Jun

29

Jeff Watson writes:

We lost a giant.

William Thomas Ziemba, August 30, 1941 - June 22, 2022

Known as “Dr. Z,” Bill developed scenarios, models and studied anomalies across any market he could think of – from Jai alai, sports betting, currencies, equities, and horse racing, seeing all as forms of investment where decisions could be studied, optimized, and bets appropriately scaled. Believing that the best way to understand a topic was to write a book, Bill wrote over 40 on topics ranging from financial markets, sports betting, anomalies, lotteries and even Turkish flat weaves. Other ground-breaking work focused on energy supply scenarios on what became Canada’s oil sands in collaboration with Sandra. One of the publications of which he was most proud was his memoir, Adventures of a Modern Renaissance Academic in Investing and Gambling.

Jun

28

If you missed Newton Linchen's Zoom talk on AI this morning, here is a link to the recording, passcode: &6yLyn*F.

He included a demo, explained the different types of machine learning, suggested books, and related the colorful story of how a powerful reinforcement learning algo of the sort used for self-driving cars and rocket landings took five days to run and nearly melted his computer. (That's not an algo he uses in his trading for clients.)

If you wish to download the recording you can, but be aware that you will be downloading an untrimmed version as Zoom preserves the original. The talk starts at around 30:15.

Laurence Glazier comments:

This is brilliant. It is so nice that nowadays mathematicians have an alternative to aerospace pursuits. I would like to see AI applied to classical music, so I could have an engine at my side as I tried to figure out the complexities of a piece, much as a grandmaster may be assisted by an AI chess engine like AlphaZero. I am also looking at altering the design of the theramin to interpret conductor gestures, and ultimately AI may have a role here too.

Paolo Pezzutti writes:

Excellent presentation. As you highlighted it is all about features. Models are open source therefore you can only work to tune parameters. The choice of features is fundamental. Either as a continuous series or conditional (1 vs 0). It is is also important how you select training data taking into account the current regime. An interesting approach to study in addition to price relationships is introducing alt data such as payrolls or yields spreads, or intermarket relationships. I guess that brilliant minds with powerful computers are continuosly processing huge amounts of data pursuing an edge that is a moving target due to everchanging cycles.

Jordan Low asks:

Thank you for your talk. One of the problems I had with classifying up or down days is that the ML model tends to find "buy-the-dip" opportunities to pick pennies, but might get wiped out on a larger volatility event such as a pandemic. Is this a problem you face as well, and what are the strategies to mitigate this?

Jun

27

Financial Time Series Analysis and Prediction With Feature Engineering and Support Vector Machines

Jun

27

Topic: Newton Linchen; AI in Finance
Time: Jun 27, 2022 11:00 AM Eastern Time (US and Canada)

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Jun

27

It’s been said that machine learning algorithms have no particular prediction power for the stock market, due to it’s intrinsic randomness and the all pervasive opportunity for curve fitting. (My very first inquiry here on the List, back in 2009, was about how one could avoid overfitting.)

Specially when dealing with short-term trading (day trading), it’s considered that nothing can really beat the random nature of the market. And I agree, to a certain point.

But my experience in recent years, particularly applying machine learning for the day trading of stock index futures, would suggest otherwise. There’s a frontier between stock market analysis and data science that can lead to predictive power using machine learning algorithms.

Perhaps the best advise is to use them for classification, not regression. And here we are in pattern analysis, so to speak. Classification algorithms can identify feature characteristics and recurrent patterns in an nonlinear dimensional space. So, with enough work on the subject, it’s possible to identify tradable patterns, (which in fact remain uncertain, as per the black box characteristic of certain algorithms), and to build a trading strategy around them.

My best experience so far has been with a QDA (Quadratic Discriminant Analysis) algorithm, with real trades for the past 15 months. Here’s the documentation link for the QDA algorithm, which is public knowledge as part of the Scikit-learn python library:

QDA algorithm

Laurel Kenner asks:

Newton, what role does human inspiration play in revising hypotheses in the scientific method that AI seeks to automate? Can an AI replicate out-of-line ideas, lucky errors, the contrarian stubbornness of human thought? Can it know what it is to add value?

