Monday, 29 November 2010
TG have been back together over the last few years. A couple of albums and some live shows. I have heard one or two and have quite enjoyed hearing Hamburger Lady with modern equipment. But my main interest in Peter Christopherson was always his band Coil. They produced some really way out stuff that I have been working through slowly over the past few years. Excellent stuff
It says that he was currently working on a new TG album - a cover version of Nico's Desertshore. As this is one of my favourite albums, I would have been extremely interested in a TG cover version. I wonder if that will ever appear.
Performing with TG at the Coachella Festival in 2009
A very early shot of TG - Christopherson is on the left!
The first TG record I ever bought - such a great title and cover. I wonder how many people mistakenly bought this (maybe for an older relative who they thought liked jazz!)
One of the greatest "double live albums" of all time?
Saturday, 27 November 2010
(Addendum later - She looks like the singer of the band Bats for Lashes)
Natasha Khan of Bats for Lashes
The two girls have been sent to look after me for the night. They take turns in feeding me various exotic fruits and generally cater to my ever need. No sex is involved but it is a very sensual experience
Such a change to have a really vivid dream for a change
Monday, 22 November 2010
But then, at number one, comes Abba's The Name of the Game, in my view one of the finet records of all time. The greatest statement of the existential horror that would underlie all of Abba's greatest songs.
But I think I can see in your face, there's a lot you can teach me - what can she mean?
They are, of course, playing ludo in the video
Sunday, 21 November 2010
He was always a fun sort of guy!
I have also got some recordings of Jack Kerouac delivering some of his poetry - mainly fragments of San Francisco Blues. And a recent(ish) documentary on Kerouac that I remember seeing when it was on tv years ago and which I'd quite like to see againAlso lurking somewhere is an audio book of Ginsberg reading The Dharma Bums - by far my favourite Jack Kerouac book. Like virtually everyone else who reads this, I am completely taken with the character based on Gary Snyder. He is probably the last of the Beats to remain alive. I was somewhat shocked to discover the other day that I have about 20 books of Snyder's or about Snyder.
And so much of this leads back to Ed Thorp. There were one or two clues in this book about some of the ways that Thorp had applied the Kelly Criterion for trading in the 1970s and 80s in the fund Princeton-Newport. This made in excess of 20% per annum at an SD of about 4% - a most remarkable result. The occasional example has allowed me to ask the question of how to apply this to our trading
But the remarkable thing today was that I finally had the necessary insight to work out how to apply the Kelly criterion to our results to date. Our combined trading system has made 17% so far. By calibrating off one day's particular loss, I was able to re-cast the data into other possible results based on different levels of leverage. This allowed me to generate the humped-back curve that characterizes the Kelly Criterion and it revealed that our maximum return would have been made at a leverage of 21x our current position size!
Friday, 19 November 2010
The paper on which I only spent a week of work - Philosophy of Economics - was a high merit grade, which just shows you how you still achieve a good result without doing any of the necessary work. So only 1 lecture attended, one class, no essays produced, only one-third of the reading list even looked at. Quite a good result I feel.
But there is also a sense of deflation. I had hoped that by now I would have started my PhD. But it looks like my MSc might be the only return to academia that I manage. And that is all rather sad I feel. So really this result is of little significance and I shall put it out of my mind and concentrate on other things
Thursday, 18 November 2010
Monday, 15 November 2010
Sunday morning she exercises, then we set to on her work's case study. My aim was mainly to try to teach her something about model making, so I work at a very general level and show her how monthly models can allow the flow of a business to be recognised. Emma and I have a somewhat chequered history of collaboration on projects and there are one or two moments of friction today, when I feel Emma is getting too bogged down in details, while Emma thinks I am being too general. But we make progress in the end.
While I watch the last Grand Prix of the year, Emma spends some more time running through the model we've created and getting a feel for how it all hangs together. Overall she seems very pleased. She has a couple of days in the office doing more training, then has a full day she can work on the model more. So hopefully that should all be fine. We want her to shine in her first weeks at work.
Linda and I were both rather pleased to have had this visit. Linda has done all Emma's washing (apparently their washing machine has broken) and Emma has a rough working model for her case study. She heads back to Didcot late afternoon. Next week she goes onto the team for her first project and in a couple of week's time is off to Germany for more training. So it is all go.
Might not see her again till Christmas now, though she briefly mentioned it would be nice if I could have lunch with her maybe in a week or two's time.
Saturday, 13 November 2010
The back of the CD prominently features Ann Magnusson's breasts, but in an ironic, postmodernist way - so that's ok thenThe penultimate cd - highlights include Great Radio, Nick Cave Dolls and Connie
Later in the week she and her other three newbies have been given a little case study to look at. Emma sent me a copy a day or so ago and I have been working through it. For me it is pretty easy - the standard case study set for business people, full of tricks and gaps in data - indeed a little unfair for someone like Emma compared to the two MBA students who joined on the same day as she did and who will, one would think, find this sort of thing pretty straightforward.
