A.I.M. Users Bulletin Board

[SFSecurity]

Hi Tom, Yep, there are several approaches to capturing volatility over time and each of them has some limitations.

Anyway, thanks to the reference to Thomas Phelps' book. I'll get it and see what he has to say.

Talking about books I highly recommend "Liar's Poker" (1989) by Michael Lewis who also wrote "Moneyball" and "The Big Short."

I can't say exactly why but the history of Salomon Brothers from when he was a trader for them from the middle '80s until the end of 1988 feels a lot like the current financial world, at least from what I can sense from the tidbits I read or hear.

I also suggest "Griftopia" (2011) by Matt Taibbi which covers what what was behind the 2007-9 crash and the manipulations via credit default swaps and similar "games."

The contents both books are amazingly similar.

Best,

Allen