Monday, 31 January 2011

Bridgit Riley

A flurry of articles in the press about Bridgit Riley who is curating a show of some sort at the National Gallery. It has been years since I have seen any of her work, but when I was a teenager back in the late 1970s, I was very keen on her work, perhaps because I thought we might be related and I thought it would be cool to be related to an artist.

Wall Street Warriors - SMB

I have been watching series two of Wall Street Warriors, which features SMB Trading, the Prop trading firm featured in One Good Trade, a book I bought the other week. A new graduate is going through their training programme. This gives some insights into the firm's structure and has led to me developing a whole series of somewhat fanciful ideas about developing something a bit similar as Jerome and I develop our ideas.

Perhaps Linda and I will rent a big house and have traders come and work there each day (just like Victor Neiderhoffer)

Cool dealing room I reckon

Saturday, 22 January 2011

Fripp and Eno - Live in Paris, 1975

The current edition of Wired magazine has a review of a new issue of a live recording of Fripp and Eno in Paris back in 1975 or so. I have had a copy of this via the Air Structures bootleg for some while, but this is a "proper" issue via the DGM website. This I have to have.

A famous bootleg album

It was actually a bit disappointing in some ways. I had always assumed that Air Structures was a dis-jointed piecemeal recording which just highlighted bits of a continuous show. However it would seem that it was actually a pretty good version of the actual event. So the DGM issue was not all I had hoped it would be. I had thought there might have been a really long version of "Index of Metals", but sadly not.

Fripp and Eno, 1975. That must have been a truly shocking show!
I must dig out the recent double cd of No Pussyfooting and listen to the backwards recording again (the way John Peel once played the track by accident)

Wednesday, 12 January 2011

The return of "Shameless"

Apparently there is now a US version of Shameless, starring William Macy as the equivalent of Frank. That seems a bit unlikely. I wonder whether it will be shown in the UK - such remakes of British TV shows rarely seem to get shown here - perhaps The Office is the main example.

And the Uk version has returned for season 8, with 22 new episodes. We have been intermitent fans of this programme, sometimes watching it regularly, sometimes missing whole series and catching up later. In fact, I didn't see the first two or three series at all, though Linda did. They were first on when I was still a long distance commuter and 10:00 was too late for me to stay up and watch something during the week. I missed the first 8 series of ER for the same reason

Two characters have stood out for me in the last couple of series. Karen is just about hanging on and appeared for about 15 seconds in the episode screened last night. Like many of the characters in Shameless, she is likeable for sheer raunchiness.

But the absolute stand out character for me is not in the show any more - the totally mad policewoman from series 5 and 6. Way over the top in every bit of police work she did, I loved just about every moment she was on screen. A shame she's left.

Trapped up to her waist when she fell through a weak floor while handcuffed to the gay-McGuire son, his reading of some of his writings has a surprising effect

Her failed attempt to recreate the same effect later on

Tuesday, 11 January 2011

A huge increase in available data

Though we are fairly sure that the results of all our testing are statistically robust, there is always the slight nagging doubt in the back of your mind that your might have "data-mined" the result and that really you are tricking yourself with the results you seem to have. According to statistical theory, we do have enough data to reach valid conclusions and the chances that we have fooled ourselves are not high - but still the doubt persists.

But out current data provider only has limited amounts of intra-day data available. Ideally we would like a few years worth of data and could then select some three month periods and assess the trading result for these, in comparison with what we have seen over our current testing period. I would like to find a period when markets were really quiet. I would also like, ideally, to have a look at some difficult periods - the time in 2010 associated with the Greek problems, or better still, August 2008 to March 2009 - the peak of the credit crunch

And this weekend, it appears we found what we have been looking for. A cut-down version of esignal, the trading package we used to use at the hedge fund, has extensive intra-day back data now, going back to 2007. I can do as much testing as I like!!

So I have started with a quiet period, early 2010, and hope to cover the entire trading result for 2010. Then move back to the credit crunch period. That would have been a great time to trade as we do now, I can tell that already. I can only manage about a month of data bashing per day, so this is going to be a huge project. Jerome has already indicated that he is not keen to be involved in this (as we would expect). I am rather eager to get started.

