August 2010
3 posts
1 tag
The Three Minds of an Anonymous HFM
A bit strangely, n+1 released a book of a series of extremely lucid conversations with an Anonymous Hedge Fund Manager (HFM) written before, during, and after the 2008 economic crisis. As you might expect from anything bearing the n+1 imprint, Diary of a Very Bad Year is well-written and deep while being approachable. In fact, it reminded me most of David Lipsky’s recent DFW travelogue...
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Horseflesh and Hypocrisy
T. Boone Pickens, from his autobiography The Luckiest Guy in the World:
I believe the greatest opportunity lies in a free marketplace. There are powerful forces afoot trying to restrict that freedom in the interests of the vested and already wealthy.
T. Boone Pickens, in congressional testimony on a bill to prevent the slaughter of horses for food:
The whole thing, it’s a...
July 2010
4 posts
2 tags
Sarah Connor Comes to Wall Street
So if you haven’t read it, Joseph Fuller’s The Terminator Comes to Wall Street is a well-written policy-advocating gloss. However, its technical merit is exactly what you’d expect from the PBK pimps whose most significant recent article involved an English professor nicknamed “Cockmaster D” advocating for “erotic intensity” between professor and student....
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Should There Be a AAAI?
One of the (very valid) complaints about how I determined the best AI school was that I only looked at publications from AAAI/IJCAI. Each of the major subfields of AI have their own particular conferences that people will often prefer to send work to over AAAI. ML, probably the most dynamic and exciting part of today’s AI landscape, is better served by NIPS and ICML. Robotics, by ICRA....
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The Real Money HSX is Bad Policy
Recently the HSX, a longtime favorite of prediction market advocates, was approved to start trading in real-money derivatives. The HSX using artificial currency has been used for many years to correctly estimate box-office receipts among a diehard but non-professional crowd; along with wikipedia, I think it’s one of the best examples of how “the crowd” can perform excellently...
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Bets vs. Hedges, revisited
From the Daily Finance article on Cantor Fitzgerald becoming a bookie:
(Cantor Fitzgerald employee Andrew) Garrood seems less concerned. He makes the in-running operation sound easy for a company like Cantor, which he says handles $150 trillion in Treasury business each year. “This is an application of what Cantor has always understood,” he says. “It’s just dressing up...
June 2010
7 posts
1 tag
Two EC Papers I Enjoyed
EC 2010 (nominally stands for “Electronic Commerce”) was recently hosted by a dedicated team at Harvard. I had a great time as an undergrad there and it was nice to be back for a few days, revisiting places like Felipe’s and People’s Republik. The conference itself took place in the skylighted underground piazza of the Northwest Science Labs, which was really the ideal...
2 tags
The Terminator Comes to Wall Street →
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Flash Crash Analysis →
The language is a bit hyperbolic and unscientific, but it’s certainly an interesting dataset.
I’ve been busy; real posts will return soon.
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NYT Mag on IBM's Jeopardy AI →
Better hurry and catch up, Cyc!
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Which is the Best AI School?
So in the recent US News rankings that everyone pretends not to care about, the “AI Specialty” rankings came out like this:
MIT
Carnegie Mellon
Stanford
Berkeley
Texas
Washington
Georgia Tech
UIUC/UMass (tie)
Penn
My understanding is that along with the numerical part of the survey, there’s a section in which department heads are supposed to write in names of schools...
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The Push to Obscurity
What struck me the most about Fab Fab’s emails wasn’t their maudlin tone or his low-grade ethical wrangling, it was this line:
When I think that I had some input into the creation of this product (which by the way is a product of pure intellectual masturbation, the type of thing which you invent telling yourself: “Well, what if we created a “thing”, which has no...
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Undergrad AI: Teach This, Not That
Undergrad AI should both give students an appreciation for AI as well as a glimpse of important research problems in the field. More and more, this means teaching the theory and practice of optimization. When IBM ads tell us they want a “smarter planet”, this is what they’re talking about.
So teach this:
Machine Learning, through the Kernel Trick. Machine Learning is the most...
May 2010
6 posts
1 tag
Yesterday's Shopping Bot of Tomorrow
There was a time a dozen years ago where there was a pretty clear path forward for what the Internet would enable (throw an “e-” on that bitch!). You’d want to buy a camera. But different features are worth different amounts to you. Zoom? Format? Maker? And you only want one camera. Or maybe two? Complicated! The obvious thing to do is just to incorporate your preferences into a...
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Are Prediction Markets Engines or Cameras?
Before I explain the metaphor, allow me to present the Health Care Reform Hustle. Let’s go way, way, back to the beginning of 2010, where the long-delayed bill on HCR is about to pass in the House, held together by a rickety Democratic coalition. The Hustle proceeds as follows:
Spend a few thousand dollars consistently shorting Intrade’s contract on HCR passing successfully.
Get the...
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Constantly Rebalanced Portfolios, Part Two
So last time I introduced the ideas behind CRPs. Now, why don’t they work in practice?
They solve the wrong problem. One of the ideas central to CRP is that they are a long term strategy — that over time they will achieve sublinear regret with the best fixed strategy. But over long periods of time, the best fixed strategy becomes more and more meaningless relative to an adaptive...
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Constantly Rebalanced Portfolios, Part One
A decade ago, the Stanford Report was excited about a new hedge fund, Mountain View Analytics, run by the well-pedigreed Thomas Cover. To wit:
Tom Cover has the next-best thing to a time machine: He has an algorithm — a computational procedure — that uses the past to predict the future. It works as well or better than hindsight, outperforming a pretty good investment strategy:...
