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  • Mar 29, 2023 datascience 

    ChatGPT, OpenAI, and the Generative AI Revolution

    I think it’s comparable in scale with the Industrial Revolution or electricity — or maybe the wheel. - Geoffrey Hinton

    Any sufficiently advanced technology is indistinguishable from magic. - Arthur C. Clarke

    GPT is a transformer so smart / That can write like a human or a bard / It can answer your queries / Or make stories so eerie / That you’ll wonder if it has a heart - GPT

  • Feb 12, 2023 datascience 

    NYC Subways and the Terrible, Horrible, No Good, Very Bad, Turnstile Data

    The future ain’t what it used to be. - Yogi Berra

    NYC Subway entries

  • Jan 22, 2023 datascience 

    Numbers With Wings: A Modern Data Stack-In-A-Box

    Not everything that counts can be counted, and not everything that can be counted counts. - Albert Einstein

    There are three kinds of people: those who can count, and those who can’t. - Source unknown

    NYC Subway entries

  • Dec 17, 2022 politics 

    Kant, Nietzsche, Elon Musk, SBF, wokeness, and the categorical imperative

    I beseech you, in the bowels of Christ, think it possible you may be mistaken. - Oliver Cromwell

  • Nov 26, 2022 datascience 

    Time Series Analysis In Theory
    • A regular time series is a function from integers to real numbers: \(y_t = f(t)\).
    • Many useful time series can be specified using linear difference equations like \(y_t = k_1y_{t-1} + k_2y_{t-2} + \dots + k_ny_{t-n}\)
    • This recurrence relation has a characteristic equation (and matrix representation), whose roots (or matrix eigenvalues) can be used to write closed-form solutions like \(y_t=ax^t\).
    • Any time series combining exponential growth/decay and sinusoidal components can be modeled by a linear difference equation or its matrix representation.
    Figure 1.
    Fig. 1. Possible regimes for a 2nd-order linear difference equation with complex eigenvalues

  • May 16, 2022 datascience 

    How I learned to stop worrying and love PCA: The optimal threshold for PCA dimensionality reduction

    PCA is an essential data science tool which uses the SVD to break down the linear relationships in data. The Gavish-Donoho optimal truncation threshold provides a simple formula to select a good threshold for dimensionality reduction.

    Figure 1.
    Fig. 1. A random 2D data set with singular vectors scaled by singular values

  • Apr 16, 2022 blockchain  tech 

    Crypto systems, iron laws, and levels of resilience

    Meditating on practical open distributed computing, how to build un-take-down-able apps like Web3 but without permissionless blockchains.

  • Mar 29, 2021 datascience 

    The AI Hierarchy of Needs

    The perpetual challenge is building upper tiers before lower tiers are 100%, and strengthening lower tiers without breaking upper tiers. /assets/2021/pyramid.png

  • Feb 19, 2021 investing 

    Optimal Safe Withdrawal for Retirement Using Certainty-Equivalent Spending, Revisited

    Revisiting Bengen’s “4% Rule” at various levels of risk aversion, and generalizing beyond a simple fixed-withdrawal, no-shortfall rule, to flexible rules at different levels of risk aversion.

  • Jan 14, 2021 politics 

    What I would have written if I were Jack Dorsey

    “Our decision to permanently suspend Donald Trump from the Twitter platform, may be a major inflection point in Twitter’s history. As CEO, I owe our users and employees a clear statement of why we took this action and how this decision evolved, i.e. not just some pablum about what a hard decision and potentially dangerous decision it was.”

  • Dec 6, 2020 datascience  markets  investing 

    Demystifying Portfolio Optimization with Python and CVXOPT

    Efficient frontier

    Do you want to do fast and easy portfolio optimization with Python? Then CVXOPT, and this post, are for you! Here’s a gentle intro to portfolio theory and some code to get you started.

  • Oct 12, 2020 datascience 

    Beyond Grid Search: Using Hyperopt, Optuna, and Ray Tune to hypercharge hyperparameter tuning for XGBoost and LightGBM

    RandomizedSearch HPO vs. Bayesian HPO

    Bayesian optimization of machine learning model hyperparameters works faster and better than grid search. Here’s how we can speed up hyperparameter tuning using 1) Bayesian optimization with Hyperopt and Optuna, running on… 2) the Ray distributed machine learning framework, with a unified API to many hyperparameter search algos and early stopping schedulers, and… 3) a distributed cluster of cloud instances for even faster tuning.

  • Aug 27, 2020 datascience 

    Deploy a Microservice to AWS Elastic Container Service: The Harder Way and the Easier Way

    A while back I made this Pizza service weekend project and I thought I could just press a button in AWS and deploy it in the cloud. It turned out to be… more complicated. With the latest version of Docker it’s getting easier. Here’s the harder (old) way and the easier (new) way. After some configuration, you can just say docker compose up and your container is deployed.

  • Jul 20, 2020 datascience 

    Cookie Cutter Machine Learning with Docker

    A Docker configuration for machine learning

  • Jul 9, 2020 poker  books 

    The Biggest Bluff: She Stoops To Conquer

    The Biggest Bluff, by Maria Konnikova (cover art)

    I loved The Biggest Bluff: How I Learned to Pay Attention, Master Myself, and Win, by Maria Konnikova.

