T********i
发帖数: 2416 | 1 #if defined(_MSC_VER)
# pragma once
#include
inline long long InterlockedIncrement(long long volatile *ptr) {
return InterlockedIncrement64(ptr);
}
inline long long InterlockedDecrement(long long volatile *ptr) {
return InterlockedDecrement64(ptr);
}
#else
#include
template
inline T InterlockedIncrement(T volatile *ptr) {
return __sync_add_and_fetch(ptr, 1);
}
template
inline T InterlockedDecrement(T volatile *ptr) {
return __sync... 阅读全帖 |
|
a*****r
发帖数: 63 | 2 最近在看LMM, 看了不少资料,反而把自己绕进去了,现在头脑僵硬看不懂Calibration这
块了. 急需牛人指点一二.
我的问题如下:
calibration我的理解就是用市场上的实际数据(比如swaption 价格),来估计
volatility,然后通过这个volatility来算模型推导出来的swaptioin 价格. 其中这个
volatility要能minimize error funciton.
然而: 1.为什么书上同时给出这个公式
sigmamodel_n_{^2}=(1/T_n) *Integral_0_{T_n}{sigma_n_{^2} } (也就是implied
volatility 在给定时间Tn内的平均值)
来计算模型中的sigma? 那这样的话,sigma不就是确定了吗? 怎么来minimize error
function呢?
2. implied volatility 和instantaneous volatility 有什么具体区别?
3. 市场数据是怎么来的? 难道不是根据这个模型算出来的吗?还是完全根据供求关系来
的?
4. smile 怎么 |
|
i****e
发帖数: 78 | 3 dF = F*mu*dt + F * sigma(t) *dW
where sigma(t) is called instantaneous volatility.
1) & 2)
Implied volatility is backed out from BS formula, the relation between
instantaneous volatility and implied volatility is given in your 1),
i.e.,
IVol = sqrt( 1/T * int_0^T sigma(t)^2 dt
this relation can be proved easily using Ito lemma, or the proof is also
an exercise in Shreve's book. (the instananeous volatility is also a kind
of implied instantaneous volatility).
3) The market price is determined |
|
m*d
发帖数: 7658 | 4 先安装archlinux
instruction在这里
http://archlinuxarm.org/platforms/armv6/pogoplug-provideov3
如果不想写用arch的uImage覆盖nand
可以这样
Following steps 7 and 8 above, partition and format the drive (using the
correct /dev device, highly likely NOT sda). Download and extract the root
filesystem tarball onto the new ext3 partition as the root user, not just
sudo. Create a file at /usr/local/mac_addr and place in it your Pro's MAC
address (its on the bottom of the unit) in the format XX:XX:XX:XX:XX:XX.
Safely umount ... 阅读全帖 |
|
m*d
发帖数: 7658 | 5 先安装archlinux
instruction在这里
http://archlinuxarm.org/platforms/armv6/pogoplug-provideov3
如果不想写用arch的uImage覆盖nand
可以这样
Following steps 7 and 8 above, partition and format the drive (using the
correct /dev device, highly likely NOT sda). Download and extract the root
filesystem tarball onto the new ext3 partition as the root user, not just
sudo. Create a file at /usr/local/mac_addr and place in it your Pro's MAC
address (its on the bottom of the unit) in the format XX:XX:XX:XX:XX:XX.
Safely umount ... 阅读全帖 |
|
m******r
发帖数: 6963 | 6 Here’s Why Bitcoin’s Price Continues to Plunge
Reuters
Updated: Jan 06, 2017 2:16 PM Eastern
Bitcoin plunged by as much as 12% on Friday after China's central bank urged
investors to take a rational and cautious approach to investing in the
digital currency, which is on track for its heaviest two-day drop in two
years.
