The New Math: Quantitative hedge funds are pressing into new realms of science

Wasn't LTCM supposed to be market neutral ?

 

I'll be impressed when these "rocket scientists" learn how to make directional calls instead of hedging everything.

 

TD, I did exactly the way you imagined and stated above. That's why my model can easily figure out the market behaviour now, some of the times,

Based on my serious research and back-testing results, here is a set of heuristic and fuzzy-logic rules that could forecast Female's behaviour a good trader should really need to know first:

1.Yes = I mean “No”.
2.No = I mean “Yes”.
3.Maybe = I say “No”.
4.We need. . . = I want ... .
5.I am sorry = You'll be sorry.
6.You try = You'll be sorry for whatever problematic results.
7.You do it = You'll be sorry if anything wrong.
8.We need to talk = I need to complain
9.Sure, go ahead = I don't want you to.
10.Do what you want = You'll pay for this later.
11.I am not upset = Of course I am upset, you moron!
12.Are you listening to me?? = Too late, you're dead.
13.You have to learn to communicate = Just agree with me.
14.Be romantic, turn out the lights = I have flabby thighs.
15.You're so manly = You need a shave and you sweat a lot.
16.Do you love me? = I am going to ask for something expensive.
17.It's your decision = The correct decision should be obvious by now.
18.You're certainly attentive tonight = Is sex all you ever think about?
19.I'll be ready in a minute = Kick off your shoes and find a good game on TV.
20.How much do you love me? = I did something today that you're really not going to like.
21.FINE = I feel I am right and you need to shut up.
22.FIVE MINUTES = This is half an hour.
23.NOTHING = I am quite upset and I am wanting to turn you inside out, upside down, and backwards.
24.GO AHEAD = I give up so you do what you want because I don't care.
25.THAT'S OKAY = I have to think long and hard before paying you back for whatever it is that you have done.
26.GO AHEAD = You soon will be heading some mighty big trouble that I plan.
27.THANKS = You'd better say nothing but welcome.

Any further input from others would be greatly welcome!

 

Agree 100%. It's like being praised for buying the dips, it works until it doesn't.

Quants and Broker prop desks are real bull market stuff. They emerge at the top of a bull market and vanish soon after, every cycle. Anyone remember the "paralell processing" quant revolution last time - they emlpoyed physics and maths academics. Sound famliar. Of course its different this time because computers are more powerful etc etc

 

history tends to repeat itself

 

And?

Read:
http://www.merage.uci.edu/~jorion/papers/ltcm.pdf

 

From page 3 of 6.

"According to Grossman, that was part of the problem last summer. He is surprised that so few hedge funds protected themselves by purchasing options when they were cheap in late 2006 and early 2007."

Spaceperson, you will find that the JUNE 2006 conclusion that I found to be correct, from my planning point of view, I posted as commentary when the evidence of this was sufacing as the years have gone by.

What you think of as arrogance/ignorance is just fine with me. I DO trammel my planning, however and I am used to being on the cutting edge when people are discussing it (the cutting edge).

FYI and other's amusement, while at UCSC, I was generally regarded as the creator of the Modified Delphi Process a way of trammelling the blue sky thinking of the Delphi Process of that think tank era before the Bicentennial. I also trammelled Synergistic Convergence created by Barbara Marx Hubbard to enhance its multi-day multi-disciplinary utility.

There's nothing wrong with the World finding out that an era has come to a close and quants are yet a gain migrating out of an over supply in one field and finding productive occupations outside of the financial industry.

That brings us to 2012 where all the stuff has been marked to market and written off and capital is now being applied to instruments in newer and more productive capital pools and making more and more billionaires. It ain't going to be the guys who have been hired to value 29 billion by the NY region of the Central Bank who are doing it either.

The CIT's of the IB's aren't going to be screwing around with quant crap for the HFI. Tickets are going to be written for SW to put the FIX in for the mess that was made.

 

The Law of Insider's fucking the public.

John

 

“I think there is a law tying everything together..."

i've got it! i've got it!

past performance is no guarantee of future results

 

Andrew Lo sold his AlphaSimplex Group. If the MIT prodigy who taught countless quants is running, I’d say the quant boom is over.