  • Feb 26, 2020 datascience  investing 

    Deep Reinforcement Learning For Trading Applications (Alpha Architect)

    Observing one reinforcement learning episode of stock trading

    Reinforcement learning is a machine learning paradigm that can learn behavior to achieve maximum reward in complex dynamic environments, as simple as Tic-Tac-Toe, or as complex as Go, and options trading. In this post, we will try to explain what reinforcement learning is, share code to apply it, and references to learn more about it. First, we’ll learn a simple algorithm to play Tic-Tac-Toe, then learn to trade a non-random price series. Finally, we’ll talk about how reinforcement learning can master complex financial concepts like option pricing and optimal diversification.

  • Jan 7, 2020 datascience  investing 

    Forecasting US Equity Market Returns with Machine Learning (Alpha Architect)

    Image source: https://www.valuewalk.com/wp-content/uploads/2017/07/SSRN-id2983860.pdf

    Shiller’s CAPE ratio is a popular and useful metric for measuring whether stock prices are overvalued or undervalued relative to earnings. Recently, Vanguard analysts Haifeng Wang, Harshdeep Singh Ahluwalia, Roger A. Aliaga-Díaz, and Joseph H. Davis have written a very interesting paper on forecasting equity returns using Shiller’s CAPE and machine learning: “The Best of Both Worlds: Forecasting US Equity Market Returns using a Hybrid Machine Learning – Time Series Approach“, which effectively applies machine learning to an import investing problem. Image source: Improving U.S. stock return forecasts: A “fair-value” CAPE approach, Joseph Davis, et al. (2017)

  • Oct 15, 2019 datascience 

    Understanding Classification Thresholds Using Isocurves

    Four isocurve plots

    As a data scientist, you might say…“A blog post about thresholds? It’s not even a data science problem, it’s more of a business decision.” And you would not be wrong! Threshold selection lacks the appeal of say, generative adversarial networks.

  • Sep 7, 2019 bitcoin  blockchain 

    Why Blockchain Is (Mostly) Useless
      Strong State
    Able to repress crypto
    Weak State
    Unable to repress crypto
    High trust society
    Low demand for crypto
    USA
    Europe
    Japan
    ??? Island paradises ???
    Polynesia?
    Bhutan?
    Low trust society
    High demand for crypto
    China
    North Korea
    Venezuela
    Somalia

    Cryptocurrencies are useless. They’re only used by speculators looking for quick riches, people who don’t like government-backed currencies, and criminals who want a black-market way to exchange money. - Bruce Schneier

  • Jun 7, 2019 economics 

    There ain't no such thing as a free option

    I would not give a fig for the simplicity this side of complexity, but I would give my life for the simplicity on the other side of complexity. - Oliver Wendell Holmes

  • Mar 31, 2019 tech 

    On the end of the StreetEYE experiment.

    The StreetEYE news aggregator experiment came to an end on 3/31/2019. Many thanks for supporting StreetEYE over the years!

  • Feb 4, 2019 economics  markets 

    How I learned to stop worrying and love quantitative tightening

    Many people are talking about ‘quantitative tightening’ and ‘balance sheet reduction’, and some people are blaming it for market volatility, discussed here, here, here. IMHO, blaming balance sheet reduction for market volatility is cargo cult mumbo jumbo.

  • Jan 5, 2019 fintwit 

    The Top 100 People To Follow For Financial News On Twitter, January 2019

    It’s been more than a year since we posted our last list of people to follow on Twitter for financial news. Time for an update!

  • Dec 21, 2018 datascience  investing 

    Machine Learning Classification Methods and Factor Investing (Alpha Architect)

    In this piece, we review machine learning methods for classification. Then we apply classification to the classic value/momentum factors (spoiler: the results are a bit too good).

  • Sep 29, 2018 datascience 

    Jupyter Notebook on an AWS instance

    This is a tutorial on running Jupyter Notebook on an Amazon EC2 instance. It is based on a tutorial by Chris Albon, which did not work for me immediately (itself based on a tutorial by Piyush Agarwal). But I tweaked a few things and got it working.

  • Aug 25, 2018 books 

    What I Learned From Watching The Sting And Reading David Maurer

    Wall Street never changes, the pockets change, the suckers change, the stocks change, but Wall Street never changes, because human nature never changes. _ Jesse Livermore

  • Jul 29, 2018 tech 

    The Most Shared Financial Blogs 2018

    About once a year I’ll post the top Twitter accounts to follow. It’s a fun piece of social media analytics, and I’ll try to do it again later this year, after seeing if I can sidestep Twitter’s efforts to cut me off.

  • Jun 5, 2018 datascience  investing 

    Machine Learning for Financial Market Prediction — Time Series Prediction With Sklearn and Keras (Alpha Architect)

    We explore the paper “Dynamic Return Dependencies Across Industries: A Machine Learning Approach”, by David Rapach, Jack Strauss, Jun Tu and Guofu Zhou, and then try to improve the results with more sophisticated machine learning approaches.