Bitcoin had been on a tear until Wednesday, gaining more than 40% in two
weeks to hit around $1,139 on the Europe-based Bitstamp exchange, just shy
of its all-time record of $1,16... 阅读全帖 |
|
g*******r
发帖数: 33 | 7 LONDON, March 20: Good car must have good air? Yesterday CCTV weekly quality
report columns launch blockbuster reported: in random censorship Beijing
Benz C-Class, E-class cars, the BMW 3 Series cars, 5 cars, as well as the
Audi A6, Q5 damping chip samples detected with No. 70 asphalt, with a strong
carcinogenic effects, belonging to a carcinogen.
All the models for the show for people familiar with the ABB (Audi, BMW,
Mercedes-Benz), the program was broadcast triggered a strong reaction, about
... 阅读全帖 |
|
j***b
发帖数: 5901 | 8 其实这个trade主要的风险是如果股市长时间保持现在的 volatility。这两个put的定
价就是根据这个volatility。
大家赌volatility降低可以用vxx。但是vxx会有backwardation。而且short vxx风险太
大。我这个trade则风险小得多。所以我觉得用这个trade来赌volatility不失为一个不
错的选择。volatility总是要下降的。问题就是在它下降之前会多大程度地残害这些3x
etf。 |
|
j***b
发帖数: 5901 | 9 我没细算，但是你说的这个两边等量下跌应该基本上同样volatility下的比较差的情况。也就是说如果两边跌得不等的话那可能比你说的赚得多。最好情况是一边不动，另一边下跌。最差情况则是一边狂涨，另一边狂跌。
而如你说的，这个trade在假设保持现在volatility的情况下比较坏情况还有赚，就说明这两个put定价price in了更高的volatility。
其实很简单，就是看今后的volatility。底了就赚，高了就赔。
另外，其实也不需要担心到时候因为spread大不能close。如果大盘跌的话没有profit可take，损失也有限，也没什么止损的必要。而如果大盘大牛，那想close position不需要买回put，只要加点多仓就行了，两个short put不用管。这个trade是赌volatility降低，因此多少算是长仓。但是如果市场真的太牛了，它会渐渐变成短仓，想平掉只需加点长苍。
the
. |
|
g*******s
发帖数: 2828 | 10 VXX is not derived from VIX (current month contract for volatility). it is
instead a mix of forward month 1 and 2 volatility future, and rolls a
portion every day.
up till a few days ago, while VIX has declined significantly, volatility for
out months stayed stubbornly high, likely as a result of investors still
demanding downside protection. the result is that Volatility term structure
(much like treasury yield curve) has become extremely steep vs. historical
norm.
so smart money started bettin... 阅读全帖 |
|
o********n
发帖数: 1329 | 11 yes, you will learn proper way of doing option trading.
First of all, buying stocks and selling covered calls is equivalent to
selling puts.
Selling puts is my favorite.
Secondly, before selling options, calls or puts, check the implied
volatility of the options, and compare it to the expected volatility of the
stock price. You probably sold the option cheap, i.e. when the implied
volatility was not that high.
