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I agree with your opposition to the comment above, but I feel like the condescension towards silicon valley, and non-government employees is not a way to start a healthy dialogue. Like you are not going to convince anybody by calling 80+% of people here (private sector employees) "a joke".

I agree that randos on twitter are a bad source of information.


If there was a way to directly formulate every parameter of the black Scholes formula you would be correct. The problem that you run into is how to calculate volatility itself? Without the volatility value, your algorithm cannot trade on it.

Using history of volatility is insufficient, because volatility is a forward looking measure. Just because the stock was volatile in the past does not mean it will be in the future, and vice versa. There are even more nuances with this, as volatility is a smile (or a surface), not a singular number https://en.wikipedia.org/wiki/Volatility_smile.

TLDR Trading in volatility is a very complicated topic. However, volatility is a useful parameter, and black Scholes is typically used to deduce the forward looking volatility from option price, in addition to volatility -> option price.


> There are even more nuances with this, as volatility is a smile (or a surface), not a singular number https://en.wikipedia.org/wiki/Volatility_smile.

That article says that implied volatility is inconsistent, with options at strike prices that are very far from the current market price having costs that imply a different level of volatility than options at strike prices that are close to the current price. The cute question here is "should an option be priced according to the actual level of volatility in the price of the underlying asset, or should it be priced according to the level of volatility that exercising the option would require?"

Volatility is just a quantity.


I mean, the paper uses data from the National Cattlemen's Beef Association™, which is a beef lobbying group. The third author of the paper is also from the NBCA, and the paper was funded by the Beef Checkoff™, which a beef marketing program. I have my reservations about the accuracy of this paper.


Wouldn't Julia be that language? Its fast, supports static typing, and is built from the ground up for machine learning/ data science. It also has a built in REPL.


Julia is that language now. Previously I had sunk cost fallacy regarding Python, but now we are building a brand new application from scratch, and we chose Julia.


Julia is nothing like Python though, and it has other flaws like 1-based indexing and huge delays loading packages as it compiles them.


How is it nothing like Python?

1-based indexing is definitely not a flaw. And version 1.6 massively decreased package import and precompilation time.


> 1-based indexing is definitely not a flaw.

It really is. We've known it for literally decades:

https://www.cs.utexas.edu/users/EWD/transcriptions/EWD08xx/E...


It really depends on what you do - sometimes offsets are better, sometimes an index is better. If you really want 0-based indexing, you can have it! https://github.com/JuliaArrays/OffsetArrays.jl

My own preference is random indexing, it's so much more exciting to be surprised https://www.juliabloggers.com/random-based-indexing-for-arra...


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