  • May 19, 2018 economics 

    Losing the meta-game

    I suggest a new strategy, R2. Let the Wookiee win._ _ C3PO

  • Feb 19, 2018 datascience 

    Quantitative Fun With Fund Names

    Word cloud There are a number of hard problems in investing, for instance: 1) Finding alpha. 2) Finding clients and assets — especially if you can’t 1) consistently find alpha. 3) Finding an awesome name for your fund. The investing blogosphere is all over the first two. Now, for something completely different, we help you with the last one!

  • Dec 13, 2017 bitcoin  blockchain 

    The Bitcoin crash is coming

    Bitcoin inventor Satoshi Nakamura closely monitors the launch of Bitcoin futures (photo via @vexmark)

  • Oct 8, 2017 politics 

    Guns

    Here’s a Sunday rant on guns.

  • Sep 27, 2017 datascience  investing 

    Machine Learning for Investors: A Primer (Alpha Architect)

    If you are out to describe the truth, leave elegance to the tailor. - Albert Einstein

  • Aug 6, 2017 random 

    A Google teachable moment, or the end of Western civilization?

    This anti-diversity manifesto has been making the rounds, with calls to avoid “socially engineering” diversity in response to “veiled left ideology”, to “de-moralize diversity”, to “de-emphasize empathy”, to “prioritize intention”, and to “be open about the science of human nature” which is claimed to confirm a lot of right-wing priors and stereotypes.

  • Jul 23, 2017 economics 

    UBI, health care, welfare economics and asshole economics

    People sometimes ask me what I think about Universal Basic Income (UBI).

  • May 8, 2017 fintwit 

    The Top 100 People To Follow To Discover Financial News On Twitter, May 2017

    I posted earlier about some of the trends in the financial Twittersphere. It’s been a year since we posted our last list of people to follow on Twitter for financial news. Time for an update!

  • Mar 30, 2017 social 

    Rethinking the marketplace of ideas

    I was recently listening to Fred Wilson and Howard Lindzon talk about, among others, news sources and curation, which is a topic dear to my heart. (Which I wrote about before here and here).

  • Feb 19, 2017 social  fintwit 

    Come back Kelly Evans! We'll be good this time! I promise!

    If we’d been born where they were born and taught what they were taught, we would believe what they believe. _ attributed to Abraham Lincoln. A digressive rant on the rot in the financial Twittersphere in the Trump era.

  • Feb 5, 2017 fintwit 

    Some fun data-mining of StreetEYE headlines

    Belated end-of-year roundup.

  • Jan 12, 2017 politics 

    Is Silicon Valley Truly Libertarian? Is Politics Society's OS, Ripe For Disruption?

    A hero is someone who understands the responsibility that comes with his freedom. _ Bob Dylan

  • Dec 29, 2016 markets 

    Buyer’s markets, seller’s markets and the hedge fund hype cycle

    First come the innovators…Then come the imitators…And then come the idiots — Warren Buffett

  • Nov 28, 2016 politics 

    "Fake news", market designs, and the fascist/libertarian nexus

    Arbitrary power is most easily established on the ruins of liberty abused to licentiousness. - George Washington.

  • Nov 13, 2016 datascience 

    Everyone lives in a bubble, and all models are overfitted

    I beseech you, in the bowels of Christ, think it possible you may be mistaken. - Oliver Cromwell

  • Aug 28, 2016 investing 

    Safe Retirement Spending Using Certainty Equivalent Values and TensorFlow

    Certainty equivalent value is the concept of applying a discount to a stream of cash flows based on how variable or risky the stream is…like the inverse function of the risk premium.

  • Aug 20, 2016 politics 

    The Game Theory of Assholes

    The reasonable man adapts himself to the world; the unreasonable one persists in trying to adapt the world to himself. Therefore, all progress depends on the unreasonable man. - George Bernard Shaw

  • Jul 31, 2016 economics 

    Pokémon economics, secular stagnation, and cognitive dissonance

    There are these two young fish swimming along, and they come across an older fish swimming the other way, who nods at them and says, “Morning, boys, how’s the water?” And the two young fish swim on for a bit, and then eventually one of them looks over at the other and goes, “What the hell is water?” David Foster Wallace

  • Jul 8, 2016

    A fun 3D visualization of the financial Twittersphere

    Here’s a fun little update of that visualization of the financial Twittersphere I posted in May. This one is in 3D, you can zoom (with scroll wheel) and drag it around (with mouse, also see controls in top right).

  • Jul 2, 2016

    Negative interest rates are an unnatural abomination

    Mayor: What do you mean, “biblical”?

  • Jun 9, 2016 politics 

    Hillary’s damn emails

    The soldier who loses his rifle faces harsher punishment than the general who loses the war. — Anonymous soldier

  • May 1, 2016 fintwit 

    The Top 100 People To Follow To Discover Financial News On Twitter, May 2016

    It’s been a year since we posted our last list of people to follow on Twitter for financial news. Time for an update!

  • Mar 6, 2016 politics 

    A possibly ill-conceived rant on race in America

    There is no racial bigotry here. I do not look down on n******s, kikes, wops or greasers. Here, you are all equally worthless. _ Gunnery Sergeant Francis Hartman

  • Feb 16, 2016 investing 

    What if everyone was a passive investor except Warren Buffett?