Use http://www.ivolatility.com/ 's free service to find out Implied Volatility and st... 阅读全帖 |
|
h*********y
发帖数: 170 | 12 标准：high p/e potential, high volatility, mid or large cap, RSI < 50, high
future EPS growth
1. Tech
33.8 SLH Solera Holdings Inc. 2.45% Mid
21.6 ATHN athenahealth, Inc. 5.49% Mid
14.6 SATS EchoStar Corp. 2.50% Mid
3.7 LNKD LinkedIn Corporation 4.90% Large
3.1 ROVI Rovi Corporation 4.58% Mid
2.7 DDD 3D Systems Corp. 5.52% Mid
2.6 MSCC Microsemi Corp. 3.32% Mid
2.6 CTRX Catamaran Corporation 3.00% Mid
2.... 阅读全帖 |
|
w********2
发帖数: 16371 | 13 虽然老文了， 网上搜来，应该还能用：
发信人: magicfat (魔法胖子), 信区: Stock
标 题: 说说期权（1）
发信站: BBS 未名空间站 (Fri Aug 22 16:34:04 2008)
冒了个泡，被村长抓住，还留了作业让写点“ Option
Tutorials”。 这就算开始交作业吧 。打算写初中级的入
门，所以可能对 已经在作options的同修没什么意义。
8-）
先说说基本概念和术语。其实options--期权 --是A和B就
某只股票 X的未来走向下赌注，A 赌X在某个时间点T一定
低于 或者高于某个价 格P，B则赌相反。所以B就从A那里
买一个合约 ，说自订约到T那天止，不 管X的市场价P(t)
是多少，B可以有权选择以价格P从A那里买或 者卖给A
100股X。如果合约规定的是买的权利 ，这个合约就是一
个靠(Call)，如果是卖的权 利，就 是一个扑(Put)。T之
前的最后一个交 易日也就是我们常说的OE day。
所以要完整定义一项特定的期权，就要定义X ，P，T，以
及靠或扑。比如MSFT SEP 30 CALL 就是说“在九月的第三
个星期... 阅读全帖 |
|
h********o
发帖数: 3320 | 14 VIX从高位刚跌下来之后经常会在低位持续一段时间才会反弹。VIX在低位的时候，是
short volatility的好时机。 这个时候long volatility大概率会死的很难看。 long
volatility和short market一样，挣钱比较难。short volatility比long volatility
赢钱概率大很多，就如同long market比short market更容易挣钱。 如果你们没有本事
预测股市什么时候涨跌的话，建议你们不要去做小概率赢钱的策略。 |
|
r*****e
发帖数: 7853 | 15 这个理论在炒一般股票也适用
[在 hualianmao (HM) 的大作中提到：]
:VIX从高位刚跌下来之后经常会在低位持续一段时间才会反弹。VIX在低位的时候，是
:short volatility的好时机。 这个时候long volatility大概率会死的很难看。 long
volatility和short market一样，挣钱比较难。short volatility比long volatility
:赢钱概率大很多，就如同long market比short market更容易挣钱。 如果你们没有本
事预测股市什么时候涨跌的话，建议你们不要去做小概率赢钱的策略。 |
|
r*****e
发帖数: 7853 | 16 volatility高意味着风险高，要搞好风控：或者short lower volatility，或者控制仓
位。楼主说得有一些道理
[在 surf1 (surf) 的大作中提到：]
:short volatility盈利的关键是IV大于HV，可以赚volatility premium,而不是
:volatility 的高低！！！ |
|
i**w
发帖数: 71 | 17 这些是最近两个月每次面试完，给C同学(谢谢陪我一路哈~~)的汇报整理出来的。其实
也没怎么整
理...
大部分都是常见的题。有些常见的题就直接没列。还有些当时忘了的，现在更记不起来
了。
有些是电话上的，有些是onsite。题目有些没说清楚，大家将就，领会精神。
本来什么都没定下来的时候一肚子感想和经验，想着有一天搞定了，一定好好总结总结
。现在定下来
了，倒没了兴致了。。。但想想从版上看过那么多面试题和面经，我争取写点儿，励志
型的，给出身
不好的同学们一点鼓励。也顺便攒攒人品，希望OPT快点儿下来!
1. Singly linked list, write a function to print the nodes backwards.
2. solve dS = (a - b*S)dt+sigma*dW Calculate the variance of S(T)
3. what does it look like if we plot: floating variable against the
actual value assigned to the variable?
4.... 阅读全帖 |
|
i**w
发帖数: 71 | 18 这些是最近两个月每次面试完，给C同学(谢谢陪我一路哈~~)的汇报整理出来的。其实
也没怎么整
理...
大部分都是常见的题。有些常见的题就直接没列。还有些当时忘了的，现在更记不起来
了。
有些是电话上的，有些是onsite。题目有些没说清楚，大家将就，领会精神。
本来什么都没定下来的时候一肚子感想和经验，想着有一天搞定了，一定好好总结总结
。现在定下来
了，倒没了兴致了。。。但想想从版上看过那么多面试题和面经，我争取写点儿，励志
型的，给出身
不好的同学们一点鼓励。也顺便攒攒人品，希望OPT快点儿下来!
