3 ms·

I reread our back and forth, and I think my clearest explanation is in the original post where I quote from the author. So I think we might be at the limits of

I reread our back and forth, and I think my clearest explanation is in the original post where I quote from the author. So I think we might be at the limits of my ability to communicate in this medium. But even in the instance you are talking about -- let's just abstract away everything else -- we know that the output of a gaussian process over time will be a very wide dispersion. If you assume stock prices follow some kind of gaussian distribution (yes, I know they don't), and just follow them in time you get this crazy wide distribution. Its a "stylized fact". And running it as a metaphor for some other process doesn't give me more insight. But I fear this explanation is even more confusing, and not less.

hnhg 7y ago
I won't dismiss what you're saying but tbh it's very opaque - do you have a link to something that explains what you're trying to say? Something mathematical would help (for the reasons I outlined in my earlier reply!)
- omarhaneef 7y ago
  Let's take a function that produces normally distributed random variables. Let's run this function at every moment in time starting at t=0, and then sum it with the prior sum. You can use a function that sort of looks like that to simulate a lot of different processes (a random walk, brownian motion etc). Here is a more mathematical write up of the properties: https://en.wikipedia.org/wiki/Wiener_process https://en.wikipedia.org/wiki/Wiener_process Now I can run this "simulation" -- even though the inputs and outputs are well understood -- many times and say it represents: 1. A stock price 2. The random motion of a particle given the kinetic energy of the particle 3. The wealth of an individual given intelligence and hard work
  - hnhg 7y ago
    Thanks. I dived into this and tbh I'd like someone to take what you've mentioned and extend the discussion in the original paper further. IMO, the paper's simulation tells us explicitly the full extent of what they've been considering, so it's a useful tool for the reader to judge the ideas. I know you might disagree but it gives a firm definition of ideas to me, at least, and avoids me having to over interpret based on my own biases of what I'm reading.

hnhg 7y ago

I won't dismiss what you're saying but tbh it's very opaque - do you have a link to something that explains what you're trying to say? Something mathematical would help (for the reasons I outlined in my earlier reply!)

omarhaneef 7y ago
Let's take a function that produces normally distributed random variables. Let's run this function at every moment in time starting at t=0, and then sum it with the prior sum. You can use a function that sort of looks like that to simulate a lot of different processes (a random walk, brownian motion etc). Here is a more mathematical write up of the properties: https://en.wikipedia.org/wiki/Wiener_process https://en.wikipedia.org/wiki/Wiener_process Now I can run this "simulation" -- even though the inputs and outputs are well understood -- many times and say it represents: 1. A stock price 2. The random motion of a particle given the kinetic energy of the particle 3. The wealth of an individual given intelligence and hard work
- hnhg 7y ago
  Thanks. I dived into this and tbh I'd like someone to take what you've mentioned and extend the discussion in the original paper further. IMO, the paper's simulation tells us explicitly the full extent of what they've been considering, so it's a useful tool for the reader to judge the ideas. I know you might disagree but it gives a firm definition of ideas to me, at least, and avoids me having to over interpret based on my own biases of what I'm reading.