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Why Nash Might Not Be So Bad
Can you name a constructive use of the Nash equilibria concept? I’m not talking about things that are covered under the von Neumann minimax result, which has had an obvious impact on multiple, disparate things (LP Duality and Yao’s Theorem, to name a couple). I’m talking about a real 3+ player game outside of the laboratory where someone is playing a Nash equilibrium strategy and...
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Foundational Paper: The Economist as Engineer
Al Roth and Peter Coles’ class on Market Design met from 9am until noon on Fridays the spring semester of my Junior year. I’ve never been a morning person, and my mornings that spring started at 5:30 or 6:30 to row House Crew (go Adams!). It’s a testament to the teaching and material in the course that I didn’t drop the damn thing, and instead had probably my best...
April 2010
15 posts
1 tag
Hedge Funds as Charities
Mike — who in addition to being a grad student is also a principal in Hg Analytics — and I had a lunch discussion about hedge funds and the role they play. One of the things that stuck with me was the idea of a charitable hedge fund, which is something distinct from a hedge fund that makes a lot of money and spent it on charitable activities. Instead, it would attempt to use markets to...
Germane →
Fab Fab:
[T]he real purpose of my job is to make capital markets more efficient and ultimately provide the U.S. consumer with more efficient ways to leverage and finance himself, so there is a humble, noble and ethical reason for my job ;)
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The Hedge Fund Myth
We make markets more efficient.
I’ve heard that line independently from a half-dozen guys at hedge funds to justify what they do and why they make so much money. Given that prices are a universal communication medium and the foundation of mature capitalism, doesn’t that imply these noble men (and in my experience, they’ve been exclusively men) the heroes of our society?...
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Prospect Theory and the Weather
Prospect theory is a descriptive utility concept. Though the wikipedia page makes it seem complex, the idea is essentially that people treat gains and losses differently, reacting more sensitively to losses than to gains. Okay, sure, that seems pretty straightforward. But what makes the idea subtle is that it induces a path dependence that runs counter to traditional notions of utility: two people...
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The Problem with Ray Kurzweil
The singularity is Ray Kurzweil’s personal Jesus: It will redeem him and he will live forever and ever, amen. And just like the second coming, it’s not happening any time soon.
Don’t tell that to him though. Kurzweil recently embarked upon the scammy-sounding Singularity University, which strives to “assemble, educate and inspire a cadre of leaders who strive to...
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Bowing to popular pressure, I just set up comments — and you can do it anonymously, too. Start slinging that mud.
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The Worst Hedge Fund in the World →
One hundred thousand under management, fine. Trying to clear a decent return off one hundred million? No fucking way.
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The Problem with 2-D Thinking
When I took undergraduate macro, I was deluged with graphs, lines, and intersections. Problems would be introduced, lines drawn (almost always from SW to NE and from NW to SE, with the occasional vertical or horizontal line thrown in there for good measure), the lines shifted, and those problems “solved”. At first, I fought hard to figure out what was going on from first principles and...
Some Reasonable Thoughts on John Nash
At GAMES 08, John Nash gave one of the semi-plenary lectures, the conference being so sprawling that it would have been impossible to fit all the attendees in a single room. The lecture hall, which was truly massive and must have been among the largest on Northwestern’s campus, was packed to the brim. Everyone wanted to hear the Nobel prize winner’s talk, obtusely titled Work on a...
2 tags
Foundational Paper: Consensus of Subjective...
This is the oldest paper I plan on posting, and it’s a far more unconventional selection than the other logical candidates for a first paper — von Neumann and Morgenstern’s Games and Economic Behavior, which is virtually unreadable, and Nash’s 1950 paper, which would be useful only really as a non-constructive foil.
Instead, I think that the distinction should go to...
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Why Solution Concepts Don't Work
On the face of it, solution concepts seem like a useful tool. You’re making some assumptions when you talking about behavior, and solution concepts let you lock in those assumptions and then treat them formally.
The issue, of course, is that you take this enormous space of what could happen in an interaction, and choose to focus only on what your model says will happen. And most...
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WELCOME TO THE JETSONS
Alex: the whole field needs to just be like 'hey we don't do this anymore'
Alex: especially when this is all the general public ever hears about
Alex: http://science.slashdot.org/story/10/03/31/1440205/MIT-Finds-Grand-Unified-Theory-of-AI
Abe: ...
Abe: oh jeesus
Abe: and that was in 2010?
Alex: that was like a week ago
Alex: or less
Alex: HAY GUYS WE SOLVED AI CHECK IT OUT
Alex: clearly this really crappy model we applied to a toy problem can extrapolate out to anything
Alex: JUST GET ENOUGH RAMS
Alex: thanks MIT
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Is AI Just Bad Theory?
I recently reviewed a paper for AAAI that, briefly, described a novel polynomial-time algorithm for a hypothetical problem that people don’t need to solve. The algorithm itself was relatively straightforward, but the analysis to show that it would work seemed to be rather sophisticated.
Should the paper have been accepted? I argued for rejection:
Most importantly, the paper was a...
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Foundational Paper: Incentives Build Robustness in...
It is to our profound and lasting discredit as a field that the most important paper in multi-agent systems in the last decade came not from the academic community, but from an outsider with some of the least auspicious academic credentials imaginable (dropping out of SUNY-Buffalo).
For every bit downloaded, someone must be uploading. But the two sides are inherently asymmetric because people...
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What is Constructive Economics?
Constructive Economics is the design, construction, implementation, and analysis of new economic structures. It’s about building things, making them real, and treating them as solid objects worthy of respect, admiration, study, and further improvement. Above all else: make it real.
Less Talk, More Rock
So what does making it real look like?
Most profoundly, it involves the rejection of...