1. Singly linked list, write a function to print the nodes backwards.
2. solve dS = (a - b*S)dt+sigma*dW Calculate the variance of S(T)
3. what does it look like if we plot: floating variable against the
actual value assigned to the variable?
4.... 阅读全帖 |
|
y***q
发帖数: 4147 | 19 有人跟你有反对意思
我是说bolli band
Because standard deviation is a measure of volatility, Bollinger bands
adjust themselves to the market conditions. When the markets become more
volatile, the bands widen (move further away from the average), and during
less volatile periods, the bands contract (move closer to the average). The
tightening of the bands is often used by technical traders as an early
indication that the volatility is
The tightening of the bands is often used by technical traders as an early
i... 阅读全帖 |
|
e*n
发帖数: 1511 | 20 【 以下文字转载自 Stock 讨论区 】
发信人: magicfat (魔法胖子), 信区: Stock
标 题: 说说期权(2)
发信站: BBS 未名空间站 (Sun Aug 24 14:35:21 2008)
期权既然代表在将来按照指定价格买卖某种股票的权利，
那么期权的价格也就和股票的当时价格，期权剩下的有效
期，以及股票在剩下的有效期内的波动性密切相关。前两
者不难理解，而且它们在任何一点都是确定因素，对期权
价格的影响曲线也相对比较简单。波动性因为是对未来的
预测，就有很大主观性。实际上，除了最简单的单向买靠
扑，绝大多数的期权操作或者围绕波动性制定策略，或者
成败直接取决于波动性的变化。
理论上当然有几种数学模型来根据上面提到的各个变量来
计算期权在某一时间点的合理价值，比如最著名的
Black-Scholes模型。上篇提到的Greeks，大都是
Black-Scholes计算过程中的副产品。理论模型的细节对
实际操作意义不大。这方面的书不少，最经典的是
Natenberg的Option Volatility & Pricing。对数学推导
有兴趣的同修可自行参阅。呵... 阅读全帖 |
|
w******s
发帖数: 16209 | 21 【 以下文字转载自 Stock 讨论区 】
发信人: magicfat (魔法胖子), 信区: Stock
标 题: 说说期权(2)
发信站: BBS 未名空间站 (Sun Aug 24 14:35:21 2008)
期权既然代表在将来按照指定价格买卖某种股票的权利，
那么期权的价格也就和股票的当时价格，期权剩下的有效
期，以及股票在剩下的有效期内的波动性密切相关。前两
者不难理解，而且它们在任何一点都是确定因素，对期权
价格的影响曲线也相对比较简单。波动性因为是对未来的
预测，就有很大主观性。实际上，除了最简单的单向买靠
扑，绝大多数的期权操作或者围绕波动性制定策略，或者
成败直接取决于波动性的变化。
理论上当然有几种数学模型来根据上面提到的各个变量来
计算期权在某一时间点的合理价值，比如最著名的
Black-Scholes模型。上篇提到的Greeks，大都是
Black-Scholes计算过程中的副产品。理论模型的细节对
实际操作意义不大。这方面的书不少，最经典的是
Natenberg的Option Volatility & Pricing。对数学推导
有兴趣的同修可自行参阅。呵... 阅读全帖 |
|
y*****l
发帖数: 5997 | 22 发信人: aegeanboat (Aegeanboat), 信区: Stock
标 题: Aegeanboat: Volatility 大的时候不适合操作3XETF
发信站: BBS 未名空间站 (Tue Sep 13 16:51:54 2011, 美东)
很容易莫名其妙就亏了。为什么呢？请看：
Volatility小的时候，上下波动5%。一来一回之后价值=0.95x1.05=0.9975
Volatility大的时候，上下波动10%。一来一回之后价值=0.9x1.1=0.99
来回波动几次，就没什么了。
发信人: aegeanboat (Aegeanboat), 信区: Stock
标 题: Re: Aegeanboat: Volatility 大的时候不适合操作3XETF
发信站: BBS 未名空间站 (Wed Sep 14 13:51:09 2011, 美东)
3xETF最好的操作策略是Day Trade + 顺势。不要反着看。不要因为它跌你就买，它涨
你就卖。而要越跌越卖，越涨越买。而且要当天了结。并设好止损。
发信人: aegeanboat (Aegeanboat), 信... 阅读全帖 |
|
S*********n
发帖数: 4050 | 23 Son, you brain is too limited to understand what is bigger -
Big Risk: $1.2 Quadrillion Derivatives Market Dwarfs World GDP
