Hacker's Guide to Printing Money in the Stock Market

#1

Post by davidwurtz » Sat, Oct 10, 2009, 3:51 AM UTC

Hacker's Guide to Printing Money in the Stock Market
blog.davidwurtz.com

Re: Hacker's Guide to Printing Money in the Stock Market

#2

Post by vitriolic » Sat, Oct 10, 2009, 3:03 PM UTC

Are you kidding me?

Keep writing naked puts and then compound it by assessing your risk based on historical data.

This is a surefire way of loosing your shirt when the next Lehman level event comes around.

The risk in your strategy is that the stock market has very fat tails and unlikely events happen with more regularity than they should -- and the math that you're using to assess your risk discounts all these events by terming them unlikely.

Re: Hacker's Guide to Printing Money in the Stock Market

#3

Post by bjoernw » Sat, Oct 10, 2009, 4:13 PM UTC

Just play a round of poker with friends.

Only rational way to invest: http://en.wikipedia.org/wiki/Modern_portfolio_theory

Re: Hacker's Guide to Printing Money in the Stock Market

#4

Post by lani » Sat, Oct 10, 2009, 4:37 PM UTC

vitriolic wrote: post #2

Are you kidding me? Keep writing naked puts and then compound it by assessing your risk based on historical data. This is a surefire way of loosing your shirt when the next Lehman level event comes around. The risk in your strategy is that the stock market has very fat tails and unlikely events happen with more regularity than they should -- and the math that you're using to assess your risk discounts all these event…

spelling watchdog says: 'lose' not 'loose'

Re: Hacker's Guide to Printing Money in the Stock Market

#5

Post by rfreytag » Sat, Oct 10, 2009, 6:01 PM UTC

This is empirical nonsense. Market-behavior is not normally distributed so basic statistics and even portfolio theory just puts you back in the same situation as Lehman Bros..

http://fora.tv/2008/02/04/Nassim_Nicholas_Taleb_A_Crazier_Fu...

Re: Hacker's Guide to Printing Money in the Stock Market

#6

Post by davidwurtz » Sat, Oct 10, 2009, 9:40 PM UTC

Only apply the theory to stocks you'd like to own.

I acknowledge the strategy isn't risk free (no strategy is), but if you're going to buy a stock, considering using this strategy instead.

Re: Hacker's Guide to Printing Money in the Stock Market

#7

Post by davidwurtz » Sat, Oct 10, 2009, 9:40 PM UTC

vitriolic wrote: post #2

Are you kidding me? Keep writing naked puts and then compound it by assessing your risk based on historical data. This is a surefire way of loosing your shirt when the next Lehman level event comes around. The risk in your strategy is that the stock market has very fat tails and unlikely events happen with more regularity than they should -- and the math that you're using to assess your risk discounts all these event…

sure. you've got to watch out for black swans..you should certainly shouldn't plan your portfolio around such a thing. You may as well put your money in CDs.