    This is a slightly extended “director’s cut” of a post written for CFA Institute Enterprising Investor.

  • Jan 24, 2016 datascience 

    Narratives Are Powerful, But Check the Math

    The first principle [of scientific inquiry] is that you must not fool yourself – and you are the easiest person to fool _ Richard Feynman

  • Jan 1, 2016 tech  infosec  blockchain 

    iPhone Backdoors for the FBI, a blockchain approach for transparent due process, and why it’s a bad idea

    The national security complex is putting on the full court PR press for encryption back doors. See here and here. Basically this is about giving someone a TSA lock to your phone and promising to keep it really really safe unless a legit law enforcement request is received. Of course, legitimacy is in the eye of the beholder.

  • Dec 29, 2015 fintwit 

    The most popular keywords and sites of 2015

    Here’s a word cloud of StreetEYE headlines in 2015 (click to embiggen).

  • Nov 16, 2015 tech 

    The End of the PC? On Intel’s Apple and ARM problems

    apple-iphone-6s-live-_0752.0Tim Cook has been running around heralding the end of the PC. A self-serving assessment, but Intel and the PC ecosystem are going to struggle to maintain their traditional relevance. In this post, I will look at 1) the narrowing Intel/ARM performance gap, and 2) what the ‘end of the PC’ might look like.

  • Oct 10, 2015 economics 

    Is China’s sale of Treasurys ‘quantitative tightening’ for the US?

    There’s this notion going around that since the Fed buying Treasurys was QE, therefore China selling Treasurys constitutes monetary tightening. Nope. The root cause of the disequilibrium and resulting capital flows is capital flight from China to the US.

  • Sep 28, 2015 investing 

    The tontine: funny French name, brilliant idea

    A hard problem in retirement planning is a safe spending rate, so you don’t outlive your money.

  • Sep 5, 2015 politics 

    God help us

    A rant on politics for a Labor Day weekend.

  • Aug 30, 2015 investing 

    Smart Beta: Maybe Smart, But Definitely Not Beta

    A donut with no hole, is a danish. Ty Webb

  • Aug 11, 2015 poker 

    The Mathematics of Bluffing

    A quick post about poker! That seemingly simple, deceptively complex game with a number of interesting parallels to investing. I just watched the MIT lectures on ‘Poker Theory and Analytics,’ an ‘Independent Activities Period’ mini-course, and for our mutual amusement, I worked through the math on bluffing, which is an interesting problem I had never done the full deep dive into. Here it is, including a Mathematica notebook.

  • Jul 18, 2015 euro 

    Through the Looking Glass

    Curiouser and curiouser! — Alice in Wonderland. Having written about Greece the last couple of weeks, why stop now?

  • Jul 11, 2015 euro 

    The Garbage Fire That is Greece

    So, last week I said, Greece was getting booted out of the eurozone.

  • Jul 3, 2015 euro 

    4 blinding glimpses of the obvious on Greece

    More than any time in history mankind faces a crossroads. One path leads to despair and utter hopelessness, the other to total extinction. Let us pray that we have the wisdom to choose correctly. — Woody Allen

  • May 16, 2015 politics 

    Why does everyone hate libertarians?

    Rightful liberty is unobstructed action according to our will within limits drawn around us by the equal rights of others. Thomas Jefferson

  • May 9, 2015

    Don’t feed the trolls

    There will always be those who mean to do us harm. To stop them, we risk awakening the same evil within ourselves. — James T. Kirk_

  • Apr 26, 2015 economics 

    Are food stamps Walmart subsidies, and should the minimum wage be $15?

    There are a thousand hacking at the branches of evil to one that is striking at the root, and it may be that he who bestows the largest amount of time and money on the needy is doing the most by his mode of life to produce that misery which he strives in vain to relieve. – Henry David Thoreau

  • Apr 20, 2015

    The Top 100 People To Follow On Twitter For Financial News

    A couple of days ago I posted Mapping the Financial / Media Twittersphere, an illustration of the Twitter accounts that are most central for financial news.

  • Apr 17, 2015 fintwit 

    Mapping the Financial / Media Twittersphere

    The good folks at Captain Economics did a great post a couple of weeks back on ‘The Economics Twitosphere Top 100 Influential Users’.

  • Apr 12, 2015 economics 

    Why Are There Recessions And Business Cycles?

    To everything, turn, turn, turn. There is a season, turn, turn, turn. And a time to every purpose under heaven. The Byrds, by way of Ecclesiastes

  • Apr 5, 2015 investing 

    Gold as Part of a Long-Run Asset Allocation (update)

    You have to choose between trusting to the natural stability of gold and the natural stability of the honesty and intelligence of the members of the government. And, with due respect to these gentlemen, I advise you, as long as the capitalist system lasts, to vote for gold. - George Bernard Shaw

  • Mar 30, 2015 investing 

    Good risks and bad risks

    Matthias Steiner, Beijing 2008. Pain is weakness leaving the body, and/or your central nervous system telling you you’re about to die. - source unknown

  • Feb 26, 2015 economics  tech 

    ‘Net neutrality’, Netflix vs. the cable monopoly, and the Internet profits tax

    Really, the way to understand ‘net neutrality’ is it’s all about Netflix. The cable companies are outraged and scared to death about Netflix. If you’ve tried a Roku Internet TV appliance (or Apple TV, or Google Chromecast, or Amazon Fire TV), it’s a 10x user experience improvement on a cable box. For less money.