By Peter Cohan Posted 10:45AM 06/09/10 Economy, Investing, Investing Basics
Comments Text Size A A A
213413100
One of the biggest risks to the world's financial health is the $1.2
quadrillion derivatives market. It's complex, it's unregulated, and it ought
to be of concern to world leaders that its notional value is 20 times the
size of the world economy. But traders rule t... 阅读全帖 |
|
s********n
发帖数: 1962 | 24 A little more about it:
Technically speaking, you are trying to trade volatilities. Your
strategy is based on an assumption that the real volatility is almost
always lower than the implied volatity of OTM options, which can be
easily proved wrong. If you know in certain period that the real
volatility will be bigger than the implied volatility, you can flip
your strategy upside down and still make money. But of course, you
cannot know that before hand.
On another issue: even for a liquid stock l... 阅读全帖 |
|
M*M
发帖数: 1993 | 25 This is from Wiki:
VIX is the ticker symbol for the Chicago Board Options Exchange Volatility
Index, a popular measure of the implied volatility of S&P 500 index options.
It is not backed by anything and positions held are merely a prediction of
a future. A high value corresponds to a more volatile market and therefore
more costly options, which can be used to defray risk from this volatility
by selling options. Often referred to as the fear index, it represents one
measure of the market's expec |
|
g****u
发帖数: 695 | 26 You are asked to build a trading strategy with 60% correct ratio. This means
whatever method you give, it will be excuted a large number of times in
market in order to make sure profit with statistic significancy.
^VIX is an index so not tradable directly. There are derivatives using ^VIX
as the underlying, e.g. VIX futures and options. That would be the first
products you should look at. However, due to their lack of liquidity,
neither is suitable for a trading strategy to bet through a large n... 阅读全帖 |
|
z****e
发帖数: 54598 | 27 当然，权重股本身的volatility就小，比起一般的小流通股更接近market volatility
本身
而随着指数加入的股票数量趋近于市场里所有的股票数量，那么指数的volatility就会
无限趋近于market volatility
但是这个事实并不妨碍我的实验，从长远看，是一致的
而且各指数本身也在不断调整中，指数本身的意义就是要用来代替整体市场
但是并不代表在短时间内不会失衡，就像纳指当年的.com泡沫一样
最终还是会回到市场的基本面上去，这是经济学规律 |
|
g******e
发帖数: 998 | 28 2009-02-02 19:14:21 Goldman Sachs Advises Clients To Bet Against The S&P 500
A report, which was written by Krag Gregory and John Marshall, was
distributed to clients of Goldman Sachs earlier today. The report advocated
buying March 825 puts and selling March 745 puts on the S&P 500, which would
create a "bear put spread".