Newton Linchen responds:

After 15+ years in the stock market, I went to grad school in computer science, to learn such algorithms. Before that, I had no idea how they worked, and as a trading strategies developer, my main concern was always to avoid curve fitting at all costs.

I’m not the best student, but from what I’ve learned, and applied in my work as an analyst, it became clear that we, who are foreign to this area, have much misconceptions about the nature and the role of AI. In fact, I think AI is a very bad name, as, most of the time, we are dealing just with approximation functions.

What machine learning algorithms excel, is to perceive relationships between the features, mapping those features in a hyperplane, (which is a confusing name to express that each feature is understood as a dimension itself in the dataset). The quest is not for to suppress human insight, knowledge and creativity, au contraire: is to use it in an orderly fashion as features for the algorithms to learn from. I believe Marcos Lopez de Prado has a body of work in this field, and clearly it is him who should be bringing this topic, not me.

In my experience, the algorithms learn patterns (that perhaps we couldn’t identify), and generate predictions. A whole other work begins when we decide what to do with those predictions (as in terms of time length of the trade, profit target, stop loss, stop-the-algorithm policy, etc). So, AI won’t substitute human knowledge and insight in the markets, but I believe it’s a precious tool for research.

Nils Poertner adds:

human intuition is underrated, isn't it - to make sense of the world sometimes? we are all geniuses in a way but don't see it that way.

The intuitive mind is a sacred gift and the rational mind is a faithful servant. We have created a society that honours the servant and has forgotten the gift.
- Albert Einstein

Paolo Pezzutti comments:

I have not worked with Qda. I am convinced that classifiers are more interesting from the trader's perspective than regressors. I have coded things using xgboost which is also quite popular just to understand the approach and the potential. There is a huge effort to do in order to identify and select features. Overfitting is an easy trap.

Leo Jia writes:

I prefer seeking entry-exit pairs to only predictive conditions. Overfiting is unavoidable. But there are techniques to largely eliminate them. Also, it's not enough to only seek the best performing (however one defines it) conditions based on the given data as paradigm is surely changing, so it's important to find lukewarm or even losing conditions that are to well perform sometimes in the future. In any regard, expecting machine learning to do a great job on timeseries financial data as it can do with, say, image detection is unrealistic due to many factors, notably the lack of training data and the paradigm changes. So other assisting techniques (which turn out essential) have to be used ulteriorly.

Jun

26

Excellent book written by a geneticist, entomologist, and economist with applications to every aspect of markets.

The Trees in My Forest

Boulders now protrude all over my hill. As I lingered under the red spruces on the sun-dappled ground I heard soft breeze through the branches above me, and I marveled at how the glaciers, lichens encrusted the rocks. Vines of crowberries, blueberries, cranberries and sedges grew on gravelly soil. They held moisture. Mosses took hold, retaining even more moisture. A layer of brown humus accumulated through the ages. Spruce, fir and birch seedlings sprouted. Vines and roots, building soil and supporting moss, crept over the rocks, building yet more soil.

a boulder:
El-Erian: ‘It’s uncomfortably possible’ that the Fed will push the economy into a recession

it is instructive to look at a long-term chart of S&P. it was 1000 in 1996, 2000 in 2007, 2600 in 2016, 4000 these days.

dividing the period up into 4 non-overlapping periods, one finds that in none of them have gone more than 109 days without an 80-day high. in each period, the longer we went without an 80-day high, the more bullish it became. we last hit an 80 day high on 3-18. that's 70 days ago.

it is not often that we go 100 days without an 80 day high. indeed since 1996 it has only happened 9 times. when we go 70 days or more without an 80-day high, it is very bullish. indeed the expectation to the next-80 day high has a t of 16. if you haven't had a recurrence of cancer within 70 months, your survival expectation and probabilities are very high. this is useful and regular use of survival statistics.

despite the backlash, the youthful, biking 80-yr-old, 14.1%, is still only behind the Florida Man by about 6 percentage pts. what can we make of it? The regulatory capture looks bad for Nov. 2022 but we still went up 5% last week. a new meme seems to be taking hold. Perhaps Heinrich on mosses is relevant.

