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Michael Lewis: “Hey you kids get off my lawn”
Satyajit Das, naked capitalism, Flash Boys’ HFT Mumbo Jumbo. here. I’d say he is calling a top on Michael Lewis Financial prose. Makes Lewis sound like an old guy yelling at kids to get off his lawn.
Michael Lewis’ reputation as the intelligent public’s guide to the world of finance rests primarily on Liar’s Poker and The Big Short. The problem is that Mr. Lewis’ actual experience in finance was brief (as a bond salesman at Salomon Brothers) and also now dated (being over 25 years ago).
Cognitive Concord, In Which I Interview an HFT and Ask Him Some Tough Questions, here. He gets blurbs from Galen Burghardt and Peter Muller on the book’s Amazon page, pretty good.
Rishi Narang and his brother Manoj co-founded Tradeworx, a high frequency trading firm. Whenever you hear “inside-HFT” stories, Manoj is frequently one of the guys at the center, speaking candidly and transparently about it.
Rishi’s also the author of Inside the Black Box: A Simple Guide to Quantitative and High-Frequency Trading.
great, this should be good …
Yes, there’s clearly an asymptotic nature to the “race to zero latency,” but I’d say that the benefits to the market are not really connected to this question of picos-, nanos-, or millis-. Rather the benefits to the market are really a matter of the market being simply fast and electronic. The plateauing you’re talking about is there, but it’s in the marginal opportunities to get faster.
Social benefit, to me, is a very loaded term that I really hate. It stinks of subjective evaluations of merit. It makes me ask what the social benefits of cigarettes, nukes, Justin Bieber, Coca Cola, and Snickers bars are. And what the social benefit, for that matter, of anything else is. And who gets to decide it. And so on. Slippery slope, that one. Maybe there’s some standardized definition of this term that I don’t know, and which is less offensive.
Oh pretty pink perfection, now we got HFT, cigarettes, nukes, and Justin Bieber soup to talk about.
The Feynman Lectures on Physics, Volume I
Feynman-Leighton-Sands, The Feynman Lectures on Physics, Volume I, here. So this is free now.
Chapter 41. The Brownian Movement
41-1 Equipartition of energy
41-2 Thermal equilibrium of radiation
41-3 Equipartition and the quantum oscillator
41-4 The random walk
Probability and Statistics Cookbook
Matthias Vallentin, Probability and Statistics Cookbook, 2012, here. Ran into this again.
This cookbook integrates a variety of topics in probability theory and statistics. It is based on literature [1, 6, 3] and in-class material from courses of the statistics department at the Uni- versity of California in Berkeley but also influenced by other sources [4, 5]. If you find errors or have suggestions for further topics, I would appreciate if you send me an email. The most re- cent version of this document is available at http://matthias. vallentin.net/probability- and- statistics- cookbook/. To reproduce, please contact me.
Probability and Risk in the Real World and Clive James on Dan Brown
Nassim Nicholas Taleb, Probability and Risk in the Real world, here. Look out Harvard Psychologists, US Journalists, and Economists.
Clive James, Prospect, The heroic absurdity of Dan Brown, here. James is much rougher on Brown than Taleb is on the Economists. Maybe Taleb is conflicted about the Economists?
Dan Brown has no ear for prose at all, a handicap which paradoxically gives pathos, and even tenderness, to his attempts at evoking Sienna’s charm. He has no trouble evoking her brains. She has an IQ of 208 and at the age of four she was reading in three languages. You can picture the author at his desk, meticulously revising his original sentence in which, at the age of three, she was reading in four languages. Best to keep it credible. But how to register her beauty as an adult? Here goes: “Tall and lissom, Dr Brooks moved with the assertive gait of an athlete.”
Would that be the assertive gait of a Russian female weightlifter? Probably more like the assertive gait of the British pentathlete Jessica Ennis. Anyway, as usual with a bad writer, the reader has to do most of the imagining. A canny bad writer keeps out of the way so that the reader’s mind can get to work with its own stock of clichés, but Dan Brown shows deadly signs of an ambition to add poetry to his prose. Take, from quite early in the book, his chilling portrait of the beautiful female assassin who is stalking the heroic couple as they flee from one famous location in Florence to another. Later on they will flee from one famous location to another in other famous cities, notably Venice and Istanbul, but early on they are stuck in the famous city of Florence, being hunted down by the beautiful female assassin whose name is Vayentha. How can she be described, in view of the fact that all the “tall and lissom” adjectives have already been lavished on Sienna? Langdon looks out of the window, and there she is:
“Outside his window, hidden in the shadows of the Via Torregalli, a powerfully built woman effortlessly unstraddled her BMW motorcycle and advanced with the intensity of a panther stalking its prey. Her gaze was sharp. Her close-cropped hair—styled into spikes—stood out against the upturned collar of her black leather riding suit. She checked her silenced weapon, and stared up at the window where Robert Langdon’s light had just gone out.”
Springer Yellow Sale
Amazon, Springer Yellow Sale, here.
Save up to 50% off select Kindle and print editions of Springer math and science titles through July 31, 2013. See details.
The H and Slaves to the Algorithm
Andreas Stiller, The H, Processor Whispers: Of May and other cool things, here.
