4 ms·

I haven't verified this for veracity, but supposedly a screenshot from tumblr blog of the CEO of Alameda Research "this blog endorses double-or-nothing coin fl

• ealexhudson 4y ago
  I believe it is true, and there was a good thread on twitter about Kelly optimal bets. It seems clear that SBF, and maybe therefore Alameda, didn't really understand the right hand side of the Kelly optimum.
• im3w1l 4y ago
  It's kind of an interesting puzzle though. It obviously doesn't work but breaking down exactly why it doesn't is a bit nuanced. The simplest model we can make is that the market will instantly jump either up or down. Why does the strategy not work in this case? If it jumps up you win. But if it jumps down you lose not just your stake, but you actually go into debt because of slippage. However if you add the possibility of call bankrupcy to discharge the debt, then it actually does work. On the other hand if you use a more realistic (but not fully, of course) continous model, then it doesn't work. Why? Because there are such a high proportion of paths the price can take where it reaches your stopout before it reaches your payout. It could go down (game over) up up up, or it could go up up down up down down up down down (game over). I believe you can use martingale theory to prove that it doesn't work.