Vic's twitter feed

Jun

26

History Lessons for Investors, By gene epstein

Steve Ellison comments:

The most valuable things I learned from Livermore were:

1) Do your own work in the market; never seek out or act on tips
2) Old Man Partridge's admonition, "But it's a bull market", lest I ever contemplate selling or going short

Vic's twitter feed

Jun

26

Metals Haven’t Crashed This Hard Since the Great Recession
Prices for copper, tin and other metals plummeted last week as recession fears grow.

Vic's twitter feed

Jun

26

A Century of Stock Market Liquidity and Trading Costs
Charles M. Jones, Graduate School of Business, Columbia University
First version: May 1, 2000
This version: May 22, 2002

I assemble an annual time series of bid-ask spreads on Dow Jones stocks from 1900-2000, along with an annual estimate of the weighted-average commission rate for trading NYSE stocks since 1925. Spreads are cyclical, especially during periods of market turmoil. The sum of halfspreads and one-way commissions, multiplied by annual turnover, is an estimate of the annual proportional cost of aggregate equity trading. This cost drives a wedge between aggregate gross equity returns and net equity returns. This wedge can account for only a small part of the observed equity premium, but all else equal the gross equity premium is perhaps 1% lower today than it was early in the 1900’s. Finally, I present evidence that the transaction cost measures that also proxy for liquidity – spreads and turnover – predict stock returns one year or more ahead. High spreads predict high stock returns; high turnover predicts low stock returns. These liquidity variables dominate traditional predictor variables, such as the dividend yield. The evidence suggests that time-series variation in aggregate liquidity is an important determinant of conditional expected stock market returns.

Vic's twitter feed

Jun

24

news that will not be highlighted. market no longer in a bear. down 19% from beginning of year at 3854 versus 4750.

highly relevant quote of day from Beating the Market, 1926, R. McNeil: "It is only by buying when surface conditions to the market show stocks to be unattractive - that one may graduate from the ranks of the lambs."

Vic's twitter feed

Jun

23

another shibboleth beats the bush:

Huge Global Studies Find Low-Carb or Keto Diets Could Lead to Shorter Lifespan

i use know everything about racket sports. hobo keeley dubbed me the greatest all round racket player of all time (i beat Marty Hogan in a showdown when I was limping from an injury) but now i don't know anything about racket sports either. the games and strikes have changed.

in the supreme insult, my son aubrey won't listen to me about tennis. he says his high school coach disagrees with me about belting every shot. She says it's good even though he misses 99% of first serves.

tremendous deflation in last hew days. its good for whispering guy with a temper. regulatory capture will be greater. and his betting odds increased by 4% to 14.4% versus field for big position.

Vic's twitter feed

Jun

22

Virginia Postrel has it right as always, and this calls for a proper scientific study of how the extent of shareholder values that a company strives for versus stakeholder values effects shareholder return. somehow this study will not be undertaken at Harvard.

Stakeholder Capitalism Isn’t Working as Planned

It’s a prescription for culture wars, political backlash, managerial paralysis and human-resources nightmares. And it’s anything but nice.

Vic's twitter feed

Jun

22

There are many cautionary tales and market lessons in the first minute or so of this video.

Freak Wave Steamrolls Lineup (Opening Scene) – Uluwatu

Jun

20

There is a doubting Thomas in everyone's heart, since no one ever has taken any trades without some risk. It is this risk that always creates doubts in all minds. In day to day flow of the markets the doubts do not get much chance to surface up. But whenever there is an unusual holiday gap, i.e. a longer than normal weekend, a significantly large enough number of minds get the chance to live up to their subdued doubts. Irrespective of whether one is long or one is short, the extra holiday provides the opportunity for one to think enough to choose to act differently than one had been. So long holiday gaps tend to create reversals. Someone might choose to test this. Perhaps a good way to do this might be to create filters such as If prior 5 day returns before a long weekend were <0, then 5 day returns after the long weekend are >0 or vice versa.

Vic responds:

Sushil Kedia elicits an ingenious theory that before holidays humans tend to change their minds. I tested the theory as it mite be highly relevant today. fortunately the multivariate thing i discovered and used for forty years is perfect for testing the theory.

From 2011 to current there were 43 occasions when S&P was up big in 10 days before holiday, and on average 20 days later the market was down 6 points. there were 21 occasions where S&P was down big in 10 days before holiday. after big down, the average 10 days later was up 2% and up 3% 20 days later, with probabilities of 80%.

