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efalken
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Einstein vs von Neumann vs Wiener

October 19th, 2006, 12:21 am

I think crowlogic is correct. You basically have two polar opposites making money trading or investing as a price taker (brokers are a different animal). On one hand, salesmen, who network, cajole, and manage people well. This works for illiquid markets. For liquid markets, a more analytical mind is superior. I don't think there were any markets liquid enough for a purely analytical type who doesn't suffer fools prior to 1960.
 
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KackToodles
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Einstein vs von Neumann vs Wiener

October 19th, 2006, 1:05 am

QuoteOriginally posted by: efalkenFor liquid markets, a more analytical mind is superior. The more liquid a market is, the more efficient it is, which means you cannot beat it (unless you have insider information).
 
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exneratunrisk
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Einstein vs von Neumann vs Wiener

October 19th, 2006, 6:59 am

QuoteOriginally posted by: KackToodlesQuoteOriginally posted by: exneratunriskvon Neuman thought of self-organising and self-replicating artificial systems. One could say complex systems created from simple rules.Sounds good, but (a) Is this new? Wwhat is the difference between this idea and Darwin's idea? and (b) Show me one concrete successful engineering application of self-organization. You are right, research is far from v Neumann's vision. And yes, one of the key elements is evolutionary programming. But from the system design point of view it is often (complex systems) impossible to create a supervisory system. You need to decompose into small systems with local "intelligence" and kind of self -organisation.How would you simulate traffic of, say, London? I would by programming artificial cars which know how to interact with their environment (a few simple functions and rules on moving object to moving object, moving object to city architecture, moving ovject to events, .....) and follow some strategies. Fastest path from A to B. Adaption to changes and events.The feed back structure of such local rules/functions create the searched complexity. Artificial accidents? Created by small temporary changes of your local rules. Impossible to plan this top down (with global rules and behaviour)?How would you design a self-driving car? Controlled by satelites?Darwin? "The selfish gen"? ---> "The selfish car" (see above). "The selfish part" (a part which searches its operational path through a complex factory),...
Last edited by exneratunrisk on October 18th, 2006, 10:00 pm, edited 1 time in total.
 
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DJAverage
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Einstein vs von Neumann vs Wiener

October 19th, 2006, 7:08 am

QuoteOriginally posted by: KackToodlesThe more liquid a market is, the more efficient it is, which means you cannot beat it (unless you have insider information).How would you define "the insider information" on the efficient market?
Last edited by DJAverage on October 18th, 2006, 10:00 pm, edited 1 time in total.
 
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MikeCrowe
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Einstein vs von Neumann vs Wiener

October 19th, 2006, 8:11 am

QuoteOriginally posted by: DJAverageQuoteOriginally posted by: crowlogicQuoteOriginally posted by: DJAverageQuoteOriginally posted by: KackToodles[Albert is a monkey like you and me. The only difference is that Albert grooms himself to look more like a monkey than the rest of us. Mr. Market is smarter than any monkey.So I conclude from this that you are A) a darwinist and B) EMH supporter.Both are simplistic and outdated concepts, don't you think? What is darwinism? And yes, the EMH is dated. It is silly to assume that unique strategies are independent and identically distributed like coin flips.Darwinism is popular belief that given a monkey and a typing device, you will almost surely get Shakespeare and all his plays typed. Just wait long enough. Darwinism is absolutely nothing of the sort, and comments like that simply proliferate misunderstanding. That is a just a combinatorics statement that given any countable sample space that any given sample will be produced if we make enough trials.Darwinism is (broadly) the theory that any given population of organism contains variation, and that the environment through natural selection causes certain varieties to be more successful that others, where success is simply the number of offspring produced. This encourages the following generation to express more of the characteristics that distinguished the original successful parents. Since variety is always present and maintained, the population gradually shifts to a new species. RTFM or in this case, read origin.The point here though is that there is often a massive misunderstanding that evolution relies on just random chance like the monkey example enough e.g. stupid people often think along the lines "darwinism means given enough mutations we would randomly get a person from a chimp etc." This is as much science as crystal power and voodoo and is complete rubbish. To place it in a more mathematical example what you actually have is a random variable that say is initiall N(0,1) in the first generation. We take 100 samples and throw away half of the negative ones at random. Each of the remaining samples (75 ish) creates a new sample of 100 each N(x,1) where x is its value. The new distribution is clearly normal, but will have a higher mean. If we keep repeating this process the mean will keep increasing.A story teller might say the population is moving away from the 0 line in order to reduce the number of samples that are thrown away. However normal distributions don't think. This is like the story "a giraffe has a long neck to reach the leaves", or "A rabbit evolved to run fast to avoid foxes".If you want to talk about darwinishm in the context of funds then forget monkeys and hamlet and think about fund managers that are successful teaching their staff, who then set up funds... Or alternatively talk about banks being large so having more variety in their staff, hence more opportunity to evolve their staff's skill set (by firing the rubbish ones, and getting the good ones to teach/hire the newbies).
 