  • Feb 20, 2015 economics 

    Andreessen v. Summers: Can you have robots, hoverboards, and secular stagnation?

    Diane Coyle says you can have either robots, or secular stagnation, but not both. In a somewhat confused tweetstorm, Marc Andreessen says secular stagnation is BS. Larry Summers, who is one of the guys behind the secular stagnation hypothesis, responds. But then, confusingly, is reported to agree with Coyle.

  • Feb 5, 2015

    Game theory, Bill Belichick, Neville Chamberlain

    There are some people that will be deterred by the fact that we have nuclear weapons… But those people are the folks we can deal with anyway. — General Charles Horner. Sometimes it pays to be irrational, to do the unexpected like pass on 2nd and 1, to catch the defense by surprise. If one believes the evil genius of Belichick, he got inside Carroll’s OODA loop, he psyched Carroll into calling it and anticipated him.

  • Feb 1, 2015 economics 

    A Greece reading list (Or why the euro is doomed)

    Time converts the improbable to the inevitable – Stephen Jay Gould. [TL;DR 50% odds Greece leaves euro this year. Odds eurozone breaks up eventually: ~100%]

  • Jan 27, 2015 tech 

    PCs Were the Triumph of the Nerds; iPhone is the Revenge of the Cool Kids

    download*Apple reported a blowout iPhone 6 launch quarter. In fact, reportedly the largest quarterly profit ever reported by a public company. I had a feeling they would blow away expectations, the iPhone 6 looks and feels great, it’s a must-have upgrade. *

  • Jan 23, 2015 tech 

    The Dark Web Stack, Or How To Eff Up The Net

    Do You Want To Eff Up The Net? Because That's How You Eff Up The NetAn interesting dive into “Deep Web Marketplaces” by the folks at avc.com and USV. You have a choice of trusting the natural stability of gold or the honesty and intelligence of members of the government, and with all due respect to these gentleman, I advise you as long as the capitalist system lasts, vote for gold. – George Bernard Shaw

  • Jan 4, 2015 tech  economics 

    UberFail - a few thoughts on Uber

    To lose one parent, Mr. Worthing, may be regarded as a misfortune; to lose both looks like carelessness. _ Oscar Wilde, The Importance of Being Earnest

  • Oct 21, 2014 economics 

    A Piketty counterargument: Is r > g a reasonable assumption?

    A thought experiment: If you could buy an asset that returned the GDP growth rate, would you, should you do it?

  • Oct 5, 2014 investing 

    Risk: Visualizing Diversification With Risk Triangles

    In this post we’re going to look at a simple way to visualize the power of diversification, and what correlation really tells us.

  • Sep 28, 2014 investing 

    Risk: Why is volatility used to measure risk?

    Volatility is a proxy for how risky Mr. Market thinks an asset is.

  • Jan 22, 2014 investing 

    Retirement plans that maximize certainty-equivalent spending (conclusion)

    In part 1 and part 2, we developed a framework for evaluating and identifying a good plan for retirement spending and asset allocation.

  • Jan 19, 2014 investing 

    Retirement plans that maximize certainty-equivalent spending, part 2

    Last time we solved the problem of the perfect retirement spending plan, assuming a fixed known real return, and a CRRA utility function.

  • Jan 8, 2014 investing 

    Optimal certainty-equivalent spending retirements with DataNitro

    *Let’s see if we can come up with an ideal spending plan for a retirement, if you have a guaranteed annual return, for different levels of risk aversion. *

  • Dec 29, 2013 bitcoin  blockchain 

    Bitcoin is the Linux of payments. And its killer apps will be for US dollars.

    bernanke-ronpaulI was scanning the news the other day, and someone on Hacker News mentioned that half the items above the fold on StreetEYE were about Bitcoin. And I said to myself, I haven’t seen the neckbeards this excited since the early days of Linux. And it hit me, Bitcoin is the new Linux.

  • Nov 24, 2013 bitcoin 

    Why Bitcoin is here to stay

    Bitcoin Magazine. In 2011 I blogged about why Bitcoin is a Ponzi scheme doomed to fail.

  • Oct 28, 2013 tech 

    Amazon is making money

    Amazon founder Jeff Bezos starts his High Orde... Profits, like sausages… are esteemed most by those who know least about what goes into them. Alvin Toffler

  • Oct 1, 2013

    The StreetEYE manifesto

    Rogue Trader (film)“Being good…is not good enough! Everyone must be connected to our strategy, or we will find you, and weed you out! Information arbitrage is our business. If you don’t know what an information curve is, then find out! Position yourself in an information curve. Dominate the curve! Nick Leeson, who most of you know and all of you have heard of, runs our operation in Singapore, which l want all of you to try to emulate.” — Ron Baker, in Rogue Trader (1999)

  • Aug 13, 2013

    Obama goes all-in on Inspector Clouseau for the Fed

    Peter Sellers as Chief Inspector Clouseau in t... So, the Obama Administration is ‘all-in’ on Summers, despite nearly everyone who hasn’t worked for him (and a number who have) thinking he’s not the best candidate.

