Table of Contents
De tim ty le cuoc bi dinh gia sai tren thi truong du doan, hay so sanh 2 con so:
- xac suat ham y cua thi truong (gia hien tai), va
- xac suat thuc te do ban uoc tinh dua tren du lieu.
Neu hop dong giao dich o $0.40 (40%) nhung ban uoc tinh la 55%, co the do la co hoi co EV duong.
Day khong phai tro choi doan nguoi thang. Day la bai toan xac suat: tim luc gia bi lech do tam ly dam dong, thanh khoan thap hoac qua phan ung voi tin moi.
Y chinh: Ban mua "xac suat" khi gia thap hon gia tri hop ly theo mo hinh cua ban.
Bat Dau Nhanh: Quy Trinh 5 Buoc
- Doi gia thanh xac suat ham y.
- Uoc tinh xac suat thuc te.
- Tinh Expected Value (EV).
- Kiem tra chat luong khop lenh (spread, do sau, kha nang thoat lenh).
- Dat muc rui ro truoc khi vao lenh.
Neu 1 buoc khong dat, bo qua giao dich.
Thi Truong Du Doan La Gi
Day la noi giao dich cac hop dong gan voi su kien tuong lai: bau cu, lai suat, giai thuong, thoi tiet, du lieu vi mo.
Trong thi truong nhi phan, hop dong ket thuc o:
- $1.00 neu su kien xay ra
- $0.00 neu su kien khong xay ra
Vi payout co dinh, gia chinh la tin hieu xac suat.
- "Yes" o $0.60 nghia la 60%
- Mua o $0.60, neu dung ban loi $0.40 moi hop dong
- Neu sai ban mat $0.60
"Dinh Gia Sai" Nghia La Gi
La su chenh lech co the do luong giua gia thi truong va xac suat thuc.
- Thi truong: 45%
- Ban uoc tinh: 55%
- Khoang chenh: 10 diem phan tram
Khoang chenh nay la edge tiem nang.
Vi Du
Mot bai dang tieu cuc lam hop dong "Tang truong tich cuc" giam xuong $0.30 (30%). Phan tich lich su cua ban lai cho thay kha nang gan 50%.
Neu mo hinh dung, thi truong da overreact va gia dang bi dinh gia thap.
Buoc 1: Xac Suat Ham Y
Tu gia hop dong
Probability (%) = Price x 100
- $0.72 -> 72%
Tu ty le decimal
Probability = 1 / Decimal Odds
- 2.50 -> 40%
Luon quy doi cung dinh dang xac suat truoc khi so sanh.
Buoc 2: Uoc Tinh Xac Suat Thuc
1. Base rates
Bat dau tu tan suat lich su trong dieu kien tuong tu.
2. Mo phong Monte Carlo
Neu mot ket qua thang 6,500/10,000 lan mo phong, uoc tinh cua ban la 65%.
3. So sanh da nen tang
Neu nen tang A la 55% va B la 48% cho cung su kien, co kha nang it nhat mot ben dang sai gia.
Buoc 3: Tinh EV
EV = (P(win) x profit_if_win) - (P(loss) x loss_if_wrong)
Vi du:
- Gia thi truong: $0.40
- Xac suat ban uoc tinh: 55%
- Von vao lenh: $100
- Loi nhuan neu dung: $150
- Thua lo neu sai: $100
EV = (0.55 x 150) - (0.45 x 100) = +$37.50
EV duong khong bao dam lenh nay thang, nhung co y nghia tot cho ky vong dai han.
Buoc 4: Kiem Tra Kha Nang Thuc Thi
- Spread: rong se an mon edge
- Do sau so lenh: thap de bi truot gia
- Loi thoat: can co thanh khoan de dong vi the
- Thoi diem tin tuc: de bien dong rat manh
Buoc 5: Quan Tri Rui Ro
- Smart money risk: thi truong co the biet dieu ban chua biet.
- Liquidity risk: khong thoat duoc muc gia mong muon.
- Black swan risk: su kien hiem lam vo mo hinh.
- Platform risk: quy tac settlement khong ro rang.
Nguyen tac thuc dung:
- Gioi han kich thuoc moi lenh
- Khong tap trung qua muc vao 1 chu de
- Xac dinh truoc muc lo toi da va dieu kien vo hieu luan diem
Vi Sao Dam Dong Dinh Gia Sai
- Qua phan ung voi tin nong
- Thien kien theo cua tren
- Thanh khoan mong
- Giao dich theo cam xuc
Arbitrage va Mispricing
| Chien luoc | Y tuong cot loi | Rui ro |
|---|---|---|
| Arbitrage | Khoa loi nhuan tu chenh lech gia giua nen tang | Thuong thap hon neu hedge day du |
| Mispricing | Dat cuoc vao su lech gia so voi uoc tinh cua ban | Rui ro huong gia cao hon |
Thi Truong Du Doan Co Hieu Qua Khong
Thuong kha hieu qua khi thanh khoan cao. O thi truong ngach, sai lech xuat hien thuong xuyen hon va lon hon.
Checklist Truoc Moi Lenh
- Uoc tinh xac suat cua toi co du bang chung khong?
- Khoang chenh gia con loi sau phi khong?
- EV co duong khong?
- Co du thanh khoan de vao va thoat lenh khong?
- Kich thuoc vi the co dung muc rui ro khong?
Neu chua dat du 5/5, dung vao lenh.