Monday, 31 January 2011
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
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.
Wednesday, 12 January 2011
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.
Tuesday, 11 January 2011
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
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
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
Apparently Natalie Portman became quite ill filming the movie - such are the demands placed on a possible Oscar-winner