http://www.davemanuel.com/2009/02/02/goldman-sachs-to-clients-bet-against-the-sp-500/
GS 有各种analysts，包括hedge自己的。这个是哪种？
还有一篇更恐怖的，这家伙在07年底号召大家selling VIX option：
This view has l... 阅读全帖 |
|
b******7
发帖数: 639 | 29 THE BEAR MARKET IN STOCKS ENDED a year ago, but a lot of online traders and
investors apparently didn't get the memo. They cut back on equity
transactions in 2009 -- despite the 23.5% surge in the Standard & Poor's 500
-- and instead demanded more products and services. They got them. More
bonds, options, foreign exchange, commodities and mutual and exchange-traded
fund offerings; more social networks to combine their talents; more
education to wean themselves further from full-service brokerage... 阅读全帖 |
|
S*********g
发帖数: 5298 | 30 volatility drag的意思不是说volatility会跌
而是有leverage的东西，会有个decay，这个decay是正比于volatility平方的
volatility越大，这个decay越大，亏的越多
最好的例子，就是去看08-09年fas和faz的走势，两个一起跌 |
|
G*******s
发帖数: 10605 | 31 这个跟Implied Volatility有关，简单的说，volatility越大，Option就越值钱，call
/put的价位里面含有ER浮动的volatility, ER过后这部分volatility下降，整个option
都会相对贬值，加上time decay, 稳稳赚钱的一般是那些写option的institution (
covered long or short positions)
,
如,
好? |
|
B**********r
发帖数: 7517 | 32 The gain/loss of playing TNA/TZA/FAS/FAZ options:
Buy Calls: you LOSE on premium, and LOSE on volatility decay.
Buy Puts: you LOSE on premium, but GAIN on volatility decay.
Sell Puts: you GAIN on premium, but LOSE on volatility delay.
Sell Calls; you GAIN on both
If you want to play for gains, sell all deep ITM calls when volatility is
high. Just may sure you keep a balance between long and short. And more importantly be conservative (ask yourself, what if DOW drops 2000 more points, or gain 20... 阅读全帖 |
|
s******t
发帖数: 926 | 33 几个问题：
1. 现在volatility很高，call比较值钱，不可能1年到头都这么高volatility，所以你
举这个月的例子没有意义。
2. SOHU的volatility更高，基本面也不算还可以，真正基本面还可以的公司
volatility相对市场较低，除非是strong growth concept，例如AMZN之类的
3. 你忘记考虑如果1个月跌50%，你就很难翻本了，参见NFLX。
如果真的每个月都只跌最多20%，你这个套路还算不错 |
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a**i
发帖数: 608 | 34 市场急需 CRASH 一把来提高点人气，
否则很多机构和短线 trader 包括 day trader 都要死掉了。
Wall Street Equities Traders Face Worst Year Since 2006
By Michael J. Moore | Bloomberg
Wall Street banks' equities-trading units aren't getting much relief from
the strongest stock rally since 2009, as sinking volume and already thin
margins threaten to make their annual performance the worst in six years.
Third-quarter equities-trading revenue probably fell 14 percent from the
same period in 2011, the fifth straight drop of more than 8... 阅读全帖 |
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B**********r
发帖数: 7517 | 35 这个公式是我算出来的。我记得有正式的论文推导过，把它model成自衰减的Brownian
Motion。
我说的Volatility decay，就是比较有Volatility时的增减速度，和没有volatility时
的增减速度。这个差别，就是Volatility引起的underperforming程度。 |
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i********y
发帖数: 346 | 36 曾经有实证研究表明股票历史上的return数据预测未来的return很不靠谱，但是用历史
return的volatility来预测未来的return的volatility是靠谱的。
通俗的讲，就是一个股票曾经暴涨很牛，未来是不是很牛很难说，说不定公司运营出现
问题就开始翻转了。但是一个股票历史上一直很volatile，未来往往也是很volatile的
。这个结论确实有一定道理。 |
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l*****4
发帖数: 150 | 37 that's why FA traders ignore these volatility; momentum traders capitalize
on these volatility; swing trader stay nimble through these volatility...