Vic's twitter feed

Jun

20

Henri Poincaré (1854-1912) made diversified contributions in many fields of resonance and relevance today including chaos theory, graphical solutions of differential equations, special relativity, topology, astronomy, probability theory. He made discoveries by ignoring detail and pretending that he was mountaineering, going form one peak to another. "logic limits ideas": he believed in the subconscious solving problems. he worked 2 hours in the morning and 2 hours in late afternoon every day. he went from onw peak to another and while mountaineering, the facts he discovered clustering around the center of the mountains were instantly and automatically pigeonholed in his memory. he visualized everything and his creative habits were similar to the great 19th century musicians like Beethoven, Brahms.

Vic's twitter feed

Jun

15

nobody asked me, but: (1) the Fed and the boy who cried wolf bark bigger than bite. (2) so typical of an agrarian admin to go for price controls. see The speculator as hero and why Antwerp fell when specs stopped "drilling" and citizens stopped economizing consumption with high prices.

the 'chairman' back from Kinderland but still ignorant of economics says that "core inflation is a much better prediction of future inflation than headline inflation." what evidence is there that is true? why are energy and food transitory? are they more effected by policies? when were the studies updated? and what is the confidence that commodity and energy regress?

half of the monetary economists in the world are on the Fed's payroll, but I would be willing to provide an objective evaluation of the fed's view about core inflation being a better predictor.

S&P is a long way from 3801 yesterday at 3pm est. perhaps there was a leak of positive info that caused the 140-pt rise. that's 4% - are we not still in a bear market? perhaps suppress that.

Vic's twitter feed

Jun

14

there's a bit of deflation in grains and oil and crypto.

the ppi gang got the message to tweak the comparisons favorable to the Big One after the cpi gang forgot. too bad the cpi announcement came before the ppi announcement. the importance of the path.

with a major pharma self reporting that one of their major treatments for Covid doesn't work, the time has come for an outside, unbiased statistician to perform an unbiased estimate of the costs and benefits of the panoply given the number of boosters and original dose. a study that will not be covered.

ok we're in a definition of a bear market. but what is the expectation going forward? i don't use % so i will rely on the wsj report that it's up an average of 3% with a 70% prob one month later and even more bullish for 2 months and end of year.

Vic's twitter feed

Jun

14

For SPY since inception (1993):

observations: 127
positive: 79
% positive: 62.2%
mean move: 0.37%
sd: 1.61%
z vs all SPY days: 3.19

Jeffrey Hirsch comments:

Filtering for magnitude might be instructive.

Michael Brush suggests:

Would it need to be Thurs Fri Mon down ahead of a Wed Fed meeting? That seems to be the salient factor. For months markets have been weak in the days leading up to a Fed meeting, and then…

Kim Zussman adds:

There may also be a size effect, i.e., not just down, but down small vs big %.

Jun

12

It now attracts tourists posing for photographs and investors superstitiously rubbing its horns for good luck. The bull is now seen as a symbolic mascot for New Yorkers and for world.
Originally published on TheWelcomeBlog, 03/19/2020.

much touching of bull this weekend and myself at near 100 for good luck

Vic's twitter feed

Jun

11

Ask me anything on Trading Psychology with Dr. Brett Steenbarger

Jun

10

one is almost speechless. with 3 big down days in a row. only happened 3 times since 2011: 8-24-2015, 3-9-2020, 1-21-2022. all three up big on next day. I have an unusual, unique take on why it happened. has to do with the Jan 6 Hearings. Not good enough to to sink the opposition, violence engendered by those incentivized to teach Kavanaugh a lesson, too close to home. So only thing that will save the fair party is a desperate remedy. Not a smiling performance with friend on TV.

Vic's twitter feed

Jun

9

looks like all the kings horses provided input to tweaking the cpi number, especially with the recall it becomes triply important to unravel the decline in it.

the 3 musketeers championing the Idea that has world in its grip are as concerned about Inflation as they have traditionally been about equality, diversification, and climate. with their laser-like attention on inflation, and the track record of helping their mentors along, one looks for some finagling on the cpi on Friday. It would be bad indeed to start another weekend off with the weather gage with the quarry.

one finds that since 2011 there have been 11 occasions when there has been no 50-day max within 110 days. as for the forecast going forward on those occasions, we'll leave that up to ags and other bears when they wish to kibitz with a foundation.

