Lessons from a biased coin flip experiment · Victor Haghani

preview_player
Показать описание
EP 129: Optimal bet sizing—lessons from a biased coin flip experiment w/ Victor Haghani

Victor Haghani began his career at Salomon Brothers in 1984, starting out in a research role before joining their prop trading desk. In 1992, Victor left Salomon to become one of the founding partners of Long Term Capital Management…

LTCM was an incredibly successful hedge fund, up until 1998, when it failed in a spectacular fashion. Causing the Federal Reserve to step in and organize a bailout, in order to prevent the possibility of a collapse in the global financial system.

Victor took a ten year sabbatical after the dust settled, and in 2010 he founded an active index investing fund, Elm Partners.

For this episode, much of our discussion is in reference to an experiment Victor carried out (with some involvement from Edward Thorp), on the patterns of how 61 participants would bet on a biased coin.
Рекомендации по теме
Комментарии
Автор

Eye opening. My takeaway:
1) first find the edge!
2) be systematic and bet on the edge ALWAYS
3) watch the risk
4) keep flipping the coin

brickstunram
Автор

Ed Thorpe is an amazing guy.  Recently went to a lecture by Ed covering his autobiography.

MrZola
Автор

Good
General
1. General Decision Making

hamisintunzwenimana
Автор

Great Episode Aaron! This is one of the most important aspects of making money in the financial markets. Similar to the book The Trading Game: Playing by the Numbers to Make Millions, by Ryan Jones. If a trader has an edge she/he must learn how to make money bigger and faster than just risking the standard 2% per trade.

Keep up the great work Aaron. Truly a fan.

richardking
Автор

His father worked in the "import/export" business. Does that mean his father was George Costanza, CEO of Art Vandeley?

absoluttchamp
Автор

LTCM did Not use optimal bet sizing. ;)

bobbybax
Автор

I think the best bet size is to put in 100% of your money but then have a stop loss say 10% then buy in again when conditions improve with right signals. Doing that you can never go broke. 100%-10% = 90%, 90%-10% of 90%= 81%, 81% - 10% of 81%= 72.9%. 72.9%-10% of 72.9%= 65.6% etc and so on

icyboyz
Автор

So what you're saying is... bet 100% on a trade? Ok hold on... wait... What happened?! What did I just do?!?!

oneminutetomidnight
Автор

'flip of coin' interesting story

allwinjoe
Автор

An interesting link to optimal bet sizing


Dr. Tucker BalchComputational investingGeorgia Tech

marieclaudegoreux
Автор

Sir Pls write in bottom text also with voice

dpatel