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Product typeBook
Published inSep 2021
PublisherPackt
ISBN-139781801815192
Edition1st Edition
Concepts
Financial Technology
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Laurent Bernut
Laurent Bernut
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Laurent Bernut

Laurent Bernut has 2 decades of experience in alternative investment space. After the US CPA, he compiled financial statements in Japanese and English for a Tokyo Stock Exchange-listed corporation. After serving as an analyst in two Tokyo-based hedge funds, he joined Fidelity Investments Japan as a dedicated quantitative short-seller. Laurent has built numerous portfolio management systems and developed several quantitative models across various platforms. He currently writes and runs algorithmic strategies and is an undisputed authority on short selling on Quora, where he was nominated top writer for 2017, 2018, and 2019.
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Refining your risk budget

A bit of finesse in the money management algorithm goes a long way. This leads us to small refinements in risk budget such as amortization and false positives.

Risk amortization

"Pyramiding instructions appear on a dollar bill. Add smaller and smaller on the way up. Keep your eyes open at the top."

– Ed Seykota

The short side has a unique set of challenges. Successful shorts shrink. Positions need to be periodically topped up. Adding to an existing position is called pyramiding. Pyramiding is a delicate business.

On the one hand, trends mature. The probability of reversal increases with the passage of time. Risk per trade should therefore be reduced with each additional position. On the other hand, news flow deterioration validates the original bearish stance. Market participants are often tempted to sizably increase their bets. In my personal experience, every time market commentators start to agree with...

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Algorithmic Short Selling with Python
Published in: Sep 2021Publisher: PacktISBN-13: 9781801815192
© 2021 Packt Publishing Limited All Rights Reserved

Author (1)

author image
Laurent Bernut

Laurent Bernut has 2 decades of experience in alternative investment space. After the US CPA, he compiled financial statements in Japanese and English for a Tokyo Stock Exchange-listed corporation. After serving as an analyst in two Tokyo-based hedge funds, he joined Fidelity Investments Japan as a dedicated quantitative short-seller. Laurent has built numerous portfolio management systems and developed several quantitative models across various platforms. He currently writes and runs algorithmic strategies and is an undisputed authority on short selling on Quora, where he was nominated top writer for 2017, 2018, and 2019.
Read more about Laurent Bernut

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