  • Aug 2, 2013 poker  investing 

    Risk arbitrage _ Investing and poker

    When I was young people called me a gambler. As the scale of my operations grew, I became known as a speculator. Now I am called a banker. But I have been doing the same thing all the time. - Ernest Cassel

    To win, you must understand the game, you must understand the players, and above all you must understand yourself. - Source unknown

  • May 15, 2013 investing 

    “Cat Food” Revisited: Final Thoughts - Part 4

    Here is the long-awaited conclusion to the wonky 4-part discussion of safe retirement spending. We went pretty far down the rabbit hole, and I think the conclusions are useful.

  • Feb 18, 2013 investing 

    ‘Cat Food’ revisited – testing dynamic spending rules – Part 3

    In the last part of our look at dynamic rules for spending in retirement, we discussed how changing the allocation between stocks and bonds affects the maximum sustainable spending rate. We can summarize this relationship by plotting the highest feasible initial spending rate for any acceptable shortfall level.1

  • Feb 3, 2013 investing 

    ‘Cat Food’ revisited – testing dynamic spending rules – Part 2

    The last post discussed a framework for evaluating simple dynamic spending rules.

  • Jan 25, 2013 investing 

    ‘Cat Food’ revisited: testing dynamic spending rules - Part 1

    How much can you safely spend out of a portfolio in retirement? Spend conservatively and you may be unnecessarily curbing the lifestyle and aspirations of you and your loved ones. Overspend and risk a shortfall and painful adjustment - in the extreme, the (hopefully apocryphal) “cat food” diet.

  • Jan 18, 2013 investing 

    What’s the worst that could happen?

    It’s not whether you get knocked down, it’s whether you get up. Vince Lombardi

  • Jan 5, 2013 tech 

    ‘Big Data’

    If ‘The Graduate’ were made today, Benjamin Braddock might hear a well-meaning uncle stage-whisper ‘Big Data’ instead of ‘Plastics.’ (Runners-up: ‘The Cloud’, ‘Social Discovery’, ‘Gamification’, the list goes on.) ‘Big data’ is a buzzword that people throw around a lot. What does it mean? Large data sets are not new. The IRS, the Census, Walmart, money center banks have always had big data sets. What’s changed?

  • Dec 30, 2012 social 

    What I Learned

    I didn’t really post as much as I would have liked this year.

  • Nov 4, 2012 economics 

    Social capital, or the lost art of not taking a dump in the community pool

    Everybody talkin’ to their pockets / Everybody wants a box of chocolates / And a long-stemmed rose - Leonard Cohen

  • Nov 1, 2012

    Broken Windows

    English: Aerial view of roadbed collapse near ...So, some people are talking about Hurricane Sandy putting people back to work, and others are pointing out that this is the ‘broken windows fallacy.’ True, a massive superstorm is usually not a good thing. Nevertheless, three quick points.

  • Aug 12, 2012 economics 

    The Paul Ryan plan

    The Paul Ryan plan ‘Promotes saving by eliminating taxes on interest, capital gains, and dividends; also eliminates the death tax.’

  • Jun 5, 2012 economics  euro 

    A Target2 Thought Experiment

    There has been a lot of controversy about this process, and the notion that Germany will get stuck with massive losses if, following massive capital flight now in progress to Germany, the peripheral countries leave the euro.

  • May 16, 2012 economics  euro 

    Domino on the edge

    “The crisis takes a much longer time coming than you think and then it happens much faster than you would have thought.” Rudiger Dornbusch.

  • Apr 29, 2012 tech 

    Startup Growth v. Revenue

    Nick Bilton points to the lack of revenue at startups as signs of a bubble.

  • Mar 25, 2012

    How to Create the Ultimate Linkfest

    At Linkfest.com, we love linkfests so much we named our website after them. When a knowledgeable professional is dedicated enough to get up at an ungodly hour to make an up-to-the-minute reading list for us, that just shows true love for the craft of investing, the game, and the readers. It just makes us warm and fuzzy.

  • Mar 3, 2012 economics 

    The Money Illusion

    Irving Fisher (1867–1947) Irving Fisher is mostly remembered, a bit unfortunately, for writing that stock prices were at a permanently high plateau…right before the Great Crash of 1929. He also invented the Rolodex, pioneered early economic statistics-gathering, wrote of the Fisher money equation PY=MV and the Fisher debt-deflation cycle. (See Sylvia Nasar’s Grand Pursuit - interesting but wouldn’t consider it must-read.)

  • Feb 27, 2012 social 

    The New Information Diet: Web and Social Media Best Practices For Investors

    The History of every major Galactic Civilization tends to pass through three distinct and recognizable phases, those of Survival, Inquiry and Sophistication, otherwise known as the How, Why, and Where phases. For instance, the first phase is characterized by the question ‘How can we eat?’ the second by the question ‘Why do we eat?’ and the third by the question ‘Where shall we have lunch?” Douglas Adams

  • Feb 22, 2012 tech 

    Steve Jobs, by Walter Isaacson

    Finally got around to reading the Steve Jobs bio by Walter Isaacson. It’s must read for anyone involved in the tech business. Some slightly less charitable takes: John Gruber is all I Am Disappoint there aren’t more insights into the products and strategy. Self-described underemployed writer Maureen Tkacik notes that Jobs was a Machiavellian liar, exploiter, and control freak.

