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OTP put in something like that in the fund I was at. Yes it's small for them but it's still serious, the guy in charge wants to move on to bigger things. Oh an
by lordnacho 4y ago
OTP put in something like that in the fund I was at. Yes it's small for them but it's still serious, the guy in charge wants to move on to bigger things.
Oh and I totally forgot to comment on the math. Kelly criterion, I don't get how the guy could have studied physics at MIT and not understood it. It's simply a result that tells you how much to bet of your stash if you are presented with some repeated betting opportunity. It's essentially an extension of high school level probability theory, with similar clean-room constraints (independence, etc). There's also a continuous version of it using Sharpe ratios, no surprises.
If you read anything about it, it's very very not smart to bet beyond the ideal size. This is actually the reason why a lot of people use less than the ideal, because you don't want to end up over the hump. Both the assumptions that underlie the result and the measurements of the parameters are not easy to ascertain, so don't act like it's a dice game within a known environment.
By the way anyone studying Kelly Criterion needs to read this:
https://en.wikipedia.org/wiki/Proebsting%27s_paradox https://en.wikipedia.org/wiki/Proebsting%27s_paradox
- SnowHill9902 4y agoKelly criterion is not the best strategy for one. It’s the best strategy for an ensemble of ones in many universes but you can only live in one universe. It’s a nerd trap because it seems so elegant and reasonable.
- anonymoushn 4y agoThis isn't true? If you aggregate utility across universes using addition and have utility linear in wealth then you maximize your aggregate utility by going all-in on every favorable bet. Kelly turns out to be equivalent to maximizing expected log-wealth, if one stays within a single universe, or to maximizing the probability that one will eventually have more wealth than any agent in the same universe that employs any other strategy on the same sequence of opportunities.
- kwertyoowiyop 4y agoOnly on HN is it necessary to define that we are only discussing the single-universe case!
- SnowHill9902 4y agoYou are still using infinite universes: expected value and probability still are calculated across an ensemble of parallel universes.
- anonymoushn 4y agoThis is the worst comment I have ever read. There are reasonable definitions of expected value and probability that do not require infinitely many universes to figure out whether you should raise pre-flop with aces.
- SnowHill9902 4y agoCan you provide any such definitions or references?
- anonymoushn 4y agouse google next time https://sites.math.rutgers.edu/~zeilberg/mamarim/mamarimhtml/UltraF.html https://sites.math.rutgers.edu/~zeilberg/mamarim/mamarimhtml...
- SnowHill9902 4y agoYou are conflating time-samples with ensembles. That lecture refers to finite time series which may be shown to converge for N < infinity. That’s fine.
- anonymoushn 4y agoI have not mentioned either of these things. You can find other finitist formulations of probability if you want. You replied to a post about aces. For any finite number of chips and players (n_players > 23 starts to raise some questions), there are finitely many games of NLHE anyway.
- bee_rider 4y agoI don’t want to besmirch this particular person I’ve never met, but I definitely have met engineers who look at the stock market, look at their sophomore or junior level signal processing class and decide that all those Econ guys are a bunch of dummies and they could totally beat the market with some Fourier transforms or whatever (the fact that investing firms hired a bunch of quants is left unaddressed). So, I could see somebody making this sort of error.
- jasonwatkinspdx 4y agoI'm friends with a retired quant, and one thing I learned from him is the big firms on wall street will hire the absolute most brilliant people they can even to work on utterly banal well known basic strategies. PhD's doing high school math. Because when you're moving billions, nothing is actually basic.
- deleted 4y ago[deleted]