inverse function
in [Lisp]
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From: Slobodan Blazeski on 23 Feb 2010 14:05 On Feb 22, 3:22 pm, Tim Bradshaw <t...(a)tfeb.org> wrote: > On 2010-02-22 13:59:24 +0000, Norbert_Paul said: > > > Don't forget corporate officials: Excel and Powerpoint. > > Actually, of course, the secret truth is that the banking crisis is > largely due to people using Excel as a database. > > --tim > > (It terrifies me that this might be true) We installed an ERP system for a bank and after a few months some lucky programmer like me asked one of the managers how they like it. He answered: Kid before you installed that thing we did everything in Excel. Now we do it in Excel again but we have to enter the data in your program afterwards, now and then. Bobi
From: Espen Vestre on 23 Feb 2010 14:12 Slobodan Blazeski <slobodan.blazeski(a)gmail.com> writes: > He answered: Kid before you installed that thing we did everything in > Excel. Now we do it in Excel again but we have to enter the data in > your program afterwards, now and then. ROTFL! -- (espen)
From: Slobodan Blazeski on 23 Feb 2010 14:13 On Feb 22, 8:13 pm, Tamas K Papp <tkp...(a)gmail.com> wrote: > On Mon, 22 Feb 2010 18:22:24 +0000, Tim Bradshaw wrote: > > On 2010-02-22 17:52:50 +0000, Ron Garret said: > > >> I really think that the vast majority of the people on Wall Street > >> really are completely clueless. The only question in my mind is > >> whether they are *all* completely clueless, or if at the core there are > >> a few guys who actually understand what's going on and keep things > >> humming along. > > > I agree with this. My theory (about 3 years ago) was that, well, they > > used to suck up physics PhDs, and my experience of physicists (having > > been one for a short while) is that they are some of the best people I > > have ever known at really understanding how the things they're > > interested in work, and just not taking any bullshit at all[*]. So > > surely those people would have understood stuff? But, in fact, I think > > that maybe if you are offered enough money to stop worrying about what > > your model means and just keep tweaking it until more money falls out, > > perhaps even physics people decide they don't need to really understand > > it: certainly it looks like they didn't. (Or, perhaps they *did*, and > > they knew it would all fall to bits, but hopefully not until after their > > bonus. Maybe that's even a reasonable, if selfish, strategy.) > > All empirical results so far indicate that markets process information > pretty efficiently. That is to say, you can't beat markets > systematically (after adjusting for risk). The qualifier, of course, > is "unless you have information no one else has", but most people don't, > and those who do are closely watched (eg insider trading regulations). > > This is very hard to stomach for most people, who are looking for > fabulous extra returns. Unfortunately, there are always people who > are willing to promise this, since they benefit from your investment > --- usually a fixed share of your assets, which can be quite low for a > plain vanilla index fund, and very large for actively managed funds > which promise higher returns (but fail to deliver systematically, when > adjusted for risk). The market for investments is, in a certain > sense, like the market for laundry detergent or toothpaste: suppliers > make (amazing) claims which most buyers are not in the position to > evaluate or validate. > > Physicists are employed in this industry because they have been > trained to deal with the math --- mostly continuous time differential > equations and statistics. The rest is easy to pick up on a > superficial level, but lacking training in economics, what they are > doing is mostly mechanical. The models they are using are not that > sophisticated, and since there is only so much information you can > extract from data using pure statistical methods (without economic > ingredients beyond no-arbitrage), you can't expect a lot from them. > For example, most pricing "models" calculate the "fundamentals" from > today's prices (basically inverting a bijection), which they use to > calculate other prices, but they don't really care if the > "fundamentals" are different from one minute to the next. > > That said, Excel spreadsheets & such are certainly not to blame for > the current crisis, and neither are physicists without economic > training. If you want to read about such things, look up Nicholas > Dunbar's Inventing Money: The story of Long-Term Capital Management > and the legends behind it, it is an entertaining book. > > Tamas The Demon of our own design is pretty good too. Bobi
From: Slobodan Blazeski on 23 Feb 2010 14:22 On Feb 23, 10:43 am, Tim Bradshaw <t...(a)tfeb.org> wrote: > On 2010-02-22 21:56:42 +0000, Tamas K Papp said: > > > To a certain extent, I agree with you. But the problem is very hard, > > and it requires thinking in terms of economic models (vs purely > > statistical ones), and general equilibrium (instead of partial > > equilibrium concepts). I don't think that anyone without serious > > training in economics has a chance. And moreover, progress is quite > > slow, at least on the scale of financial companies. They don't have > > the incentive to employ people who do basic research, so I don't blame > > them. > > I think that's what disapoints me. My view is that someone who really > is a physicist is someone who would look at some problem domain (not > just a physics domain) and make a really good stab at understanding it > properly, more-or-less whatever it was. Not someone who would just > cobble together some naïve and obviously wrong model and be happy with > that. (The same is true for engineers I think.) Of course economics is > not easy, but it's not harder than physics (well, perhaps it is, > because we don't actually have economic theories that really work very > well, and maybe the ones that do work will turn out to be harder than > physics, but I'd guess not). > > > > > Nowadays, most universities have a graduate program in "financial > > engineering" or similar, and graduates from these programs are > > starting to displace physicists (some would argue that they have > > already done so in certain areas). Nowadays, students who want to > > work as quants can go straight to these programs, so physicists can > > concentrate on physics, which is just as well. > > I don't know if this is a good or a bad thing. Obviously good that > banks will no longer be nicking all the good physics PhDs. You mean all those who aren't in the string theory? http://xkcd.com/397/ Bobi
From: Tim X on 23 Feb 2010 16:47
Tim Bradshaw <tfb(a)tfeb.org> writes: > On 2010-02-22 21:56:42 +0000, Tamas K Papp said: > >> To a certain extent, I agree with you. But the problem is very hard, >> and it requires thinking in terms of economic models (vs purely >> statistical ones), and general equilibrium (instead of partial >> equilibrium concepts). I don't think that anyone without serious >> training in economics has a chance. And moreover, progress is quite >> slow, at least on the scale of financial companies. They don't have >> the incentive to employ people who do basic research, so I don't blame >> them. > > I think that's what disapoints me. My view is that someone who really is a > physicist is someone who would look at some problem domain (not just a physics > domain) and make a really good stab at understanding it properly, more-or-less > whatever it was. Not someone who would just cobble together some naïve and > obviously wrong model and be happy with that. (The same is true for engineers > I think.) Of course economics is not easy, but it's not harder than physics > (well, perhaps it is, because we don't actually have economic theories that > really work very well, and maybe the ones that do work will turn out to be > harder than physics, but I'd guess not). > I'm not sure if that is naive or not, but expecting someone from one field to also be able to obtain expertise in another field is often the cause of many problems. Expertise in one area does not automatically translate to expertise in other areas even if the individual would like to believe so. While you wold expect a physisist to have a strong grasp of research methodologies and scientific rigor, this is in itself not sufficient. There are plenty of poor physisists out there as well as poor engineers. Such an assumption also runs close to arrogance as it implies that all the research, thought and theory development done by economists is somehow trivial and easily understood by a "real scientist". There are som ewho would argue that areas like economics are harder because they don't have the same level of experimental reproducibility that is common in the physical sciences and lack the verifiable 'laws' that are generally accepted in areas such as physics. I would suggest many of the problems we have are due to too many people with expertise in one area speaking with authority and supposed expertise in areas for which they hav little real knowledge or udnerstanding. I would also argue that possibly we need *more* intelligent, trained people in areas like economics and financial mangement, not less. Tim > -- tcross (at) rapttech dot com dot au |