Capital Management: The Kelly Criterion
💡 Strategy Interpretation:
🟩 Full Kelly: Maximum theoretical growth, but with huge drawdowns and high risk of ruin.
🟦 Half Kelly: Industry standard. Sacrifices some returns for an extremely smooth equity curve.
🟥 Over-betting (2x): Simulates the consequences of greed, inevitably leading to "gambler's ruin".
🟩 Full Kelly: Maximum theoretical growth, but with huge drawdowns and high risk of ruin.
🟦 Half Kelly: Industry standard. Sacrifices some returns for an extremely smooth equity curve.
🟥 Over-betting (2x): Simulates the consequences of greed, inevitably leading to "gambler's ruin".
Statistical Arbitrage: Pairs Trading
Derivatives Pricing: Black-Scholes 3D Surface
🧊 3D View Interaction Guide:
1. Left-click and drag: Rotate the 3D model.
2. Mouse wheel: Zoom the view.
3. Observe the surface: When remaining time approaches 0, the option price curve becomes extremely steep (Gamma risk surges). This is known as "Pin Risk".
1. Left-click and drag: Rotate the 3D model.
2. Mouse wheel: Zoom the view.
3. Observe the surface: When remaining time approaches 0, the option price curve becomes extremely steep (Gamma risk surges). This is known as "Pin Risk".