A Review of “The Man Who Solved the Market”
scottlocklin.wordpress.com
scottlocklin.wordpress.com
One small objection: "Cleaning data is the fundamental task that defines data science as a role: statisticians and economists buy clean data from somebody."
Man I wish. I spent more than a year of my PhD (cumulatively and not all at once) cleaning various kinds of data. I joked w/ an adviser once that I thought I had signed up for an economics PhD but it turned out I was getting a PhD in data cleaning.
Finding pre-cleaned, nice data for a project is like finding a $100 bill on the street. Doesn't happen.
> Piecing together a custom-built database, Straus purchased historic commodity-price data on magnetic tape from an Indiana-based firm called Dunn & Hargitt, then merged it with the historic information others in the firm already had amassed. ... Using an Apple II computer, Straus and others wrote a program to collect and store their growing data trove.
> Over time, Straus and his colleagues created and discovered additional historical pricing data, helping Ax develop new predictive models relying on Carmona’s suggestions. Some of the weekly stocktrading data they’d later find went back as far as the 1800s, reliable information almost no one else had access to. At the time, the team couldn’t do much with the data, but the ability to search history to see how markets reacted to unusual events would later help Simons’s team build models to profit from market collapses and other unexpected events, helping the firm trounce markets during those periods.
They also took market prices as nearly devoid of real life meaning. I was originally very skeptical of this approach as it requires immense discipline and rigor to avoid data mining. You see economists do that where they create a signal for something like the 23 month lag of GDP. Why 23 month lag? Because 1-22 were insignificant. But they seem to get away with it due to their strong academic background.
> Here’s what was really unique: The paper didn’t try to identify or predict these states using economic theory or other conventional methods, nor did the researchers seek to address why the market entered certain states. Simons and his colleagues used mathematics to determine the set of states best fitting the observed pricing data; their model then made its bets accordingly. The whys didn’t matter, Simons and his colleagues seemed to suggest, just the strategies to take advantage of the inferred states.
https://mleverything.substack.com/p/how-renaissance-technolo...
He’s been at it for decades. What did Ed figure out half a century ago?
Btw, Ed’s a math guy also:
Too bad programmers are actually the ones you need the most. Trading is mostly a technical problem, which requires a technical organization to be solved well. You're not going to be successful if you only hire MBA types and cannot build a culture of technological excellence.
I'm kind of diversified right now. Some of my money is in value-adding businesses and some is in speculative crypto ranging from "This project has potential" to "This project is 100% hype-based and has no viable technological future but could be big financially because insanity is becoming a reliable trend."
Morgan Housel. The Psychology of Money.
But it can be predictable if you can predict the behaviour of other traders, because price is determined by supply and demand for the asset. The underlying value is a small part of determining how other traders will value it.
The Ai solved markets from Renaissance have given one of their top members effectively infinite influence over the political landscape, because he doesn’t need to do anything anymore to keep the AÍ printing machine going.
This betrays a fundamental misunderstanding of how systematic trading strategies differ from some other ML problems. It's an adversarial, nonstationary environment. The same strategies don't just keep working indefinitely. (Not to mention the fact that maintaining any complex production software system requires an enormous amount of work, even completely ignoring the need to keep developing new alpha. For instance, consider the case when certain oil prices went briefly negative in 2020 -- even if your software was so perfect that it was unaffected by that event [hah!] remember that many of the counterparties you actually trade with may not have been as clever. This is just one small example. as markets evolve, they will find ways to turn up new bugs in your code.)
> Most systematic hedge funds are a racket; they either got lucky, or have a strategy that only works in one market regime.
Selling ion bracelets to give you increased energy is not legal fraud either, but most people would say it's a fraud nonetheless. The same goes for most hedge funds.
It’s so hard to truly evaluate performance by all metrics, it might as well be impossible.
For the average person, the best way is probably to stick their money in the S&P 500 and forget about it. But what about outliers, like founders with 95% of their wealth in company x? They might want to hedge their bets as it were.
That doesn't seem jerkish. Second hand smoke in the work place is bad for everyone.
What sort of person begins a description of autism like this?
> Autism. I’m not sure this doesn’t fall into the category of “insanity.” It may also have something to do with hormonal disruption. Either way, the fact that some huge fraction of the population who thinks they don’t have to be kind and thoughtful to others because “muh disability.”
I don't want to read the biography he is referring to but I do want to read a psych profile of Scott Locklin. He is the platonic ideal of a cranky, covid-denying asshat.
[1]https://scottlocklin.wordpress.com/2021/11/20/us-public-heal...
