# arbitrage (blogs) — RSS Amplifier Recent posts from the 4 feeds in the RSS Amplifier directory that cover arbitrage. Page: Feed: --- ## [Every awesome list rots. I built one that won't.](https://kacho.io/prediction-almanac) _2026-08-13 · Kacho — building in public_ Prediction Almanac is an open directory of every prediction market worth trading, the data you can backtest on, and the tools people have actually shipped. It rebuilds itself from scratch every day and fetches its own numbers - volume, repo health, blog freshness - so nothing on the page is a figure I typed once and left to go stale. ## [A bit of everything and nothing specific.](https://kacho.io/everything-and-nothing) _2026-07-29 · Kacho — building in public_ A quieter update. The retired sports bot's Rust replacement made $650 last month, why I won't open-source the one that actually works, what two months of blogging in the open returned, and the weather market-making model coming next. ## [I'm open-sourcing my Polymarket market making bot.](https://kacho.io/open-sourcing-my-polymarket-bot) _2026-07-21 · Kacho — building in public_ The market-making bot that made me about $5k on Polymarket is now on GitHub, MIT-licensed, wallet still public. Here's what's in it, what I stripped out, and why giving away a bot that made money costs me nothing - the code was never the edge. ## [Adverse selection eating away my Polymarket bot arbitrage profits.](https://kacho.io/why-my-polymarket-arbitrage-bot-lost-money) _2026-06-30 · Kacho — building in public_ Last post I left a question hanging - the directional bets lost $3,184 when every one was supposed to have at least 7% edge. Analytics scripts I built gave me a clear picture but there is not a single simple answer that explains why my ROI decayed. The main reason was that I was using stale odds (up to 30 minutes fresh) which resulted in adverse selection fills a lot more often than I thought… ## [What Can Go Wrong During Caplet Stripping?](https://chasethedevil.github.io/post/what-can-go-wrong-during-caplet-stripping/) _2026-06-25 · Chase the Devil_ You may or may not have heard that a piecewise-linear interpolation of caplet vols is not stable, it leads to oscillations in the caplet stripping procedure (implying caplet volatilities from cap vol market quotes). And many revert to piecewise-constant interpolation as a consequence. Several years ago, such a case was brought upon myself and I thought at the time that maybe if we used knots… ## [Non-practical Pricing Techniques for Cliquets?](https://chasethedevil.github.io/post/bad-methods-for-cliquets/) _2026-06-24 · Chase the Devil_ I have been looking at various techniques for cliquet pricing with a focus on the Heston model. The obvious way is to use Monte-Carlo. Can we do better? The difficulty of the somewhat simple contract I was looking at is the presence of a global floor, without a local floor, but with a local cap. The payoff reads \\( max(0, min(C, \\sum\_{i=1}^n \\frac{S(t\_i)-S(t\_{i-1})}{S(t\_{i-1})})) \\)… ## [I recorded Polymarket's 5-minute crypto markets for two months. Here's the dataset.](https://kacho.io/polymarket-5min-crypto-dataset) _2026-06-16 · Kacho — building in public_ A free, open dataset: nearly 89,000 of Polymarket's 5-minute crypto up/down markets (BTC, ETH, SOL, XRP, DOGE, HYPE, BNB), captured second by second - about 26.8 million top-of-book order-book observations from March to May 2026. I collected it to backtest a bot. You can have it. ## [A Bachelier Normal Implied Volatility Solver](https://chasethedevil.github.io/post/a-faster-bachelier-normal-implied-volatility-solver/) _2026-06-07 · Chase the Devil_ Around 2014 , I proposed a few Bachelier implied volatility “solvers”. The first one was inspired by Steven G. Johnson’s Faddeeva package for the complex error function: it used a piecewise Chebyshev polynomial representation to have a near machine accurate representation of the Bachelier implied volatility. Why did I put “solver” in quotes? Because the problem can be… ## [I ran an arbitrage bot on Polymarket. Here are the real numbers.](https://kacho.io/polymarket-arbitrage-real-numbers) _2026-06-06 · Kacho — building in public_ In early 2026 my bot netted ~$5k on Polymarket. The guaranteed arbitrage made +$8.3k - but capturing it