mindless traders keep losing to these volatility. :) |
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M***n
发帖数: 5815 | 38 Mummy的股市人生
http://www.mitbbs.com/bbsann2/life.faq/Stock/huhaichenfu/sucess
发信人: mummy (ID deleted), 信区: Stock
标 题: 股市人生 全文(加后记)
发信站: The unknown SPACE (Sun Jun 30 17:27:21 2002) WWW-POST
股市人生 全文(加后记)
( 版权所有，谢绝转载)
By Mummy, Posted at bbs.mit.edu stock board
股市人生(1a/5)
( 版权所有，谢绝转载)
引子
今天不知道股票版发什么疯，每个人都开始倒自己的苦水，我也就附庸一下，
写写入市5年来所经历的人和事
1998
1998绝对是一个疯狂的年代，有亚洲风暴，long term capital 倒闭。我是
98年7月入市的，当时怀里揣着省下的几千块第一次迈向了花儿街。当时我
是傻都不懂，我LAB Mate 说你去Etrade开个账号再说吧。账号一会就开好
了，可是买什么乐？回忆起当年在国内开展览会时有几家数据库公司发的
塑料袋子精... 阅读全帖 |
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h**6
发帖数: 4160 | 39 UK European Union Referendum
Dear Trader
There is an important referendum in the UK on 23 June 2016 regarding Britain
's continued membership in the European Union. Regardless of the final
result, significant volatility is expected across financial markets
worldwide, particularly in currency and GBP denominated equity markets.
Additionally, markets associated with EUR and EUR-linked assets are likely
to experience substantial volatility in the event of an unexpected result.
Firms around the worl... 阅读全帖 |
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i******3
发帖数: 376 | 40 VIX (the CBOE Volatility Index) has established new all-time lows over the
course of the past month. The price dynamics of that product are such that
it can have very large relative price increases over a very short period of
time base on news and other market factors. In recognition of the special
risk of sudden, large increases in market volatility, that is inherent in
Volatility Products such as VIX, Interactive Brokers will put into place
greater margin requirements for Volatility Products a... 阅读全帖 |
|
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E***r
发帖数: 1037 | 42 花脸猫你判断大盘的方法跟Seth Golden（也就是前段时间在 NYT 文章出名的那位每年
UVXY shorter）还是蛮像的。他这几年写过四五百篇关于判断宏观经济走向和 short
volatility 的文章，对 volatility 的本质理解很深。他的“The nature of
volatility is to become desensitized to the exposure of like stimuli over
time.”的论断，最近也被市场对金胖三射的反应所印证。
他不用期权或期货，而是直接长线干烧 UVXY 和 VXX 的。不用期权是因为他做长线，
需要做好在最坏的情况下 hold无限长的时间的准备（"Time is your greatest asset
as a volatility trader."），以及他要在盘前盘后交易。
我推荐看一下他最近的访谈——
UVXY |
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E***r
发帖数: 1037 | 43
的，
"隐含波动率是通过历史数据算出来的"
No. Implied volatility (IV) is market's currently perceived volatility (
that is, the current perception of the annualized standard deviation of
price movement on the maturity date) implied by options prices. It is
directly computed from options prices.
Realized volatility (RV), or Historical volatility (HV), however, is
computed from historical underlying price movement. It is not tied to
options pricing; it is a property of underlying price movement.
IV may overstate ... 阅读全帖 |
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E***r
发帖数: 1037 | 44 我觉得，震荡还是单边，是当前的状态，所以看 realized volatility (RV) 即可，不
必看 implied volatility (IV index, or VIX)。比如 SPX RV > 20% 可以判断大盘进
入震荡，< 13% 则判断进入单边，诸如此类。这类 pairs trading 套利，大概允许滞
后，不必预判。
但如果要对单边和震荡的转折点进行判断，可能就要用 VIX 了；再细致一些，可能要
看 VX futures term structure 的变化。但是一般而言，由当前的 implied
volatility（及其期货衍生品）判断未来的 realized volatility，难度恐怕不亚于预测
股价——要是判断得准，谁还搞什么 arbitrage，直接看准时机买 VIX call 等着翻
倍好了。 |
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E***r
发帖数: 1037 | 45 我觉得，震荡还是单边，是当前的状态，所以看 realized volatility (RV) 即可，不
必看 implied volatility (IV index, or VIX)。比如 SPX RV > 20% 可以判断大盘进
入震荡，< 13% 则判断进入单边，诸如此类。这类 pairs trading 套利，大概允许滞
后，不必预判。
但如果要对单边和震荡的转折点进行判断，可能就要用 VIX 了；再细致一些，可能要
看 VX futures term structure 的变化。但是一般而言，由当前的 implied
volatility（及其期货衍生品）判断未来的 realized volatility，难度恐怕不亚于预测
股价——要是判断得准，谁还搞什么 arbitrage，直接看准时机买 VIX call 等着翻
倍好了。 |
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o**********n
发帖数: 367 | 46 下一次活动的学习材料之一.