Your sentiment is a really common and insidious one that way too many people use to feel smug and "rational" about being mean
Careful - you'll cause some heads to explode before they can retreat to their safe spaces...
These concept are pretty much orthogonal. While I don't disagree that insistence on politeness can get in the way of good discourse, it is an all-to-common mistake to read or promote lack of politeness as a signal of honesty and accuracy - which manifestly isn't the case.
It's also often done in a lazy way. Which doesn't imply the thinking is also lazy, but there is a good correlation.
aside from the "COVID denying", he's also refreshingly unwilling to bow to the trend towards dilution of language in favor of obfuscation of meaning. Direct and entertaining rants have their place and he's good at them.
> The same dipshits who now think you should wear a mask while outside by yourself insisted that they were ineffective, because they knew the mask factories had long since been outsourced to China, and they wanted those masks for hospital worker to have while doing tiktoc videos. Now we have to wear them forever, because muh consensus or something.
Wow
Whatever disagreement you might have about the author of this website, don't give a pass to the people who were at the helm during this pandemic. They failed the public along numerous basic metrics and that doesn't change simply because this author may or may not be an asshole.
But there was. The WHO recommendations, which I assume is what he is referring to, were based initially on data that suggested an non-aerosol transmission and then evidence was produced that lead to the theory of aerosol transmission.
One can certainly criticize the WHO and other health organizations for moving too slowly but the issue I am referring to isn't that.
There is a general tendency on the right to point to changing advice as some sort of proof of a conspiracy or idiocy on the part of the health officials. I see it all the time (as a daily lark I read Gab) and it points to an obvious lack of understanding on the part of a large part of the population (deliberate or not) about how science works on a fairly fundamental level.
It was always known, even prior to COVID and by the WHO (who posted as much on their website), that coronaviruses spread via respiratory droplets and that's what most masks are effective at protecting against.
If the virus could persist viably on surfaces, handling a soiled mask properly would be absolutely critical to getting any benefit from it, and handling it improperly would be risky. People wiped down their groceries for the same reason.
With the benefit of real data, we now know that touch is a negligible vector. The novel coronavirus does not persist viably for long on any surface. So masks are an excellent trade off.
That's not a reason to tell people that masks don't work. It's a reason to tell people that masks do work, provided you take precautions A, B, and C. And you should also say why those precautions are necessary--because of the assumed risk of touch transmission--so people can apply common sense, since no amount of advice from a central authority can possibly cover all individual cases.
If the WHO had said in the early days 'We're 55% certain masks do more harm than good' and then said 'we've looked at more data and are now 60% certain masks do more good than harm', I doubt many of us would be clowning them to the degree we are. It's the fact they spoke as if they had 100% certainty in one direction and then as if they had 100% certainty in the other that gives the impression these people don't know what they're doing.
Asshat. I think he has far too much understanding of his basic character flaws and limitations to be an asshole. Its what makes his commentary especially wonderful. He isn't some ignorant asshole who thinks he is smarter than everyone else. He seems to know how smart he is and what his failings are but it doesn't stop him.
His frequent use of 'muh' speaks to a very elitist and classist view of modern society that has to come from, I assume, some sort of rural or less sophisticated upbringing of his.
Unlike hatebags who write for Breitbart or Infowars this guy is a wonderful combination of contradictions, insight and sheer bile.
Its f*$king breathtaking.
We were worried about supply chains, and then we weren't.
In a supply chain constraint, Doctors get masks, because they need them.
Beyond that, the general population for whom masks are marginally useful, can have them.
Because 'masks are a policy' then we have to wear them in certain environments with strict oversight, I think this has led some people to believe that they are some kind if 'important tool' when of course they are not, they're just a small measure, but an important one in the aggregate.
The author is perfectly within his rights to be curmudgeon, but he's not very reasonable in his argumentation, he's more or less venting and name calling, which is unfortunately the reality of most of the anti-vaxx populism: there are very few well orchestrated skeptic arguments.
Because based on that old evidence that seemed so sure at a certain moment in time the lives of hundreds of millions of people were negatively affected (lockdowns, job losses etc), so one could forgive a part of those people for not giving a damn about the evidence subsequently changing and we being closer to the truth, in a scientific way.
Almost no-one cares about science, even the majority of people who materially support science by giving scientists money don't care about science (most of them have ulterior motives, like the ability to militarily be superior relative to their foes based on said science, or the ability to gain even more money compared to what they put in etc), long story short almost nobody really cares about science in the way that (some) scientists do, i.e. getting us closer to the "truth" (whatever that "truth" is).
