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i've red Natlebs work long time go...
the guy is bleeding option longs playing volat breakouts.
LTCM blowout was discussed and rediscussed
many times over. everybody knows bout it so i don't
want to go into it yet again and all i can say that simple option modeling
equation will not do it, what does is supply and demand
( actual trading ).
but thanks for the post.
bilo.
----- Original Message -----
From: "Thomas Alexander" <alexander_enterprises@xxxxxxxxx>
To: "Bilo Selhi" <citadel@xxxxxxxxxxxx>; "Omega List"
<omega-list@xxxxxxxxxx>; <systems-only@xxxxxxxxxxxxx>
Sent: Friday, May 11, 2001 10:07 PM
Subject: Re: Modeling The Market , study proposal... ( the unholy grail )
> As a financial modeller and recovering engineer and having
> done several dozens of models I would be interested, though
> lightly :)
>
> Remember, Long Term Capitol Management had 2-3 Nobel prize
> winning modellers, god's wallet and they almost brought
> down the banking system. The more I try the more I realize:
> simpler is better and more complex is no substitue for
> psychology or money management.
>
> There was a wonderful post here for a book, partially
> finished called: Fooled by Randomness. I STRONGLY suggest
> reading it. The address is:
> http://home.netcom.com/~ntaleb/fryegg.htm
>
> Thomas "Typically Fooled" Alexander
>
>
> Bilo Selhi wrote: this should be very interesting
> thread to the minority of the listparticipants that are
> systematic traders and rocket scientists.i figured that it
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