股市人生(1a/5)原作者：mummy
1998
1998绝对是一个疯狂的年代，有亚
洲风暴，long term capital 倒闭。我是
98年7月入市的，当时怀里揣着省下的
几千块第一次迈向了花儿街。当时我
是傻都不懂，我LAB Mate 说你去Etrade开
个账号再说吧。账号一会就开好
了，可是买什么乐？回忆起当年在国内开展览
会时有几家数据库公司发的
塑料袋子精美细致，我第一笔就买了informix,代号
是IFMX，在我的watch
list上有4家公司：Informix, oracle, sybase,还有家叫
syquest,好象当
年也骗过他们的文化衫。记得informix是6块多买的，没买几天
就套住了，
跌到5块多，一下子几百快就没了，可把我心疼的，换成人民币可是
好几
千快阿！够我在国内奢侈好几个月的。
就这样套了一个多月到8月
中，当时记忆中DELL出报表，特好，一下子从
80涨到100多... 阅读全帖 |
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发帖数: 1 | 47 这个我比较过，san jose和sf 差不多。
我也提到了，美国指数是取了平均。但从strategy的角度来讲，你并不是非要在湾区投
资的。德州／西雅图/ memphis各买也是分散风险，很多investor就是这么做的。
而且比较的又不是volatility,比较的是下跌的mean. 比mean强还是比mean 差绝对是可
以比较的啊。就像你比较个股的走势和spy的走势一样.
关于volatility, 不说别的，德州在大跌时候的表现就非常好。建议你有一个open
mind.
我在这里贴一下san francisco的数据，和houston/san antonio/memphis/seattle 等
大城市的数据，大家自己看哪个volatile吧。可能你眼中san antonio是大农村吧，但
恰恰这样的城市是投资中非常重要的地区，因为volatility不大，租售比又好。
不多说了，相信在外州投资过的朋友都能明白。 |
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r******r
发帖数: 700 | 48 volatile 好像也可以，问题是原来的 Vector 中，elementCount 定义为普通的 int,
没有 volatile。
至于 Vector 中为何没用 volatile, 就不清楚原因了。或许是不合适，或许是另一种
选择而已。不过， volatile 好像用得并不多。 |
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n*c
发帖数: 228 | 49 std::cout << "Volatility = " << io::volatility(volatility)
<< std::endl;
in the above code io::volatility is puzzling. in the namespace there is no
io class at least for the lib. is it in C++ std namespace?
how to explain this? |
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d***a
发帖数: 13752 | 50 中断和读I/O的behavior是一样的吧，不管quit是volatile还是atomic类型。
再查一次quit是不要紧的。处理器的内存模型，必须保证单机访问内存的一致性，不会
说读quit拿到新值后，再读一次却拿到老值。
回到开始，我同意你说的原则，与性能无关的代码，应该越简单越好。对bihai的代码
来说，不管用volatile还是atomic类型的flag，都牵涉到硬件和系统底层的细节；用
IPC机制，更简单明了。在volatile和atomic之间，拿不准的时候应该用atomic，这也
是general guideline。但C++支持atomic，C并不支持，要用volatile再手动插入
memory barrier指令。 |
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