Archive for atschool
On Econometrics
August 6th, 2009 atschool
Econometric theory is like an exquisitely balanced French recipe, spelling out precisely how many turns to mix the sauce, how many carats of spice to add, and for how many milliseconds to bake the mixture at exactly 474 degrees of temperature. But when the statistical cook turns to raw materials, he finds that hearts of cactus fruits are unavailable, so he substitutes chunks of cantaloupe, where the recipe calls for vermicelli, he uses shredded wheat; and he substitutes green garment die for curry, ping pong balls for turtle’s eggs, and for Chalifougnac vintage 1883, a can of turpentine.
– From A Guide to Econometrics by Peter Kennedy
World According to Garp (WATG): Exotic Options + Mass Affluent
June 14th, 2009 atschool
I am starting to think that the purchase of investment products is all about emotions – not rational. Exotic options are kinky stuff – barriers, compound, binaries, etc – ie, not the plain jane calls/puts. I’m thinking, if I want to make money out of people, I’d put together a product using exotics. I would get a standard note (maybe from a brand name house with AAA rating that people recognise) and add a exotic option to kick up the returns. The option would be something with a really enormous standard deviation (basically low probabilities of happening) and sell it to the mass affluent. I’ll package it to appeal to their sense of superiority. I’ll market in a way to say,
1. look, this is too hard for the hoi polloi, so I’m telling you because you are in the right circles – you are educated, worldly and smart with your money.
2. Just to make it more exclusive, I will put in minimum investment amounts as if to say, this is for serious players only – only the Big Boys can play with us.
This will not work now because there are not that many brand name houses left and the reputation of rating agencies has taking a beating – but I’m pretty sure, when the interest rate was low, when liquidity was v high, this would work. They will be attracted not because of greed but because I had flattered them and made the decision emotional.
On failures
April 6th, 2009 atschool
As you work through your career, you’ll accumulate a lot of failures. But each represents a lot of work you did on various subtasks of the overall project. You’ll find that a lot of the ideas you had, ways of thinking, even often bits of code you wrote, turn out to be just what’s needed to solve a completely different problem several years later. This effect only becomes obvious after you’ve piled up quite a stack of failures, so take it on faith as you collect your first few that they will be useful later.
Research always takes much, much longer than it seems it ought to. The rule of thumb is that any given subtask will take three times as long as you expect. (Some add, “ even after taking this rule into account.”)
Crucial to success is making your research part of your everyday life. Most breakthroughs occur while you are in the shower or riding the subway or windowshopping in Harvard Square. If you are thinking about your research in background mode all the time, ideas will just pop out. Successful AI people generally are less brilliant than they are persistent. Also very important is “taste,” the ability to differentiate between superficially appealing ideas and genuinely important ones.
You’ll find that your rate of progress seems to vary wildly. Sometimes you go on a roll and get as much done in a week as you had in the previous three months. That’s exhilarating; it’s what keeps people in the field. At other times you get stuck and feel like you can’t do anything for a long time. This can be hard to cope with. You may feel like you’ll never do anything worthwhile again; or, near the beginning, that you don’t have what it takes to be a researcher. These feelings are almost certainly wrong; if you were admitted as a student at MIT, you’ve got what it takes. You need to hang in there, maintaining high tolerance for low results.
You can get a lot more work done by regularly setting short and medium term goals, weekly and monthly for instance. Two ways you can increase the likelihood of meeting them are to record them in your notebook and to tell someone else. You can make a pact with a friend to trade weekly goals and make a game of trying to meet them. Or tell your advisor.
You’ll get completely stuck sometimes. Like writer’s block, there’s a lot of causes of this and no one solution.
Setting your sights too high leads to paralysis. Work on a subproblem to get back into the flow.
You can get into a positive feedback loop in which doubts about your ability to do the work eat away at your enthusiasm so that in fact you can’t get anything done. Realize that research ability is a learned skill, not innate genius.
If you find yourself seriously stuck, with nothing at all happening for a week or more, promise to work one hour a day. After a few days of that, you’ll probably find yourself back in the flow.
It’s hard to get started working in the morning, easy to keep going once you’ve started. Leave something easy or fun unfinished in the evening that you can start with in the morning. Start the morning with real work-if you start by reading your mail, you may never get to something more productive.
