabolic melt-up? If so, it could set the scenario for a black swan correction
A record amount of money is shorting the primary volatility index, the VIX. What would happen if some event were to change this environment? There likely would be a ton of short-covering in the VIX, which could turn a minor correction into a major one.
Kim Jung Un has been shooting off missiles in North Korea without consequence. Given that the North Korean regime appears irrational, who know what could happen. What if they “tried to take out our satellites?”
Increasing tension between Iran and Saudi Arabia threatens to destabilize more than the Middle East.
Gridlock in Washington looks worse than ever.
A major cyber-attack on our infrastructure, electrical grid or financial system has become a larger risk. Hackers are getting more sophisticated and their ability wreak havoc is rising.
The profits recession of 2015 is over and corporate bottom-lines are throwing off record amounts of income. What if this is the last great quarter of corporate earnings for the current cycle?
What about a bond market meltdown? After 35-year rally in bonds, interest rates remain near historic lows. Most major central banks are all trying to normalize on a synchronized basis. Read more
Nobody knows when a black swan will happen. So the right question to ask is: how to protect oneself from the black swan events?
We believe that using VIX options to construct ratio call spreads (for example 1x2 VIX calls) is a sensible solution.
We note that recently, Joe Ciolli of Business Insider presented an example of a hedge against a massive increase in volatility. But according to his post, we think that the trade is risky, so this is not a good hedge.
To fund it, the investor sold 262,000 VIX puts expiring in October, with a strike price of 12.
The trader then used those proceeds to buy a VIX 1x2 call spread, which involves buying 262,000 October contracts with a strike price of 15 and selling 524,000 October contracts with a strike price of 25.
In a perfect scenario, where the VIX hits but doesn’t exceed 25 before October expiration, the trader would see a whopping $262 million payout.
It is possible for the VIX to spike too much. If it increased beyond 35.2, the investor would start to lose money since they used a call spread, even though they got the direction of the trade correct.
For context, VIX October futures are trading at 13.6, while the spot index closed at 9.62 on Thursday. Read more
Alternatively, the trade was constructed and executed correctly, but it was misinterpreted by the journalist.
Originally Published Here: Potential Black Swans and How to Hedge Against Them
Do Quantitative Trading Models Work?
Quantitative trading has become a topic du jour lately. Many investors have been considering allocating more capital to quantitative funds. However, not all experts share the same opinion regarding the merits of quantitative strategies. There are even quants among the skeptics.
Emanuel Derman is one of the most respected experts in the quant community. He spent 17 years as a lead quant at Goldman Sachs, and he is now a professor of financial engineering at Columbia University. He’s the author of 3 books: My Life as a Quant, Models.Behaving.Badly and The Volatility Smile. Derman found that,
…as physicists applied their expertise of the laws of motion, atoms and mathematics to investing, their models didn’t work nearly as well as they did in a lab.
Newton’s law of gravity hasn’t changed for eons, Derman said, but human behavior in markets changes all the time, wreaking havoc on even the best models made by scientists.
In a recent Bloomberg article, Derman pointed out,
“I’ve developed a lot of skepticism about anyone bringing their expertise from one field to another” … “They say stocks are like atoms, or like genes. But stocks are not atoms or genes. There is a resemblance, but ultimately they are very different.” Read more
Not only academics are skeptical, but also practitioners. For example DoubleLine Capital Chief Executive Officer Gundlach said that he doesn’t believe in machines taking over finance. Another hedge fund manager doesn’t believe in backtesting models.
… according to Visser at Weiss Multi-Strategy Advisers, a $1.7 billion hedge fund in New York, human investors still have a big advantage when it comes to recognizing patterns and connecting the dots: Intuition.
“The good thing about computers is that they don’t have emotions,” Visser said in a phone interview. “The bad thing about computers is that they don’t have emotions. Computers can’t detect human sentiment. They can’t identify the usual suspects who typically attend crowded conferences when markets are at a top.”
Visser is particularly skeptical about all the money being spent on finding profitable trading strategies by testing them on historical data, or so-called backtesting. While that helps reveal how portfolios will likely perform under various market conditions, computers aren’t yet adept at forecasting what people will do in the future, he wrote in a June paper. Read more
So do quantitative trading models work? Let us know your opinions.
Originally Published Here: Do Quantitative Trading Models Work?
pornonpaper always amazes me. Thank you!
Still my favourite drawing by the amazing @pornonpaper
The Joyful Yell
Atlas Obscura made this terrific visual comparison of athletic feats across the animal kingdom. The human animal’s performance is decidedly lackluster.
In the 1930s, infographic pioneer Otto Neurath designed a similar visual comparison of lifespans across the animal kingdom.
Such a cool comparison!
Déjà Vu
From the artist Caterina Rossato:
The déjà vu is a psychic phenomenon which is part of the forms of alteration of memories (paramnesie): it consists in the erroneous sensation of having seen an image or of having lived previously an event or a situation that is occurring. Although improperly, it is also called “false recognition”.
I create landscapes made through a collage of other landscapes, combining images in which the sense of recognition of reality slips from one level to another and it is never clearly identified.
Images and text via
Personal Illustrations Jonathan Ortiz -Part 2- by Jonathan Ortiz
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Design or die
A true friend… -Accepts you as you are -believes in you -calls you only to say “hello” -doesn’t give up with you -admires all sides of your personality -forgives your mistakes -helps you -encourages you to try it again -makes a difference in your life -says nice things about you -offers his/her support -understands you -tells you the truth -never judges you -explains things you don’t understand -walks by your side -calms down your fears -shouts if necessary, if you don’t want to listen -raises you spirit.
Unknown (via naturaekos)
Let me guess which side you think you’re on? If you eat meat…definitely file yourself under column left.
ॐ ☼☽ The Art of Yoga ☾☼ ॐ
3 MAGICAL new brushes are coming FREE tomorrow for Megapack owners.
Andrés Gallardo - Urban Geometry (Paris).
Matthieu Venot - Photographer (France).
Antonello de Messine - Portrait d'homme (dit Le Condottiere), 1475 ca. Musée du Louvre. + Fibonacci spiral.
A princess of the family of Akhenaten, from Amarna, Dynasty XVIII (ca. 1539-1493 B.C.), Musée du Louvre. + Fibonacci spiral.
*14 días, 14 deseos.
Decisions Decisions #abstractart #modernart #contemporaryart #abstractbeauty #abstract #colorist #abstractpainting #abstractpainter #originalart #artwork #artgallery #goldenrectangle #fibonacci #artcollector #artconsultant #geometricbeauty #interiors #interiordesign #albers #coldwaxmedium #fineart #newyorkcityartist #stephencimini #artgallery #artlovers #AIArtists #WorldofArtists #TalentedPeopleInc #originalartwork