Emma sent me her first version and she had not started well in my view. I made a few comments about how to approach this. Then on Friday I received a few emails in which Emma seemed very confused about how best to go about the project. So much to our surprise, she has decided to come home for the weekend and I will give her a hand with it. She needs to have a presentation ready for Friday and that will be pretty easy. I feel a little concerned. On the one hand I want Emma to do well on her first job, but I also think she needs to really put alot of effort in herself. Perhaps she has done and is just on a steep learning curve. But its the fact that two of her fellow newbies have MBAs that has caused me to want to help her. I don't want her first project to not go well.
Also this approach suggests a limit exit when things go well - which is also rather counter-intuitive. But research suggests that a limit exit at +2.5% intra-day is the soundest policy.
So I have been preparing MAE and MFE data for the trading system equity (something that can take me 2 hours per day to work out as we haven't got adequate information to work it out more easily). And we have a tentative equity risk-management policy coming out from this.
Interesting this also suggests that some parts of the trading system aren't pulling their weight, one of which is the core trading signals that power the Martingales. So oddly enough, we might end up trading a martingale system but without the systems from which the Martingales are derived.
Wednesday, 10 November 2010
I once saw John Cale in concert at Ronnie Scott's Jazz Club in Soho. This was when I had my Sony Walkman Pro tape recorder and used to try and smuggle this in to all the show I saw. I went to this show with Steve Cleary, who lived just round the corner from me in Leytonstone. He was a real fan of John Cale and had most of his albums. He was then able to identify all the tracks on the tape I made. We sat at a table about 10 feet from Cale, who performed more or less solo. This certainly made recording difficult, though the end product was really good. It was definitely one of the best I ever made. A year or two ago I transferred the show to digital and posted it on a file sharing website.
So encouraged by my reading, I have been looking out for a few John Cale live shows. And much to my surprise I stumbled across a new upload of my Ronnie Scott's show. I have no idea where my copy of this now is, so was rather pleased to download it again. What I surprise. I left a comment for the newest uploader. In his view, this is another good reason why people should share their recordings - you never know when you might want to hear something you yourself recorded!
Monday, 8 November 2010
I remember my first week at Ernst and Whinney. I was sent to Nottingham for my induction course with just a few people from the London office - Jeremy Owens and Debbie Thomas, spring to mind. The detail of the week escapes me, though we did play some sort of business game at the start of each session, based around setting the price of gas, and quite a lot of drinking went on. What I remember most is the social aspect.
I really fancied Debbie Thomas and had thought this week had layed a good foundation for us going out together. We played squash together one afternoon - she looked great in a short skirt and trainers! We had drinks together in my room. And, perhaps most memorably, we played a practical joke on Jeremy that involved Debbie and I getting up at 4:00 to knock on his door and tell him the first session was just about to start. Sure enough, he dressed in a panic and rushed downstairs.
But Debbie turned out to be something of a party animal, out virtually every night with friends. We did manage one date when we went to see Diva at the cinema. Soon after she started going out with a friend of Jeremy's from Cambridge (a bit of a prat I thought). Then she failed her first year exams and quit E&W. Wonder what ever happend to her?
Friday, 5 November 2010
First stop is Borough Market, less than 10 minutes walk from where Emma is living. She actually does know where this is but is keen to take me there so we can have a good look round on a weekday (when it is less busy). It is like a really big version of the Oxford Covered Market, but without the shoe shop! We treat ourselves to mulled wine, and cakes, while Emma also buys one or two things for the house. Then looping round the back of the market, we go to a Sainsbury's for Emma to pick up more things, then back to the house.
But our main expedition is to Covent Garden, about 25 mins away (and which could provide the route for Emma to get to work if the tubes continue to be on strike occasionally). It is a really nice walk along the south bank from Blackfriars bridge to Waterloo. We mainly talk about the things Emma has managed to sort out while in London. She seems to have taken on most of the admin duties for the house and so has been organising all sorts of things like council tax, internet access, tv, and so on
There is a food market in progress at Covent Garden, but Emma is keen to sit down at one of the cafes, so we can chat. A string quintet is playing classical music outside one cafe and we settle there. Talk moves on to starting work and the few tips I still have to pass on before the big day on Monday.
From Covent Garden, we walk to Leicester Square and Piccadilly, from which point Emma would be able to find her office. She pops into Boots and we print loads of photos off a USB stick so Emma can make up some new photo frames. While there, Jerome rings to say that after yesterday's best trading day ever, today's is the worst so far. Another new research project - is there an equity stop that makes sense?
Next stop, Camisa's Italian deli in Old Compton Street, then Blackwells, where I buy Emma a slightly tongue-in-check book on Management Consultancy. Then we find the Cake shop near the English National Opera, which we went into once last year.
And so it begins to get dark and I leave Emma on the Strand, from where she is confident that she can find her way home. I walk back to Marble Arch to get the coach home. Lots to think about - yet again, a strange feeling of melancholy (and not at all because we have lost 500 pts trading!)