Numerous new processors, some of which had not been expected before the start of June, have shot up from the ground like asparagus or have been dug up with little effort. And also for mathematicians interested in number theory, this year’s May turned out to be quite merry indeed. Two proofs that mathematicians have long been searching for are now within reach: two of the four so-called Landau’s problems that the German mathematician Edmund Landau announced as “unattackable at the present state of science” at the International Congress of Mathematicians in Cambridge in 1912.
Heise Zeitschriften Verlag, here.
magazine for computer technology,
established in 1983, is one of the best-selling computer magazines in Europe and at the same time one of the most respected and recommended information sources for computer pros and ambitioned computer users.
Tom Whipple, Intelligent Life, Slaves to the Algorithm, here. Movie idea: Buddy movie called “Packets.” Chicago Vet (Al Pacino) and New York greenhorn (Jesse Eisenberg) find the meaning of life on the road while working as tower climbers for a Low Latency Trading Radio Frequency Communication startup. “Hoo Ha I’m just getting started” ,”Your June E Minis top of book are fucked (excuse my French) by temperature inversion in Parma, … Sir!” , yadda yadda yadda.
Nick Meaney has a better reason for believing that the stars are overpaid: his algorithm tells him so. In fact, he says, with all but one of the above actors, the studios are almost certainly wasting their money. Because, according to his movie-analysis software, there are only three actors who make money for a film. And there is at least one A-list actress who is worth paying not to star in your next picture.
The headquarters of Epagogix, Meaney’s company, do not look like the sort of headquarters from which one would confidently launch an attack on Hollywood royalty. A few attic rooms in a shared south London office, they don’t even look as if they would trouble Dollywood. But my meeting with Meaney will be cut short because of another he has, with two film executives. And at the end, he will ask me not to print the full names of his analysts, or his full address. He is worried that they could be poached.
Deconstruct Success Like a Thieving Magpie and SIFMA High Frequency Trading
Tobias Buckell, Survivorship bias: why 90% of the advice about writing is bullshit right now, here. via Big Picture
Survivorship bias pulls you toward bestselling diet gurus, celebrity CEOs, and superstar athletes. It’s an unavoidable tick, the desire to deconstruct success like a thieving magpie and pull away the shimmering bits. You look to the successful for clues about the hidden, about how to better live your life, about how you too can survive similar forces against which you too struggle. Colleges and conferences prefer speakers who shine as examples of making it through adversity, of struggling against the odds and winning.
SIFMA, High Frequency Trading, Post Crash Studies Matrix, April 2013, here.
Table of Contents
High-Frequency Trading Behaviour and its Impact on Market Quality: Evidence from the UK Equity Market (Bank of England Working Paper No. 469, 2012) ………. 5
The Trading Profits of High Frequency Traders (Baron, Brogaard, Kirilenko) ……… 5
Equilibrium High Frequency Trading (Biais, Foucault, Moinas, 2011) …… 5
High Frequency Trading (Biais, Woolley, 2011)…………….. 6
Financial Stability and Computer Based Trading (BIS: Paper 1, 2011) …….. 7
The Impact of Computer Trading on Liquidity, Price Efficiency / Discovery and Transaction Costs (BIS: Paper 2, 2011) …….. 7
The Impact of Technology Developments (BIS: Paper 3, 2011) ……………….. 8
Electronic Trading and Market Structure (BIS, 2011) ………………. 9
High-Frequency Trading in the Foreign Exchange Market (BIS, 2011) ……. 10
Swedish Financial Supervisory Authority (2012)…….. 10
Booklist: PAC and PLCC
Leslie Valiant, Probably Approximately Correct, here.
In 1947 John von Neumann, the famously gifted mathematician, was keynote speaker at the first annual meeting of the Association for Computing Machinery. In his address he said that future computers would get along with just a dozen instruction types, a number known to be adequate for expressing all of mathematics. He went on to say that one need not be surprised at this small number, since 1,000 words were known to be adequate for most situations in real life, and mathematics was only a small part of life, and a very simple part at that. The audience reacted with hilarity. This provoked von Neumann to respond: “If people do not believe that mathematics is simple, it is only because they do not realize how complicated life is.”
Andrew Appel et. al., Program Logics for Certified Compilers, here. If this works for a usable C compiler it’s Turing time in Ptown (not shared, one whole award).
An exciting development of the 21st century is that the 20th-century vision of mechanized program verification is finally becoming practical, thanks to 30 years of advances in logic, programming-language theory, proof assistant software, decision procedures for theorem proving, and even Moore’s law which gives us everyday computers powerful enough to run all this software.
We can write functional programs in ML-like languages and prove them correct in expressive higher-order logics; and we can write imperative programs in C-like languages and prove them correct in appropriately chosen program logics. We can even prove the correctness of the verification toolchain itself: the compiler, the program logic, automatic static analyzers, concurrency primitives (and their interaction with the compiler). There will be few places for bugs (or security vulnerabilities) to hide.
The Mongoliad: Book Two
Cesar Torres, Ars, How swords, track changes, and Amazon led to The Mongoliad: Book Two, here. These guys and Tears of Steel, I am just catching on to some kind of Open Source thing but I am not sure what it is.
Stephenson’s project recruited other established authors like Greg Bear, Erik Bear, Mark Teppo, and Nicole Galland. New sci-fi voices—like Joseph Brassey and Cooper Moo—were invited to create a community that could generate an epic story as a finished product.