a******0
发帖数: 262 | 1 It seems to me that FE treats the market as a hidden treasure, and as long
as you are equipped with the right tool (algorithm), you find money from it.
But the question would be: if every major financial institute is winning in
the market with the help of FE, then who is losing to them? |
j******n
发帖数: 271 | 2 问得好！深刻揭露了投行尤其是Derivatives忽悠人的鬼把戏。 |
g****y
发帖数: 71 | 3 sell side makes money as long as there are people willing to buy the
products they sell. sell side also tries very hard to hedge all kinds of
risks they are bearing in the position. therefore, the way they make money
is mainly from commission fees or bid-ask spread. a lot of buy side firms
take directional bets, so potentially there are big upsides along with much
bigger risks.
there is nothing wrong with derivatives itself, it is just another way of
investment. you could choose not to buy it an |
j******n
发帖数: 271 | 4 For equities, it is possible for every player to win if the market goes
up as a whole. Therefore I'm not arguing about that. For derivatives,
especially fixed-income derivatives, all deals of all players sum to
zero. I was puzzled how every player on the street won big during 2004-
2006.
of
money
firms
much
of
too
【在 g****y 的大作中提到】
: sell side makes money as long as there are people willing to buy the
: products they sell. sell side also tries very hard to hedge all kinds of
: risks they are bearing in the position. therefore, the way they make money
: is mainly from commission fees or bid-ask spread. a lot of buy side firms
: take directional bets, so potentially there are big upsides along with much
: bigger risks.
: there is nothing wrong with derivatives itself, it is just another way of
: investment. you could choose not to buy it an
|
j**u
发帖数: 61 | 5
这就深刻揭露了？！
当年LTC成立之前去满世界筹钱的时候，Scholes给一帮MUTUAL FUND的analists讲LCM的
赚钱模式，有一个小硕（可能因为是硕士，没有学过BS-model，所以对眼前这位祖师爷
不感冒）打断Scholes的话，说：bonds这一块已经很成熟了，你不可能从里面赚那么多
钱。
Scholes看了小硕一眼，说:
With people like you, yes, we can!
【在 j******n 的大作中提到】
: 问得好！深刻揭露了投行尤其是Derivatives忽悠人的鬼把戏。
|
j******n
发帖数: 271 | 6 What happened to LTCM finally?
Derivatives were meant for risk management. I do not question that and
their existence. When they are used for investment, especially by so many
"BANK"s, they turned into gambling.
Sum of value of all derivative deals = Sum of value of all underlyers -
sales commission - trader bonus - quants bonus - ...
【在 j**u 的大作中提到】
:
: 这就深刻揭露了？！
: 当年LTC成立之前去满世界筹钱的时候，Scholes给一帮MUTUAL FUND的analists讲LCM的
: 赚钱模式，有一个小硕（可能因为是硕士，没有学过BS-model，所以对眼前这位祖师爷
: 不感冒）打断Scholes的话，说：bonds这一块已经很成熟了，你不可能从里面赚那么多
: 钱。
: Scholes看了小硕一眼，说:
: With people like you, yes, we can!
|
j**u
发帖数: 61 | 7 谁规定的Derivatives 只能 for risk management，不能用于investment？risk
neutral measure只是quant定价时计算方便用的一种变换，不是说实践操作中
Derivatives就不能用来放映某一种东西（不一定是underlying)的价值. 那么既然如此
，为什么不能invest？
Sum of value of all derivative deals = Sum of value of all underlyers -
sales commission - trader bonus - quants bonus - ...
这我都不知道是啥意思了。
【在 j******n 的大作中提到】
: What happened to LTCM finally?
: Derivatives were meant for risk management. I do not question that and
: their existence. When they are used for investment, especially by so many
: "BANK"s, they turned into gambling.
: Sum of value of all derivative deals = Sum of value of all underlyers -
: sales commission - trader bonus - quants bonus - ...
|
j******n
发帖数: 271 | 8 Yes you can invest in derivatives. My point is, when all players are
trying to make money from it, there is a problem.
