crnt2

4 ms·

1.
by crnt2 11y ago
I don't think you really understand the Sharpe Ratio - Sharpe = E[Return - Financing] / StDev[Return - Financing] You could only have infinitely high Sharpe if the standard deviation of your returns, minus your financing
2.
by crnt2 11y ago
There are strategies that rarely lose money and have a great risk-adjusted profile. But they are generally at least one of a) Not scalable (e.g. most intraday market-making or scalping strategies) b) Only available at a very high fee (think
3.
by crnt2 11y ago
The difficult part is getting regulated, and raising money. Robo-advisers are subject to the same regulation as traditional asset managers - a regulatory burden which is only likely to increase over time. The legal fees associated with regu
4.
by crnt2 11y ago
I made an attempt to do this elsewhere in the thread, take a look at https://news.ycombinator.com/threads?id=crnt2 The result - the factor is actually surprisingly large!
5.
by crnt2 11y ago
Here is my attempt to work through the math and figure out how "surprising" this result is. Clearly, we should expect that for small primes (< 100e6) it is less likely that a prime ending in K (in base B) will be followed by an
6.
by crnt2 11y ago
Miscalculation - obviously no primes end in 0 (base 11) so I should have said "10% as you would naively expect". I take your point about primes being closely packed at low numbers, but I think this is a small correction (i.e. you
7.
by crnt2 11y ago
The results are particularly striking in base 11 - looking at primes below 100 million, only 4.3% of primes ending in 2 are followed by another prime ending in 2 (compared to the 9.1% you would naively expect) with similar numbers for other
8.
by crnt2 11y ago
This is explicitly ruled out in the article - > Lemke Oliver and Soundararajan’s first guess for why this bias occurs was a simple one: Maybe a prime ending in 3, say, is more likely to be followed by a prime ending in 7, 9 or 1 merely b
9.
by crnt2 11y ago
The first three comments were all variations on "this isn't new" so let's take that point for granted, and see what else this article gives us. It's not new that Wall Street is hiring Ph.D scientists and mathematici
10.
by crnt2 11y ago
I think you misunderstood much of what tomp said, and willfully misinterpreted some of the rest. The number of trades does not determine alpha, but it means that you can be much more certain about whether someone has alpha or not. For exa
11.
by crnt2 11y ago
That's not quite true. Scion was up in 2001 and 2002 (when the market was down) and they beat the market in 2003 and 2004 - in each of those years, they were primarily a long-only equity fund. I'm not sure what the performance was
12.
by crnt2 11y ago
I use MATLAB for 90% of my day to day work, for a combination of reasons - 1. Historically it is what has been used at my firm. We have a lot of code already written in MATLAB, interfaces to internal apis, external data providers etc. Every