Tuesday, February 6, 2018

Predicting how badly we predict

Inside Wall Street's $8 Billion VIX Time Bomb

On this market I would predict we do indeed predict badly, but my predictions are generally badly predictive.

Bit error is chaotic and bound, but you can bet  on the next requant. Originally this was insurance against a non adiabatic move in the market.  In finance, they say a trade will convexify the requant, which means make a sequence of trade that avoids jumping a concavity.  So the trader makes it around the bend smoothly and the potential for losses should be no grater than bit error, the trader can exit within one pass of the pit boss. 

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