For the equation, I mean the following.
Let's say we have only 1 share of bond, owned by all players. Also
assume there are only two players. They trade this bond and all sorts of
derivatives and derivatives squared with this bond as ultimate
underlying. My point is the total value of all positions of these two
players is the value of the single share of bond. Derivatives will n
【在 j**u 的大作中提到】
: 谁规定的Derivatives 只能 for risk management，不能用于investment？risk
: neutral measure只是quant定价时计算方便用的一种变换，不是说实践操作中
: Derivatives就不能用来放映某一种东西（不一定是underlying)的价值. 那么既然如此
: ，为什么不能invest？
: Sum of value of all derivative deals = Sum of value of all underlyers -
: sales commission - trader bonus - quants bonus - ...
: 这我都不知道是啥意思了。
|
j**u
发帖数: 61 | 9 数学上是这样，或者说，简单的算术上说，是这样的。
当时在现实生活中不是这样的。那些套话我就不多说了，通俗的说，那个BOND，有了一
堆衍生物，它就不是原来那个BOND了。它是有了护翼的BONDS，是BONDS中的轰炸机！一
大堆衍生物让它更流通，更方便，更贴近真实价值，那么它的风险也就越小，它的价值
也就越高。
这只是一方面，另一方面，你要考虑市场参与者的UTILITY CURVE。现实生活中是存在
双赢的DEAL的。你不能简单的把几个东西拼起来然后二一添做五，之所以有金融这门科
学就是因为简单的板手指头算不清楚，什么两个人一个大饼这样的初级阶段模型不是能
够用来评论这个市场的，我们不是科普。
【在 j******n 的大作中提到】
: Yes you can invest in derivatives. My point is, when all players are
: trying to make money from it, there is a problem.
: For the equation, I mean the following.
: Let's say we have only 1 share of bond, owned by all players. Also
: assume there are only two players. They trade this bond and all sorts of
: derivatives and derivatives squared with this bond as ultimate
: underlying. My point is the total value of all positions of these two
: players is the value of the single share of bond. Derivatives will n
|
j******n
发帖数: 271 | 10 I agree that derivatives could make the underlying more liquid and could
make it tradable at a price higher than otherwise. But let's fast forward
to the maturity of the bond. At that time, 简单的算术 holds.
【在 j**u 的大作中提到】
: 数学上是这样，或者说，简单的算术上说，是这样的。
: 当时在现实生活中不是这样的。那些套话我就不多说了，通俗的说，那个BOND，有了一
: 堆衍生物，它就不是原来那个BOND了。它是有了护翼的BONDS，是BONDS中的轰炸机！一
: 大堆衍生物让它更流通，更方便，更贴近真实价值，那么它的风险也就越小，它的价值
: 也就越高。
: 这只是一方面，另一方面，你要考虑市场参与者的UTILITY CURVE。现实生活中是存在
: 双赢的DEAL的。你不能简单的把几个东西拼起来然后二一添做五，之所以有金融这门科
: 学就是因为简单的板手指头算不清楚，什么两个人一个大饼这样的初级阶段模型不是能
: 够用来评论这个市场的，我们不是科普。
|
t*********n
发帖数: 245 | |
l**********t
发帖数: 5754 | 12 where are the profits coming from?
investment banks = casino
derivatives = innovative games to attract new players.
flow traders = casino dealers
sell side analyst/strategist = marketing dept of casino
short-term trader = those like slot matchine
investors = those into black jack |
j******n
发帖数: 271 | 13 government = casino security guards
【在 l**********t 的大作中提到】
: where are the profits coming from?
: investment banks = casino
: derivatives = innovative games to attract new players.
: flow traders = casino dealers
: sell side analyst/strategist = marketing dept of casino
: short-term trader = those like slot matchine
: investors = those into black jack
|