Vic's twitter feed

Jun

8

Sneak peek: The new CBOE open outcry trading floor opening in June

A reader asks:

What % of the floor space is the SPX pit?

Jeff Watson replies:

No clue. The CME is moving what’s left of their trading floor back to the old South Room, where the CBOT bond pit was 40 years ago before the new floor opened in 1982.

[A related link. -Ed.]
FLOORED The Complete Documentary Film

A world that's more riot than profession, the trading floors of Chicago are a place where gambling your family's mortgage is all in a day's work. FLOORED offers a unique window to this lesser-known world of finance. Traders may not have degrees, but they've got guts, and penchant for excess. But like many aspects of our economy, technology is changing their business, and these eccentric pit denizens aren't the type to take kindly to new tricks. Computerized trading may take the emotion out of the job, but it may also take these old-timers out- they are dinosaurs in a young man's game. FLOORED is a gripping, honest look behind the curtain of the trading floor that few have ever seen.

Jeff Watson adds:

A new trading floor in 2022 and I’m stoked.

Stefan Jovanovich offers some history:

Chicago Stock Exchange Trading Room: Reconstruction at the Art Institute of Chicago

Jun

7

SEC Weighs Sending Retail Stock Orders to Auctions for Execution
• Plan under consideration could impact major trading firms
• Agency has been reviewing rules underpinning stock market

that's not cricket. the major purpose of markets is for the infrastructure to prosper at the expense of the public.

Vic's twitter feed

Jun

5

How are they going to paint this as a strong economy?

[Data source. -Ed.]

Andy Aiken responds:

It's not, but it gives the Fed a pretext to hold off on rate increases in an election year.

Vic adds:

46 leaked the numbers in his speech on Powell. they get the numbers several days in advance.

A reader asks:

Bill, how have ten year yields reacted in the past when the number is both negative year over and continuing to accelerate down trend? It seems this could be the catalyst that causes the long end to flatten out/rally as the Fed continues to raise the short? Does that hypothesis bear out in testing?

Bill Rafter replies:

Thanks for the question. I will not know until I test.

George Zachar asks:

oddly, the y/y% change in private eci wages has roughly doubled since late 2020, now at 5%. can you square the circle?

Bill Rafter replies again:

I will have to look at it. The payroll taxes are most the macro I can tap, so I tend to put their veracity on top.

Paolo Pezzutti comments:

I was hoping an Api could download the file from the treasury website. There are a number of Api's in Python or R to download datasets in json, csv, xml from FRED and other websites as alternative data to find relationships and regularities with stock index prices. Some of these keys are premium. I wonder if this approach provides real added value with respect to counting based on the idea that prices represent the synthesis of all market players actions and views.

Jun

5

Monty Python's Life of Brian 1979 Alright I am the Messiah

deep seated desire by humans to find a guru in life, in trading, in spirituality, whatever - consciously or not (have the same really, I suppose). eg, friend followed Demark (cult) and his indicators religiously and only later realized he had to tweak it and adjust it and figure things out for himself.

Larry Williams disagrees:

Dead wrong on DeMark.

Nils Poertner responds:

experienced traders like yourself figured out how to use Demark i'm sure. was just trying to say that for most there is a tendency of humans (incl traders) to lean on somebody else but the journey is always a personal one. maybe the obvious.

Larry Williams writes:

Agree we all want someone else to make it easy for us!

How to use DeMark? Tom and I created it together. I was there at day one—we developed it pre computers, talking on the phone every night. He was in Racine Wisconsin, I was in Kalispell Montana—we poured over charts every night making notes, etc. Since then Tom has taken over and thanks to his mind and computers it has gotten even better—-original model gave a buy at the recent low.

Jun

5

It Actually Happened… || Gary Martin Breaks LEGENDARY Record Of Jim Ryun

Larry Williams clarifies:

He’s really not faster than Ryan—look at the cinder track Ryun ran on vs the new, and much faster one, where the new record was set.

Stefan Jovanovich allows:

LW knows track.