Fear of failure can make work hard. If you find yourself inexplicably “unable” to get work done, ask whether you are avoiding putting your ideas to the test. The prospect of discovering that your last several months of work have been for naught may be what’s stopping you. There’s no way to avoid this; just realize that failure and wasted work are part of the process.
Read Alan Lakien’s book How to Get Control of Your Time and Your Life, which is recommended even by people who hate self-help books. It has invaluable techniques for getting yourself into productive action.
From here advising MIT research students.
More art: Hammershoi
March 28th, 2009 Treats, atschool
Hammershoi, Interior / Young Woman from Behind
Hammershoi, Sunbeams / Dust Motes dancing in Sunbeam
Economic Incentive Tricks III
March 24th, 2009 Treats, atschool
Following on the success of Part I and Part II I’m launching Part III. Part I was a penalty: in which money would have been parted if I had not lost weight
Part II was a gift: pearls I got for myself would have been gifted away
Part III is going to be art reproductions. It should be a series of reproductions that will cost me a goodish sum and this will be gifted away to brother C., for his house as a penalty. I don’t want my usual Hopper and Vermeer. Possibilities:
An Experiment on a Bird in the Air Pump
An Egyptian Mirror
Celadon flask with lotus flower motif (Taipei Palace Museum)
Business men’s Bath (shown below)
And this: WOW!
Stag at Sharkey’s
Anxiety
March 22nd, 2009 atschool
I have been experiencing some* anxiety about my FRM because I am so excited about it and I am working too slowly towards it. I can’t go through the materials any quicker – I have timed myself. Any quicker, I am not getting the stuff and it is a lot of stuff. Serious anxiety – not mild : actually had a bodily reaction towards the internalised stress. I am still anxious – it hasn’t stopped. It is the same anxiety I feel about a blank page: the smell of failure, of inadequacy. I look at the notebooks I keep when writing my thesis, hoping for hints. It does not comfort me. There was a lot of pain, yes, a lot of moaning,yes, but specifically how did I get through it?
Today, procrastination finally kicked in. Instead of working on the FRM, I toyed with the site. And tomorrow, instead of working on the FRM, I would be going through the CSAs.
Perhaps, this is the five emotions all over again.
*understatement
On randomness
March 12th, 2009 atschool
But to Doshay, guiding computers with human-rules patterns was wrong from the beginning.
“If you want computers to do something well, you concentrate on the ways computers do things well,” he said. “Computers can generate enormous quantities of random numbers very rapidly.”
Enter the Monte Carlo method, named by its Manhattan Project pioneers for the casinos where they gambled. It consists of random simulations repeated again and again until patterns and probabilities emerge: the characteristics of an atomic bomb explosion, phase states in quantum fields, the outcome of a Go game. Programs like MoGO and Many Faces simulate random games from start to finish, over and over and over again, with no concern for figuring out which of any given move is best.
“At first, I was dismissive,” said Hearn. “I didn’t think there was anything to be gained from random playouts.” But the programmers had one extra trick: they crunched the accumulated statistics, too. Once a few million random games are modeled, probabilities take form. Thus informed, the programs devote extra processing power to promising branches, and less power to less-promising alternatives.
The resulting game style looks human, but aside from a few rough human heuristics, the patterns articulated by our intuitions are unnecessary.
“The surprising, mysterious thing to me is that these algorithms work at all,” said Hearn. “It’s very puzzling.”
From here
I’m thinking this guy got it right! Pattern seeing brains probably emerged the same way: pure randomness (in life) then a slow learning of statistics and probabilities.
Garp is a four letter word 2
March 10th, 2009 atschool
Managed finally to wake up 5am but did only an hour of actual work. The rest is spent in brushing teeth, finding food, checking twitter and dozing. How do I increase it without feeling tired? Somehow brain hacks only shift the tiredness to a later time, giving me the impression I am focused when I’m not.
More on TWT-Notes
March 1st, 2009 atschool
TWT-Notes is not the kind of TW you can use without internet. It renders the pretty equations using CodeCogs Equation Editor.
(Click to see bigger screenshot)
My workaround is to send to a pdf creator to get my notes printed!
