[SCX] Playlist #2
88888, What is Risk?, Zero Edge is back, "The Trading Game" (1987), How Derivatives can be a Force for the Good, a story about the flash crash trader based on the book by Liam Vaughan, "Flash Crash”
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🟩 Playlist > #1 > Latest
☑️ #16 Sep 16, 2024
88888
In February 1995, this 233-year-old institution was taken down by the trading losses of a 28-year-old trader called Nick Leeson. Leeson had been selling options (short volatility) on Japanese equity futures in order to raise cash to disguise losses in his infamous ‘88888’ error account.
🔹Related content:
Nick Leeson's trading strategy (pdf): [Abstract] Doubling: Nick Leeson’s trading strategy. This paper examines the trading strategy attributed to Mr. Nicholas Leeson, who was the chief derivatives trader of Barings bank in Singapore. His activities were the main cause of the eventual collapse of Barings bank. Daily information is available for the full period Leeson was active in Singapore, from January 1992 until 1995, for all relevant products.
The information includes daily volume, open interest, opening, closing, highest and lowest price. The empirical evidence suggests that Leeson followed a doubling strategy: he continuously doubled his position as prices were falling.
nlb.gov.sg: [Excerpts] Collapse of Barings & Barings Bank collapses from Nick Leeson's losses:
Timeline
17 Sep 1986: Baring Futures (Singapore) is incorporated.
Jul 1989: Nick Leeson joins Baring Securities (London).
Apr 1992: Leeson joins Baring Securities (Singapore).
3 Jul 1992: Leeson opens account 88888.
Sep 1992: Losses in account 88888 reach S$8.8 million.
Dec 1994: Losses balloon to S$373.9 million.
Jan 1995: Leeson bets heavily on Nikkei 225 index.
17 Jan 1995: Nikkei 225 plunges due to the Kobe earthquake.
23 Feb 1995: Leeson flees to Malaysia with his wife.
24 Feb 1995: Discovery of 88888 account.
26 Feb 1995: Barings London is forced into administration.
27 Feb 1995: BFS is placed under interim judicial management.
2 Mar 1995: Leeson is arrested in Frankfurt.
6 Mar 1995: Barings takeover by Dutch finance institution Internationale Nederlanden Groep.
1 Apr 1995: Futures Trading (Amendment) Act 1995 comes into force.
23 Nov 1995: Leeson is extradited to Singapore.
1 Dec 1995: Leeson pleads guilty to two charges and is sentenced to six-and-a-half years’ imprisonment in Singapore.
3 Jul 1999: Leeson is released from prison.
@NickLeesonOFFICIAL: [Fiction] Rogue Trader Movie (1999). The story of Nick Leeson, an ambitious investment broker who singlehandedly bankrupted one of the oldest and most important banks in Britain. Directed by James Dearden and starring Ewan McGregor (Star Wars, Trainspotting) and Anna Friel (Marcella, Brookside). To find out more about the real Nick Leeson, visit his official website: https://www.nickleeson.com
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☑️ #16 Sep 13, 2024
Risk: Ten individual lessons
@oaktreecapital: Oaktree co-chairman Howard Marks explores the true meaning of risk in a new ten-part video course. He discusses the nature of risk, the relationship between risk and return, misconceptions about risk, and much more.
🔹Related content:
oaktreecapital.com: How to Think About Risk with Howard Marks
Full video (36:11)
oaktreecapital.com: Archive Memos:
2006: Risk
2014: Risk revisited
2015: Risk revisited again
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☑️ #15 Sep 5, 2024
The Zero Edge is back
Twelve years of expertise. Know more about Darwinex Zero here: https://darwinexzero.document360.io/
And know some Darwinex Zero traders here:
Chris Negron (9/5/24): Chris Negron, known as "Maestro" in the Darwinex Zero community, is not your typical discretionary trader. Chris has executed over 6,500 trades in less than a year, avoids using stop losses, and still exudes confidence and calmness when discussing his trading approach.
After a disappointing experience with a prop firm and extensive research, Chris discovered Darwinex Zero and created his DARWIN OLRE. Since then, his strategy has received seven allocations in DarwinIA, amounting to €445,000 in seed capital.
