Using Artificial Immune Systems (AISs) to find mis-priced options

Here is a quickie primer on AISs or immune system inspired algorithms. Essentially AISs do a good job of figuring out what is ‘itself’ or ‘normal’ and what is ‘non-self’, ‘alien’ or ‘abnormal’ in a system. Antigens are components that find pathogens (antigens find patterns that are normal to them, the non-normal things then are […]

Portfolio Insurance Caused the ’87 Crash

I am reading an interesting and timely book on the current credit crisis; The Trillion Dollar Meltdown. I will update with my thoughts on the book when I am done with it, but I wanted to comment on 1 particular element presently… There have been several theories on why the 1987 crash happened, but it […]