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DJAverage
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Einstein vs von Neumann vs Wiener

October 19th, 2006, 9:45 am

QuoteOriginally posted by: MikeCroweQuoteOriginally posted by: DJAverageQuoteOriginally posted by: crowlogicQuoteOriginally posted by: DJAverageQuoteOriginally posted by: KackToodles[Albert is a monkey like you and me. The only difference is that Albert grooms himself to look more like a monkey than the rest of us. Mr. Market is smarter than any monkey.So I conclude from this that you are A) a darwinist and B) EMH supporter.Both are simplistic and outdated concepts, don't you think? What is darwinism? And yes, the EMH is dated. It is silly to assume that unique strategies are independent and identically distributed like coin flips.Darwinism is popular belief that given a monkey and a typing device, you will almost surely get Shakespeare and all his plays typed. Just wait long enough. Darwinism is absolutely nothing of the sort, and comments like that simply proliferate misunderstanding. That is a just a combinatorics statement that given any countable sample space that any given sample will be produced if we make enough trials.Darwinism is (broadly) the theory that any given population of organism contains variation, and that the environment through natural selection causes certain varieties to be more successful that others, where success is simply the number of offspring produced. This encourages the following generation to express more of the characteristics that distinguished the original successful parents. Since variety is always present and maintained, the population gradually shifts to a new species. RTFM or in this case, read origin.The point here though is that there is often a massive misunderstanding that evolution relies on just random chance like the monkey example enough e.g. stupid people often think along the lines "darwinism means given enough mutations we would randomly get a person from a chimp etc." This is as much science as crystal power and voodoo and is complete rubbish. To place it in a more mathematical example what you actually have is a random variable that say is initiall N(0,1) in the first generation. We take 100 samples and throw away half of the negative ones at random. Each of the remaining samples (75 ish) creates a new sample of 100 each N(x,1) where x is its value. The new distribution is clearly normal, but will have a higher mean. If we keep repeating this process the mean will keep increasing.A story teller might say the population is moving away from the 0 line in order to reduce the number of samples that are thrown away. However normal distributions don't think. This is like the story "a giraffe has a long neck to reach the leaves", or "A rabbit evolved to run fast to avoid foxes".If you want to talk about darwinishm in the context of funds then forget monkeys and hamlet and think about fund managers that are successful teaching their staff, who then set up funds... Or alternatively talk about banks being large so having more variety in their staff, hence more opportunity to evolve their staff's skill set (by firing the rubbish ones, and getting the good ones to teach/hire the newbies).Thank you for your lecture, Professor. I feel really enlightened and very sleepy indeed.
 
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GrenvilleCroll
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Einstein vs von Neumann vs Wiener

October 21st, 2006, 11:44 pm

QuoteOriginally posted by: exneratunriskvon Neuman thought of self-organising and self-replicating artificial systems. One could say complex systems created from simple rules.Think of intelligent agent-programs populating the web and searching for opportunities, collecting and transforming information to make clever decisions for you.The more they know the less pseudo patterns they recognize.So, it is von Neumann.Ah, but what of Goedel?One might see a pattern but not prove it to be such!The markets are spectacularly inefficient.Although Einstein's physics is only an approximation, I would go with his stock picking intuition.
 