In that respect, telling those hundreds of millions of people something like "but, you see, we were doing science when we were negatively affecting your lives based on evidence that proved out to be further to the truth compared to the evidence that we have now" means, in the best case scenario, that you're taunting them, in the worst case, that you're taking those millions of people for utter fools that should just sit like ducks in the way of science.
>If you’re capable of writing a makefile, you’re capable of learning how to behave in public in a way that doesn’t make people want to fling you from the roof.
I think you are correct though that I am wildly off-topic but when one discovers something like this you really need to point it out.
"Be kind. Don't be snarky. Have curious conversation; don't cross-examine. Please don't fulminate. Please don't sneer, including at the rest of the community."
"The main upside to all this for me anyway is middle aged to old men like me have giant cocks compared to 20-somethings because we weren’t exposed to this shit in the womb. Of course most of the 20-something year old American women are obese and mentally ill anyway, so it’s a wash."
How do you appropriately comment on something like this? Other than to point out that this is not someone worth having a conversation with? And yet this blog hits the front page,and therefore requires engagement of some sort. Pretending, against all evidence, that you are engaged in a good faith, curiosity driven conversation when faced with stuff like this does not seem like an appropriate, rational strategy to me.
> And yet this blog hits the front page,and therefore requires engagement of some sort.
It really doesn't. If someone's writing bothers you, just move on with your life. I promise that railing against this dude will not stop him from blogging.
It's performative not informative. It's hyperbole written to evoke a reaction rather than to illuminate. So the HN guidelines for keeping things within the bounds of rational discourse are useless when engaging with it. Not engaging is of course an option, but yet, here we are. I replied to something, your replied to me. And I do feel that just letting irrational things stand when they already have gained some prominence is risky as well (c.f. covid vaccine).
Finally, yes I do find it offensive, and that does not hinge on it offending you. But it's also obviously irrelevant whether I find it offensive. There are plenty of people who take offence at gay marriage, or women driving, or blue hair. I'd rather have/debate general norms of civility than outsource the decision making on what's inappropriate or not to self appointed spokesperson of affected groups.
Imagine you have an E student, 16 years old. You have major anxiety over the thought of supporting them for the remainder of your life as it seems unlikely they'll ever be able to able to hold a job/achieve financial independence. Disability can be your ticket and parents hire what's know in the industry as advocates who you guessed it advocate for their student to be labeled and receive support for having a disability. I can tell you it's a surefire way to ensure your child receives passing grades w/ out doing anything at all b/c you can relabel the lack of effort as due to their disability.
It's akin to drug addicts learning the in's and out's of the hospital system to receive pain medications. Pain has a lot of wiggle room and ppl will milk it just they like do disabilities.
> Let's imagine that happens. Jahleel starts doing better in school, overcomes some of his disabilities. He doesn't need the disability program anymore. That would seem to be great for everyone, except for one thing: It would threaten his family's livelihood. Jahleel's family primarily survives off the monthly $700 check they get for his disability.
So many will write that off but then you have the a ha moment of what if I do work under the table so that's what you do - best of both worlds free money and extra cash. Problem obviously is a lot of ppl choose illegal options especially considering how profitable they are.
https://www.npr.org/sections/money/2013/04/18/177745599/form...
I'm confused; that sounds like a disability to me. If someone loses the genetic lottery and can't hold a job or achieve financial independence then that does seem like a pretty good use of disability funds. What is the alternative?
Maybe I misunderstood.
Schools aren't necessarily even the best place to get that help and that's a big problem despite the provisions of the IDEA or your local state laws and programs.
I find his bluntness funny and somewhat admirable, where I disagree with him and not. Might be a regional thing, we're both New Englanders.
AaaS: anger as a service
PoaaS: pissed-off as a service
We could try other emotions, but this seems to be the biggest addressable market.
CaaS: Cortisol as a service
https://www.smh.com.au/national/nsw/a-complex-problem-riches...
> High-fee private schools are claiming the most HSC disability provisions despite the independent sector having the fewest students with special needs, as new data shows claims increased by a third in the last four years
HSC is the Higher School Certificate, the highest secondary school examination in this state.
> In 1931, Jackson, the last Supreme Court not to graduate from law school
which I found pretty interesting, especially as he was pretty instrumental in implementing some important New Deal stuff (I'm not and American and as such many of those facts were knew to me):
> Jackson, a country lawyer from upstate New York, became one of the central lawyers in the New Deal, resurrecting the Antitrust Division in 1937 and a few years later sitting on the Supreme Court
[1] https://mattstoller.substack.com/p/the-big-law-cartel-how-an...
Edit: And boy was this a doozy. Not cool.