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Classic application of abstract math in something sexy at the time. I once saw a paper describing a trading strategy using stochastic calculus. Turns out it boi
by karmakurtisaani 2y ago
Classic application of abstract math in something sexy at the time. I once saw a paper describing a trading strategy using stochastic calculus. Turns out it boiled down to buying when price went under some indicator variable, selling when above another.
- whatshisface 2y agoStochastic calculus is the only available tool for proving things about continuous-time stochastic processes. There aren't any alternatives, save guessing at criteria and backtesting them.
- karmakurtisaani 2y agoYes, for sure useful for the appropriate mathematics. My point is, the trading strategy was a simple heuristic wrapped into overly complicated definitions and proofs. The complicated mathematics added exactly nothing to the application.
- catgary 2y agoI think the point was they (probably) used the abstract math to prove some desirable properties about the trading strategy?
- karmakurtisaani 2y agoYes, it was something like that. But "desirable" here means something very different for mathematicians and traders actually applying the strategy (I.e., they don't care at all, and neither does anyone else working in finance).
- deleted 2y ago[deleted]
- downvotetruth 2y ago<Doob rolls over in his grave>ugh</s>
- almostgotcaught 2y agoHuge difference between stochastic (processes, ODEs, PDEs, etc) and category theory. One makes money every day and the other is only good for writing papers.
- karmakurtisaani 2y agoDon't get me wrong, stochastic calculus is very useful for options pricing for example. Totally useless in the case I was describing.