Don’t miss this episode to learn about Chris’ multi-asset strategy, the development of his own trading patterns, and his patient approach to the trading journey he is currently on. If you want to check out his strategy in Darwinex Zero, you can do so here 👇
🫡 🫥 🫤 Do u like this video? Please comment here: help to improve this playlist
0:45 - Introduction
4:30 - Trading multiple assets vs one asset
7:36 - Making mistakes in the early days
10:00 - Payout Issues
11:00 - Chris' record with Darwinex Zero
16:45 - Trading without funding "rules"
19:00 - VaR and the Risk Engine
21:20 - Chris' strategy
27:00 - OLRE's statistics
31:00 - Chris' trade management
36:00 - Chris' strategy management
37:05 - Journaling & Reviewing Statistics
44:00 - Chris' goal with Trading
45:00 - Trading "full-time"
48:50 - Chris' job and "pressure"
52:05 - Chris' daily routine
56:00 - Black Swan Events and Risk
1:01:30 - Wanting to give up
1:02:40 - Chris' experience with funding companies
1:05:30 - Managing Investor Capital
1:09:40 - Advice to a younger Chris
🔹Related content:
The Zero Edge (first Episodes)
3️⃣ Vanesh Patel (7/2/24)
2️⃣ Mike Navarrete (5/30/24)
1️⃣ Clinton Ratanatray (4/24/24)
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☑️ #18 Jul 9, 2024
A Flash Crash story
🫡 🫥 🫤 Do u like this video? Please comment here: help to improve this playlist
@DisruptReality : This is the full story about the flash crash trader / Story based on book by Liam Vaughan, "Flash Crash”
🔹Related content:
find-and-update.company-information.service.gov.uk (7/5/05): Nav Sarao Futures Limited PLC incorporated (Company number 05497320)
@kagirinai: Audio from the S&P 500 futures pit at the CME during the "flash crash" of 2010. Commentator: Ben Lichtenstein.
@marketdelta: This shows the stock market crash on May 6th using the MarketDelta Footprint chart and TradersAudio.com broadcast from the S&P 500 pit on the trading floor. Careful, it will get your adrenaline pumping!!!
@WSJ (5/6/10): Consensus in the Journal newsroom is that today's market plunge was a "Flash Crash" http://on.wsj.com/cKHz1a Got a better nickname?
wsj.com (5/6/10): [Excerpt] Exelon Corp. is one of the largest, most powerful utilities in the world, typically worth some $30 billion. For a brief moment Thursday, the stock market said it was worthless.
Exelon was just one of a number of stocks that produced bizarre, and presumably garbled, market quotes during the "Flash Crash" of the afternoon.
Another was Boston Beer Company, producer of Samuel Adams. During that period, the company hit zero after opening at $59.44. It closed at $55.82.
Boston Beer and Exelon were hardly alone. Here's a look at a few other companies that endured some of the most extreme swings in Wall Street history.
Accenture: The consultancy opened at $41.94, hit zero at around 2:50 and then closed at $41.09.
More on Substack Notes:
sec.gov (pdf) (5/18/10): [Excerpt] Preliminary Findings Regarding the Market Events of May 6, 2010.
This report includes: (a) an executive summary; (b) an overview providing
general market context with respect to the events of May 6; (c) preliminary findings withrespect to those events; and (d) areas for further analysis and initial next steps. In addition, this report contains several appendices providing relevant background regarding the market structure of the securities and futures markets.
Screenshot. Source: Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues May 18, 2010 nxcoreapi.com (6/18/10): Analysis of the "Flash Crash" (original Flash Crash report by Nanex LLC)
justice.gov (pdf; 2/11/15): [Excerpt] 19. Exhibit A hereto illustrates SARAO's implementation of the dynamic layering technique during a particular period on May 4, 2010, when the technique was active. As the graph displays, SARAO successfully modified nearly all of his orders to stay between levels 4 and 7 of the sell side of the order book. What is more, Exhibit A shows the overall decline in the market price of E-Minis during this period
Screenshot. Source: UNITED STATES DISTRICT COURT NORTHERN DISTRICT OF ILLINOIS EASTERN DIVISION
justice.gov (11/9/16): [Excerpt] Futures Trader Pleads Guilty to Illegally Manipulating the Futures Market in Connection With 2010 “Flash Crash”.
“Navinder Sarao abused sophisticated technology to make a quick profit, and jeopardized the integrity of U.S. financial markets,” said Assistant Attorney General Caldwell. “By flooding the marketplace with bogus orders, his scheme victimized countless individuals. Our success in bringing Sarao to justice in the United States shows that the Criminal Division will root out complex financial fraud and manipulation of the financial markets no matter where the perpetrators are located.”
cftc.gov (11/17/16): [Excerpt] Federal Court in Chicago Orders U.K. Resident Navinder Singh Sarao to Pay More than $38 Million in Monetary Sanctions for Price Manipulation and Spoofing.