Monday, 10 January 2011

"Nuts in May" and "Way Upstream"

A hunt through the last of our video tapes leads us to a tape containing three plays from the 70s and 80s. Abigail's Party is being kept for next weekend - so this weekend it was Nuts in May and Way Upstream.

Linda had seen Nuts in May before but it had passed me by. And what an oddity. Alison Steadman was barely recognizable as one half of the two "nuts", a very odd couple on a camping holiday in Devon. Little actually happens of course. They visit a castle, the coast, and a quarry where they see fossilised dinosaur footprints. They have some interaction with a PE teacher and a couple from Birmingham. And things get gradually out of hand - mainly through the acts of the husband.

I was particularly taken by the featured songs - especially Alison Steadman's protest-folk song at the very end.

Alison Steadman as Candice Marie, with husband Keith

Way Upstream
was the tv adaption of an Alan Ayckbourn play and dates from the late 1980s. I saw a small mention of it in the Oxford Times last year in a piece about Newbridge - as it was filmed on the Thames there and the two pubs feature briefly.

This is a very different thing altogether than Nuts in May. I am not really very up on literary criticism and tend to take rather naive, face-value views on such things, but even I can tell that this play is about power. The "action" features two couples who have booked a boating holiday together. The two men work together and may be partners or directors in a firm. One is clearly the "dominant male" whose wife largely holds him in contempt. The other male is weak and submissive - or as his wife says, "soft"

The dominant male has appointed himself captain of the boat, but his position is undermined by another male who they meet while trying to navigate a lock. This new male gradually takes over the running of the boat, especially when the previous captain is called back to work.

I was particularly taken with the wife of the captain. She really dislikes her husband and is clearly very attracted to the stranger. But things take a gradual turn for the worse and the roles gradually change, so that the meak couple come to the fore.

The captain's wife, eager to please the stranger who has taken over

The hidden side of the captain's wife - during a night drinking when the captain is absent

Enduring some "naval discipline" from the stranger

We are both looking forward to Abigail's Party - scheduled for Saturday night

Saturday, 8 January 2011

Proprietary Trading Firms

The Black Swan - book and movie

The philosophical use of the "black swan" relates to the "problem of induction" - perhaps the leading issue in Philosophy of Science. How many white swans would you need to see before it was acceptable to conclude that "all swans are white". The original statement of this occurred before the discovery, in Australia, of black swans, so when a philosopher argued for the generalisation, "all swans are white", it was supposed to a statement that everyone would have accepted as true.

The real significance, philosophically, of the discovery of black swans is that prior to that discovery, you had actually used all the evidence you had in a complete and correct way. Yet you are still incorrect in the generalised conclusion. It is not that generalised conclusions can sometimes be wrong - of course they can. It is more that you can correctly use all the information at your disposal and yet, still be wrong

An Australian Black Swan

Nassim Taleb has brought the phrase to a wider audience in respect of financial markets. There black swans occur regularly - the so-called 10-sigma events that pop up every few years. The credit crunch via sub-prime might be taken is such an event - not forcastable on the basis of all the evidence available to that point i.e. the 30% default rates that occured are 6x the previous high. How sensible is it to allow for such events? The answer is that it rarely makes for a good investment strategy - better to trade as if Black Swans don't occur, and hope one doesn't. And if it does, blame it on unforeseeable events

I was shocked to see the CEO of Heathrow describe the snow in December as a "black swan" event. Maybe if your airport is in Egypt, but snow in December in England is hardly unknown (or unknowable)

So when I heard about a movie called "The Black Swan", my initial though was that it might be a movie about the problem of induction, or maybe based on Taleb's book. Instead it is set in a New York ballet company and stars Natalie Portman. The current issue of Gorezone magazine (!!) has a long feature on it, comparing it to a David Cronenberg film. Apparently Natalie Portman's portrayal of the dancer forced to confront the experiences necessary to enable her to dance the black swan in Swan Lake, is possible Oscar-winning stuff

So though I am disappointed that the movie isn't a philosophical discussion, it is perhaps one we should try and see

The scary, red-eyed Natalie Portman.

Apparently Natalie Portman became quite ill filming the movie - such are the demands placed on a possible Oscar-winner