  • Feb 13, 2012 investing 

    Buffett, Stocks, Bonds, Gold

    Warren Buffett contributed a Fortune article with his customary paean to the virtues of stocks over the long term. There is some worthy discussion from John Hempton and the pseudonymous Kid Dynamite.

  • Feb 4, 2012 tech  social 

    Is Facebook Worth $100B?

    Since everyone else is playing the Facebook valuation parlor game, here is a stab at it.

  • Jan 23, 2012 investing 

    Are long term asset class relationships stable?

    Last week, we looked at gold as part of a long-term asset allocation. I was curious about how stable those relationships would be over time, so I ran the same plots, starting from different inflection points.

  • Jan 18, 2012 investing  datascience 

    Portfolio Optimization and Efficient Frontiers in R

    If you want to frustrate someone for a day, give them a program. If you want to frustrate them for a lifetime, teach them how to program.

  • Jan 17, 2012 investing 

    Gold as Part of a Long-Run Asset Allocation

    What does an efficient long-run portfolio look like for major US asset classes, and where does gold fit in?

  • Jan 4, 2012

    Over-The-Top Speculations

    Thinking about cord-cutting and over-the-top video like Netflix

  • Dec 23, 2011 markets  euro 

    2012: Toilet bowl or takeoff?

    Some drive-by thoughts on Europe:

  • Dec 10, 2011 euro 

    Once Again, Britain stands alone

    Two differing views on UK and the EC.

  • Dec 4, 2011 euro 

    Unstoppable Forces vs. Immovable Objects

    Titanic (1943 film) Europe is heading into yet another moment of truth this week, with a Merkozy summit and a new plan, an ECB meeting and likely interest rate cut, and a full EU summit starting Friday.

  • Nov 28, 2011 datascience 

    Why only millionaires should play Powerball

    The Lotto Powerball logoROCKY HILL, Conn. — Three asset managers from Connecticut’s affluent New York suburbs claimed a $254 million Powerball jackpot on Monday off a $1 ticket.

  • Oct 28, 2011 markets 

    Margin Call - A Big Sell Out

    Watched Margin Call last night on iTunes and woke up cranky. Here is a short list of things that it gets wrong about Wall Street.

  • Oct 16, 2011

    Occupying Ourselves

    Occupy New Yorker Cover 10/24/2011 Never doubt that a small group of thoughtful, committed citizens can change the world; indeed it’s the only thing that ever has. - Margaret Mead

  • Oct 6, 2011 tech 

    Steve Jobs, 1955-2011

    Steve Jobs was to tech like John Lennon was to music _ changed the game, launched a new era, had vision and integrity, was an inspiration to people.

  • Sep 26, 2011 markets 

    Apocalypse Now?

    Larry Summers: Daniel Ellsberg drew out the lesson regarding the Vietnam War…Policymakers acted without illusion. At every juncture they made the minimum commitments necessary to avoid imminent disaster — offering optimistic rhetoric but never taking steps that even they believed offered the prospect of decisive victory. They were tragically caught in a kind of no man’s land — unable to reverse a course to which they had committed so much but also unable to generate the political will to take forward steps that gave any realistic prospect of success.

  • Sep 17, 2011 markets 

    Deleveraging: A Parable

    It is a slow day in a small Irish town. The rain is misting and the streets are deserted. Times are tough, everybody is in debt, and having a hard time making ends meet, let alone climbing out of debt.

  • Sep 10, 2011 investing 

    The Efficient Atmospheres Hypothesis

    From his vantage point high above the earth in... A good analogy Of hurricanes and economic equilibrium.

  • Sep 2, 2011 tech 

    Random Tech Comments

    Wild and woolly couple of weeks in tech world ‘out with the old, in with the new.’

  • Aug 28, 2011 markets 

    Overhyped Economic Hurricane?

    With the S&P down 13% since July 7, and the 10-year rate down a point to barely over 2%, markets are discounting the double dip. They might be doing a great job of early warning, sensitive to faint aromas in complex crosscurrents of data. Or they might be wrong.

  • Aug 22, 2011 investing 

    ‘Cat Food’ In An Age of Diminished Expectations

    Tucked away in the neglected items in the ‘Tools’ menu above, you might have noticed the metaphorical ‘Cat Food Calculator’.

  • Aug 11, 2011 economics 

    Lucky Duckies and Red Herrings

    There’s a disingenuous meme being perpetuated by the grossly misinformed and cynical, that 50% of Americans get government benefits, but pay no taxes (the ‘lucky duckies‘, here and there and everywhere).

  • Jul 30, 2011 politics 

    State of Play

    We have been going through the stages of coming to terms with GOP berzerkers. 1. Denial: “They’re just posturing.” 2. Astonishment: “Wow, some of them are dumb enough to believe their own BS.” 3. Facepalm: “I can’t believe they’re actually going to do this.”