forced directional bets that lost $3.2k. The whole story, with every number. ## [The Role of Erfcx and Erfc in the Black-Scholes Formula](https://chasethedevil.github.io/post/black-formula-erfcx-erfc-backends/) _2026-05-30 · Chase the Devil_ This note compares special-function choices at the level that matters to the implied volatility solvers : the normalized Black beta price, not standalone erfcx(x) . For x = log(F/K) \<= 0 and total volatility s = sigma sqrt(T) , the beta-space OTM call price is B(x, s) = 0.5 \* (exp(x/2) \* erfc(q1) - exp(-x/2) \* erfc(q2)) q1 = -(x/s + s/2) / sqrt(2) q2 = -(x/s - s/2) /… ## [Real SIMs for AI Agents (Sponsored)](https://crawlproof.com/a/sTgqdaO3mhBE) _2026-05-30 · **Sponsored**_ Pass 2FA and verifications with real carrier numbers via our API. ## [Everyone shows the wins. I'm showing the wallet.](https://kacho.io/why-kacho-io) _2026-05-28 · Kacho — building in public_ Why kacho.io exists: a logbook of the side hustles I'm actually building, with the real numbers behind them - the losing months included, and a public wallet so you can check. ## [Which erfcx?](https://chasethedevil.github.io/post/erfcx-cody-commons-johnson/) _2026-05-24 · Chase the Devil_ The use of erfcx instead of direct erfc or CDF in a Black-Scholes implied volatility solver leads to gain in accuracy and performance in general. But which erfcx should we use? This note compares practical erfcx implementations for Rust implied volatility solvers: Commons: the local Rust port of Apache Commons Numbers BoostErf.erfcx Cody: the Cody rational approximation… ## [A Faster Monotone Implied Volatiltty Solver](https://chasethedevil.github.io/post/a-faster-monotone-implied-volatility-solver/) _2026-05-23 · Chase the Devil_ Choi, Huh and Su have a very good paper entitled Tighter uniform bounds for Black–Scholes implied volatility and the applications to root-finding . What’s particularly great is that it gives both a decent lower bound and a proof a monotone convergence using Newton’s method starting from this lower bound. The industry standard for solving the Black-Scholes implied volatility is… ## [Almost Explicit Implied Volatility](https://chasethedevil.github.io/post/almost-explicit-implied-volatility/) _2026-04-30 · Chase the Devil_ Several years ago, I had explored accuracy and performance of different ways to imply the Black-Scholes volatility. Jherek Healy proposed some improvements over my naive algorithm on his blog . Recently, a Linkedin post mentioned a new paper from Wolfgang Schadner which presents an almost explicit formula for the implied volatility. Almost because it actually relies on some implementation of the… ## [Owen Scrambling a la Burley](https://chasethedevil.github.io/post/burley_owen_scrambling/) _2026-01-08 · Chase the Devil_ In my last post , I had a look at Quantlib implementation of a new scrambling method for Sobol due to Brent Burley of Walt Disney Studios Practical Hash-based Owen Scrambling . Because it originates from the CG community, I had assumed that this was faster than the more classic scrambling ACM Algorithm 823 by Hickernell and Hong. I was wrong. It may be faster for specific use cases, but… ## [Jack Audio in Opensuse Tumbleweed](https://chasethedevil.github.io/post/jack_in_opensuse_tumbleweed/) _2025-12-22 · Chase the Devil_ I struggled a bit having Jack Audio Connection Kit working in Opensuse Tumbleweed. My error was to install the jack package. The solution is actually extremely simple: use pipewire-jack instead of jack. sudo zypper in pipewire-jack qjackctl ## [Owen Scrambling in Quantlib](https://chasethedevil.github.io/post/owen_scrambling_in_quantlib/) _2025-12-17 · Chase the Devil_ The state of the art of Sobol scrambling has changed slightly recently, thanks to the paper from Brent Burley of Walt Disney Studios Practical Hash-based Owen Scrambling . Before that, ACM Algorithm 823 by Hickernell and Hong was the usual reference. Brent Burley’s algorithm is supposedly both faster and with better properties. In particular, it performs both shuffling and scrambling.