Larry Williams adds:

If I could only run fast. Dyrol Burleson, college roommate—first American to break 4 minutes in the USA—ran, as a college senior, against Ryan, beat him, but told the reporters he was not the story, Ryan was. What he did on those old track and old shoes was amazing.

Speaking of shoes, the new carbon plate ones (Nike Alphafly) are a real game changer - more records to be shattered. Thet are so much easier on your legs.

Jun

4

it seems that even more than usual, bears permeates the firmament. the three times that employment has been bad for S&P since 2011 (after thur up), the market has gone up abut 4% the next 4 days. Please tell me why bonds were way down and why they are not bullish.

nobody asked me but… (1) The Yankees are much overrated and ultimately their holes in the lineup with gallo, chapman, and Hicks will cause losses. (2) Having read Joseph Campbell who was fastest half miler in US in 1925, I don't understand the relevance of his main themes to actual myths. plse help. (3) Suzyn Waldman 76 and John Sterling 85 are very good to me as a calming influence while trading in the nite. Their relation is like that of a caretaker (Suzyn) taking care of parent (John) in an old age home. and he is very appreciative and can still keep score.

Vic's twitter feed

Jun

3

my daughter Kate just asked me if the first strike is significant. the team that scores the first basket in basketball wins something like 60% of time. i tested it for the first tick in the S&P, i.e., 930 to 931. if up, quite bullish for the rest of the day. if down, quite bearish. the difference in means is 3. can you think of any others?

the first strike is half the battle. now that i think of it, i always tried to get the first point in squash. then i'd continue and try to get up 5-zip. was very successful that way forcing myself to try hard at the beginning.

Vic's twitter feed

Jun

2

The Best Bull Rider of All Time: J.B. Mauney

He’s changing the game. He does things no one else does. There’s not a title in the world that he can’t win. The best bull rider in the world, J.B. Mauney is a throwback cowboy from Moorseville, North Carolina. VICE Sports traveled with J.B. to check out his atypical workouts, his superior technique and unrivaled work ethic that has taken him to unprecedented ground in the bull riding community.

Stefan Jovanovich checks his vitals:

5 ft 10 in (1.78 m) and 140 pounds (64 kg).

Peter DeBaz adds:

The one-way ticket to his first PBA remind me of the burning ships of Cortes.

Jun

2

I keep a tennis racket and ball in my desk so I can entertain my 13 grand kids. today I got some extra use out of the racket as the lawn mower people come on tues at the close and the only way I was able to stop them was to alert them to stop with a backhand lob.

of all the schools that my family has matriculated in I have often believed that Williams was the one that gave them the best ed and happiness. The reason to me is the policy of making everyone there participate in at least one sport. if secondary schools insisted that all students joined at least one sport I predict that there would be 99% drop in violence.

Vic's twitter feed

Jun

1

Something Deeply Hidden, by Sean Carroll has changed my understanding of reality more than any book I've ever read. Its the latest explanation of Quantum Fields and wave theory for laymen. For probabilistic thinkers like Spec Listers, it should be readily accessible as probability is the basis of quantum field theory.

The whole world is one quantum wave which evolves according to Schrödinger's formula solves the probability of a reality is the square of the energy wave. Relativities distinctions between matter/energy are gone. Time and space are emergent phenomena of the quantum wave not real things.

Its mind blowing stuff and so different than everything I learned my whole entire life. Highly recommended.

Also interesting are Erwin Schrödinger's lectures, What is Life, describing life, dna, evolution, sentience and consciousness from a quantum physics perspective.

Stefan Jovanovich links to an alternate view:

Q&A: Gerard ’t Hooft on the future of quantum mechanics

The laws of quantum mechanics seem to tell us that there is a fundamental random component to the universe. But Gerard ’t Hooft, who received the Nobel Prize in 1999 for his work on gauge theories in particle physics, is not convinced that physicists have to abandon determinism.

In his new book, The Cellular Automaton Interpretation of Quantum Mechanics (Springer, 2016), ’t Hooft suggests that we may simply be lacking the data that would turn quantum probability distributions into specific predictions.

Nils Poertner adds:

Trading in the Zone, by Mark Douglas, touches on this as well. nice chapter on "Belief vs Truth" in context of possibilities and probabilities. good to be surrounded by folks who stimulate oneself in that direction, too, friends, colleagues, this group here, etc.

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