Archive
Category: Black Swan Thinking
- October 10, 2007Monty Hall Problem: Trend Followers Live It Every Day
I am not promising this example will make you a better trader, but it will get your probabilistic juices flowing. More.
- November 3, 2006Mark Shore White Paper on Skew: Key Trend Following Insights
I had the opportunity to meet Mark Shore last spring in New York City at a presentation. His paper on ‘Skew’ (PDF) will be of interest to many readers: Skewness relates to…
- November 2, 2006Sabermetrician Bill James on Objectivity
I was forwarded this excerpt, which apparently first appeared on Victor Niederhoffer’s site from a contributor. It is Sabermetrician Bill James speaking, from his 1981 Baseball Abstract, on the difference between sports…
- July 18, 2006Maybe We Should Leave That Up to the Computer
From the NY Times, an interesting read (PDF). An excerpt: Models have other advantages beyond their accuracy and consistency. They allow an organization to codify and centralize its hard-won knowledge in a…
- January 14, 2006Gambler’s Fallacy
A good reminder (PDF) worth reading. An excerpt: “Imagine an unbiased coin is flipped three times, and each time the coin lands on heads. If you had to bet $1000 on the…
- May 4, 2005Representing Uncertainty
In doing some research on the concept of ‘uncertainty’, this paragraph caught my eye: “If there is one thing that defines and limits our efforts to better understand extreme and rare events…
- April 25, 2005Sharpe Ratio Thoughts
How should one look at trend following performance? Winton Capital, David Harding’s successful trend following shop, offers insights from their recent white paper PDF.