In the Order, Sarao admits to the allegations in the CFTC Complaint, as well as to the Order’s findings of fact and the conclusions of law. The Order finds that Sarao:
successfully manipulated the E-mini S&P on at least 12 days between April 27, 2010 and March 10, 2014 (including May 6, 2010, commonly known as Flash Crash Day);
attempted to manipulate the E-mini S&P tens of thousands of times between April 2010 and April 17, 2015;
placed tens of thousands of bids and offers that he intended to cancel before execution (i.e., spoof orders) between July 16, 2011 and April 17, 2015; and
employed or attempted to employ a manipulative device, scheme, or artifice to defraud in connection with his spoof orders between August 15, 2011 and April 17, 2015.
linkedin.com (6/17/17): [Excerpt] A runaway computer algorithm caused the last stock market crash — and another meltdown looks likely.
What Barclays and Waddell & Reed didn’t anticipate was that their own trading was increasing trading volume as market makers bought their contracts and passed them around to each other, like the proverbial “hot potato.” Just seven minutes after the selling started, volume had quadrupled; the three selling algorithms, working simultaneously, thought liquidity had similarly quadrupled, and prepared to sell futures worth $214 million in the next minute. It would sell a similar amount in each following minute.
whistleblower.gov: [Excerpt] What is spoofing? A trader “spoofs” when he or she places an order in a futures market with the intention to cancel the order prior to execution. Traders typically spoof to misrepresent supply or demand in order to induce other traders to act in a way beneficial to the spoofer. Spoofing is a federal crime punishable by up to 10 years’ imprisonment per violation.
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☑️ #17 Jul 8, 2024
John C. Hull: How Derivatives can be a Force for the Good (2016)
@QuantMindsTV: Professor John Hull, Professor of Derivatives and Risk Management at Toronto University's Joseph L Rotman School of Management, explains how derivatives can be a force for the good, including helping to find a cure for cancer. He also speaks to Colin Williams, , Director Of Business Development at D-Wave Systems, about delta hedging, volatility and negative rates at Global Derivatives 2016.
“In the last 30 years, derivatives have become increasingly important in finance. Futures and options are actively traded on many exchanges throughout the world. Many different types of forward contracts, swaps, options, and other derivatives are entered into by financial institutions, fund managers, and corporate treasurers in the over-the-counter market. Derivatives are added to bond issues, used in executive compensation plans, embedded in capital investment opportunities, used to transfer risks in mortgages from the original lenders to investors, and so on. We have now reached the stage where those who work in finance, and many who work outside finance, need to understand how derivatives work, how they are used, and how they are priced. Whether you love derivatives or hate them, you cannot ignore them!"
John C. Hull
🔹Related content:
https://discover.research.utoronto.ca/10854-john-hull : [Excerpt] John Hull is the Maple Financial Professor of Derivatives and Risk Management and Academic Director of the Financial Innovation Hub at Rotman. He has been awarded the title University Professor, an honor granted to only about 2% of the faculty at University of Toronto. His research has an applied focus and has been concerned with the impact of stochastic volatility on the pricing and hedging of options, the valuation of interest rate derivatives and credit derivatives, numerical procedures, the calculation of value at risk and expected shortfall, the evaluation of model risk, and the regulation of financial institutions. Recently, in his research and teaching he has focused on machine learning and its applications to finance. He is best known for his books:
Machine Learning in Business: An Introduction to the World of Data Science (now in its 3rd edition),
Risk Management and Financial Institutions (now in its 6th edition),
Options, Futures, and Other Derivatives (now in its 11th edition),
Fundamentals of Futures and Options Markets (now in its 9th edition).
His books have been translated into many languages and are widely used in trading rooms throughout the world, as well as in the classroom. In addition to teaching on the MBA program, John has beed actively involved in the development of Rotman's Master of Financial Risk Management (MFRM) and Master of Finance (MFin) Programs.
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☑️ #16 Jul 6, 2024
"The Trading Game" WLS 7 Chicago-1987
@londonengland5: This program features the CME, CBOT, & CBOE and its traders from February, 1987. This video is from the original airing and includes the commercials.
🔹Related content:
@deusextrader1344: Futures, options and stock traders in Chicago Trading Pit, during late 1980s.
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