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DJAverage
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Einstein vs von Neumann vs Wiener

October 22nd, 2006, 10:50 am

QuoteOriginally posted by: GrenvilleCrollAlthough Einstein's physics is only an approximation, I would go with his stock picking intuition.Perhaps, you'll be interested in this
 
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crowlogic
Posts: 658
Joined: May 22nd, 2005, 6:47 pm

Einstein vs von Neumann vs Wiener

October 22nd, 2006, 9:04 pm

QuoteOriginally posted by: GrenvilleCrollQuoteOriginally posted by: exneratunriskvon Neuman thought of self-organising and self-replicating artificial systems. One could say complex systems created from simple rules.Think of intelligent agent-programs populating the web and searching for opportunities, collecting and transforming information to make clever decisions for you.The more they know the less pseudo patterns they recognize.So, it is von Neumann.Ah, but what of Goedel?One might see a pattern but not prove it to be such!Ah hah, it does not matter if the pattern can be completely "proven" or not. If you are dilligent and creative you can approach an answer with an increasing degree of certainty even if you cannot reach 100%.QuoteThe markets are spectacularly inefficient.Although Einstein's physics is only an approximation, I would go with his stock picking intuition.Lol. Stock picking?
 
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TraderJoe
Posts: 11048
Joined: February 1st, 2005, 11:21 pm

Einstein vs von Neumann vs Wiener

October 22nd, 2006, 11:05 pm

QuoteOriginally posted by: DJAverageQuoteOriginally posted by: GrenvilleCrollAlthough Einstein's physics is only an approximation, I would go with his stock picking intuition.Perhaps, you'll be interested in thisAh, so the old boy was human after all .
 
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TraderJoe
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Einstein vs von Neumann vs Wiener

October 22nd, 2006, 11:06 pm

Holy shit, 5000 posts !As you were...
 
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mencey
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Einstein vs von Neumann vs Wiener

October 23rd, 2006, 5:59 am

QuoteOriginally posted by: KackToodlesQuote(3) EMH holds well enough that my monkey can still beat einstein 50% of the time. Can your monkey beat Soros, Buffet, Renaissance Technologies, etc.... as well? Random luck? ... seems like there are many outliers in the sample,........... so let's smooth the series.
Last edited by mencey on October 22nd, 2006, 10:00 pm, edited 1 time in total.
 
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madmax
Posts: 1093
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Einstein vs von Neumann vs Wiener

October 23rd, 2006, 9:11 am

Kack,you seem to be a bit ignorant on economics as you seem to have no clue about the topic of market efficiency. Don't get too intoxicated with the religion tought by these ideologues in the Chicago school. I suggest you read Grossman and Stiglitz (1980) "On the impossibility of Informationally Efficient Markets". Or if you are unable to read it, I can make the point simple for you:How can markets be efficient if in an efficient market nobody has an incentive to gather information as prices contain already all information ? How can these prices contain all info if nobody bothers to search for the info ?
 
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mencey
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Einstein vs von Neumann vs Wiener

October 23rd, 2006, 12:35 pm

That's a good one
 
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KackToodles
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Einstein vs von Neumann vs Wiener

October 23rd, 2006, 3:02 pm

QuoteOriginally posted by: madmaxHow can markets be efficient if in an efficient market nobody has an incentive to gather information as prices contain already all information ? How can these prices contain all info if nobody bothers to search for the info ?You first have to get your definition of "efficiency" straight. Efficiency means that nobody can make abnormal returns after you take into account all of their expenses. It does not mean everybody has the same returns or expenses. Hence, the information gatherers CAN earn more returns than the passive investor. However, this is only because the information gatherers have to do commensurately more work (gathering the information). If you take into account that the informaiton gatherers have to incur risky ex ante expenses to collect their information, their total return is just the market return. This is completely consistent with the Stigliz-Grossman story (even though they define "efficiency" differently) and is also consistent with the data that fundamental research firms earn more returns before management fees (but not after management fees).
Last edited by KackToodles on October 22nd, 2006, 10:00 pm, edited 1 time in total.
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