… ## [Deep Neural Networks and Julia](https://chasethedevil.github.io/post/deep_neural_networks_and_julia/) _2025-10-07 · Chase the Devil_ Recently, I have spent some time on simple neural networks. The idea is to employ them as universal function approximators for some problems appearing in quantitative finance. There are some great papers on it such as the one from Liu et al. (2019) or Horvath et al. (2019) Deep Learning Volatility or Rosenbaum & Zhang (2021) . Incidentally, I met Liu back when I was finishing my PhD in TU… ## [Stochastic Collocation - Old And New](https://chasethedevil.github.io/post/stochastic_collocation_old_and_new/) _2025-08-05 · Chase the Devil_ Thomas Roos recently put a preprint on SSRN called Simple, Flexible, Analytic, Arbitrage Free Volatility Interpolation . Being interested in the subject, I had a detailed look at it. It turns out that Thomas stumbled upon spline stochastic collocation without realizing it. There are a few differences in his approach: The optimization is on the x’s instead of the y’s,… ## [Valuation Deep-Dive (GSF): 60% Upside Opportunity](https://foreignstockresearch.substack.com/p/valuation-deep-dive-gsf-60-upside) _2025-07-28 · Foreign Stocks · Foreign Stock Research_ Battery storage portfolio trading at £442k/MW, a massive discount vs recent transaction at £860k/MW for a similar platform ## [Unlimited Mobile Internet, One V-SIM (Sponsored)](https://crawlproof.com/a/0NSEiN5Qmhho) _2025-07-28 · **Sponsored**_ Automatically switches across T-Mobile, AT&T and Verizon; no throttling, no contract. ## [NUFFT and COS](https://chasethedevil.github.io/post/nufft_and_cos/) _2025-07-14 · Chase the Devil_ Leif Andersen and Mark Lake recently proposed the use of Non-Uniform Fast Fourier Transform for option pricing via the characteristic function. Fourier techniques are most commonly used for pricing vanilla options under the Heston model, in order to calibrate the model. They can be applied to other models, typically with known characteristic function, but also with numerically solved… ## [Another Green Energy Investment with 12% Dividend Yield + Upside Potential](https://foreignstockresearch.substack.com/p/another-green-energy-investment-with) _2025-07-13 · Foreign Stocks · Foreign Stock Research_ Invest in renewables while generating above-market returns ## [Supreme – A Growing Consumer Platform at 5.3x EV/EBITDA](https://foreignstockresearch.substack.com/p/supreme-a-growing-consumer-platform) _2025-07-06 · Foreign Stocks · Foreign Stock Research_ Full Investment Thesis: You Don't Want To Miss this! ## [Forward Variance Models and Calibration](https://chasethedevil.github.io/post/forward-variance-models-and-calibration/) _2025-06-21 · Chase the Devil_ The modern rough volatility models adopt a forward variance curve terminology (see for example this paper on a rational approximation for the rough Heston , or this presentation on affine forward variance models or this paper on affine forward variance models ). In this form, the rough Heston model reads: According to the litterature, the initial forward variance curve is… ## [A Not So Great New Simulation Scheme for the Heston Model](https://chasethedevil.github.io/post/not-so-great-new-scheme-heston/) _2025-06-18 · Chase the Devil_ I recently saw a news about a great new simulation scheme for the Heston model by Abi Jaber . The paper suggests it is better than the popular alternatives such as the QE scheme of Leif Andersen. Reading it quickly, perhaps too quickly, I had the impression it would be more accurate especially when the number of time-steps is small. The scheme is simple to implement so I decided to spend… ## [Investing in the Future of Energy - For a Large Profit](https://foreignstockresearch.substack.com/p/investing-in-the-future-of-energy) _2025-06-10 · Foreign Stocks · Foreign Stock Research_ Fast-growing energy storage platform trading at a 40% discount to NAV ## [Expansions for the time-dependent Heston model: Useless?](https://chasethedevil.github.io/post/useless-expansions-heston/) _2025-06-01 · Chase the Devil_ Fabrice Rouah wrote two books on the Heston model: one with C# and Matlab code, and one with VBA code. The two books are very similar. They are good in that they tackle most of the important points with the Heston model, from calibration to simulation. The calibration part (chapter 6) is a bit too short, it would have been great if it presented the actual difficulties with calibration in practice… ## [+5.5% Return Arbitrage