Hari Krishnan - Market Tremors & Tail Hedging (S5E11)
Flirting with Models
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Identifying a Dominant Agent
When you get a dominant agent present, there will inevitably be a latent risk that is just never fully captured by historical risk measures. You can look for distortions in the relative prices of auptions over time and across strikes. People are over itting for it because they have constraints or needs in terms of what they need to deliver to their clients. If volatility seems artificially low in some asset, don't do full size.
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