  • Jul 25, 2011 markets  economics 

    Fannie, Freddie, And The Causes Of The Financial Crisis

    Once again, people are debating here and here and here whether the GSEs like Fannie Mae and Freddie Mac caused the financial crisis.

  • Jul 16, 2011 markets 

    The debt limit and the bond market

    Sometimes the first duty of intelligent men is the restatement of the obvious. - George Orwell

  • Jun 29, 2011 investing  markets 

    ETFs: Get Off My Lawn!

    The greater the institution, the greater the chances of abuse. - Mohandas K. Gandhi

  • Jun 21, 2011 bitcoin 

    The Great Bitcoin Robbery

    Bitcoin is a fascinating experiment: digital currency that doesn’t depend on a central authority.

  • Jun 7, 2011 datascience 

    100 traders, 100 boxes, part deux

    A math/probability problem I think is awesome and counterintuitive, and may be instructive about financial markets: A hedge fund manager puts 100 traders in a room and instructs them: “On the trading desk, there are 100 boxes. Each box has one of your names. You can go [one at a time] onto the trading desk and open any 50 boxes you choose, to try to find your name. If every one of the 100 traders in this room finds his or her name, you will each get a $1,000,000 bonus. If anyone fails, I will crush all your $100,000 BMWs to create my modern art masterpiece. You can devise a strategy before anyone leaves the room, but once a trader has opened the boxes, you must leave the trading desk exactly as it was before you entered and cannot communicate with anyone else.”

  • Jun 1, 2011

    We make our tools, and then our tools make us

    Combat in Grand Theft Auto IV has been reworke... You didn’t change the game, the game changed you. Niko Bellic, Grand Theft Auto IV

  • May 25, 2011 investing 

    The bottom is always at least 10% below your worst case expectation

    Black Swan, Lake Monger, 2010. ‘Black swan’ is a term which is overused and under-understood.

  • May 15, 2011 economics 

    What is money?

    Plato *As far as the laws of mathematics refer to reality, they are not certain, as far as they are certain, they do not refer to reality. - Albert Einstein

  • May 7, 2011 china 

    6 Reasons Why There Will Be No Chinese Jasmine Revolution

    Ai Weiwei during documenta 12 (2007) The Chinese government has taken insecurity and paranoia up a notch in the wake of the Jasmine uprisings in the Arab world. They have ‘disappeared’ dissident artist Ai Weiwei and cracked down hard on human rights activists, meddlesome lawyers, and dissidents.

  • Apr 27, 2011 economics 

    Questions for Gentle Ben

    Official portrait of Federal Reserve Chairman ...A question for Ben Bernanke at today’s press conference:

  • Apr 19, 2011 economics 

    Can the US default on its debt?

    *The S&P rating downgrade was deservedly greeted as a big joke. *

  • Apr 18, 2011 euro  economics 

    From the unthinkable to the inevitable: why the Euro is doomed

    American economist Tyler CowenThe brilliant, provocative, and slightly mad GMU economist and blogger Tyler Cowen wrote his New York Times column about why the Euro zone is headed for breakup.

  • Apr 17, 2011 politics 

    Why I am not a libertarian

    Atlas Shrugged</a> I have been reading the poor reviews of Atlas Shrugged. I feel almost disappointed that it is by collective consensus a steaming turd. I would welcome a thoughtful movie about an interesting thought experiment, and I think the country could use a rare substantive debate about the size and role of government.

  • Apr 16, 2011 economics 

    ‘Bretton Woods 2’

    A lot of cool videos from INET’s Bretton Woods conference last week. Kind of like TED talks for econ supergeeks.

  • Apr 10, 2011 economics  markets  investing 

    Why I am not a true gold bug, and the gold standard isn’t coming back

    Let me say at the outset that I am bullish on gold in the long run. US demographics, politics, debt levels, harder-to-extract energy, peaking of globalization’s labor supply shock: all these point to inflation in the long run. And central bankers have not exactly covered themselves in glory lately. That being said, going back on the gold standard makes exactly as much sense as going back to horses and buggies. Here’s why.

  • Apr 6, 2011 tech 

    Tech Trends

    A few technology megatrends:

  • Apr 4, 2011 china 

    Red Capitalism, Potemkin Finance: Behind Facade Of Modern Buildings, Institutions, State Directs Dysfunctional Markets

    China’s remarkable growth continues _ China has apparently now passed the US in industrial production, with the world GDP title in its sights (see previous post).

  • Apr 3, 2011 china 

    China’s economy: future world domination, or paper tiger?

    China’s surge from basket case to the world’s factory is simply breathtaking. But the powerful rise has outpaced institutions that Westerners see as prerequisites to capitalism.

  • Apr 3, 2011 economics 

    Why did the Soviet Union collapse?

    A few years old, but new to me: an interesting perspective from Yegor Gaidar, reformist economist of the post-Gorbachev era.

  • Apr 2, 2011 china 

    China: society and politics, and what next?

    In the post-war period period (possibly throughout the dynasties), truth has been relative in China, while power has been absolute.

  • Apr 1, 2011 china 

    China: A history primer

    1937_Mao_Zhou_Bougu_Wang_Ming_in_Yan'an.jpgI spent March in Asia and trying to figure out China. Here is a quick summary mixed with a few conclusions and speculations.

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