in 2 Months - Takeover Play Still On!](https://foreignstockresearch.substack.com/p/55-return-arbitrage-in-2-months-takeover) _2025-05-10 · Foreign Stocks · Foreign Stock Research_ Merger arbitrage play yielding +5.5% in 2 months since original post while markets tumble, and counting! Reading time: 7 minutes ## [UK Micro-Cap Gem: Doubled EBITDA in 3y, Still Trading Below 5x?](https://foreignstockresearch.substack.com/p/uk-micro-cap-gem-doubled-ebitda-in) _2025-05-04 · Foreign Stocks · Foreign Stock Research_ Short-read: 6 minutes ## [A New Asian Basket Spread Option Approximation](https://chasethedevil.github.io/post/new_spread_option_approximation/) _2025-04-22 · Chase the Devil_ Around 10 years ago, while reading the excellent paper of Etore and Gobet on stochastic Taylor expansions for the pricing of vanilla options with discrete (cash) dividends , I had the idea of a small improvement, by using a more precise proxy for the Taylor expansion. More recently, I applied the idea to approximate arithmetic Asian options prices by using the geometric Asian option price as… ## [One platform, from silicon to agent (Sponsored)](https://crawlproof.com/a/LG8sgpVXSHi6) _2025-04-22 · **Sponsored**_ Serverless inference plus Inference Router to optimize cost and latency at scale. ## [Kenmare Resources (LSE: KMR): Merger Arbitrage Opportunity with Underlying Value as Downside Protection](https://foreignstockresearch.substack.com/p/kenmare-resources-lse-kmr-merger) _2025-03-10 · Foreign Stocks · Foreign Stock Research_ Value small cap with ~3x EV/EBITDA and 30-50% return potential in merger arbitrage. Reading time: 11 minutes ## [LLMs Are Not Good For Basic Homework](https://chasethedevil.github.io/post/llm_not_good_at_homework/) _2025-03-06 · Chase the Devil_ My 12 years old child recently had a presentation to do with 3 other children for school, the subject was food and health. It was particularly difficult to organize the children and one of the children came with a full presentation with text, generated by an LLM (possibly corrected by the parents). At first, I thought this was just cheating and completly useless. Furthermore, he failed to… ## [Calibrating Heston to Variance Swaps - a bad idea?](https://chasethedevil.github.io/post/heston_variance_swap_calibration/) _2025-02-11 · Chase the Devil_ An interesting idea to calibrate the Heston model in a more stable manner and reduce the calibration time is to make use of variance swap prices. Indeed, there is a simple formula for the theoretical price of a variance swap in the Heston model. It is not perfect since it approximates the variance swap price by the expectation of the integrated variance process over time. In… ## [OpenSuse Tumbleweed to the Rescue](https://chasethedevil.github.io/post/opensuse_tumbleweed/) _2025-02-06 · Chase the Devil_ I recently upgraded a desktop computer, and to my surprise, the new motherboard was not fully supported by most Linux distributions. The main culprit was the network adapter, although the secure boot setup gave me lots of troubles as well. I had only a small usb key (2GB) and most (all?) live distributions do not fit on 2GB anymore. With the exception of Ubuntu images, I did not manage to… ## [Saving Us - Book Review](https://chasethedevil.github.io/post/saving_us_book_review/) _2024-10-13 · Chase the Devil_ I had the opportunity to receive a free book on climate change, through the company I am working for. I had not heard of that book before, it called Saving Us and is written by an actual climate scientist (Katharine Hayhoe). Unfortunately, written by does not mean that it is a scientific book, and it’s not. The author does not spend much effort explaining the physics or the reports, but… ## [Monotonicity of the Black-Scholes Option Prices in Practice](https://chasethedevil.github.io/post/vol_monotonicity_in_practice/) _2024-09-29 · Chase the Devil_ It is well known that vanilla option prices must increase when we increase the implied volatility. Recently, a post on the Wilmott forums wondered about the true accuracy of Peter Jaeckel implied volatility solver, whether it was truely IEEE 754 compliant. In fact, the author noticed some inaccuracy in the option price itself. Unfortunately I can not reply to the forum, its login process does not…