macrocephalopod on Twitter: "I honestly don't know what the point of these arguments is. Yes, there are some theoretical models where you can make money arbitrarily fast if you assume completely fantastical parameters and ignore all real-world frictions. How is this supposed to be helpful?… https://t.co/ZeobsWUfML"

Country	Code	For customers of
United States	40404	(any)
Canada	21212	(any)
United Kingdom	86444	Vodafone, Orange, 3, O2
Brazil	40404	Nextel, TIM
Haiti	40404	Digicel, Voila
Ireland	51210	Vodafone, O2
India	53000	Bharti Airtel, Videocon, Reliance
Indonesia	89887	AXIS, 3, Telkomsel, Indosat, XL Axiata
Italy	4880804	Wind
3424486444	Vodafone
» See SMS short codes for other countries

macrocephalopod‏ @macrocephalopod 16 Mar 2021

Replying to @goldstein_aa @zzzrrrzzz12 @breakingthemark

macrocephalopod Retweeted macrocephalopod

Nopehttps://twitter.com/macrocephalopod/status/1371880688035762179?s=20 …

macrocephalopod added,

macrocephalopod @macrocephalopod

Replying to @macrocephalopod @zzzrrrzzz12 and 2 others

This other guy already realized it wouldn't work and retracted his claim, sadly you were not smart enough to do the same, womp womp https://twitter.com/goldstein_aa/status/1371143515577663492?s=20 …

1 reply 0 retweets 0 likes

Adam Goldstein‏ @goldstein_aa 16 Mar 2021

Replying to @macrocephalopod @zzzrrrzzz12 @breakingthemark

Hmmm... you still haven't explained how a stock that's generated with RANDOM noise with a geometric mean multiplier of 1 - so, a stock that goes absolutely nowhere because there's no mean reversion or trend - can make you incredibly rich. I guess we're all insane morons!

1 reply 0 retweets 0 likes

macrocephalopod‏ @macrocephalopod 16 Mar 2021

Replying to @goldstein_aa @zzzrrrzzz12 @breakingthemark

That's not what we were talking about? I only ever mentioned arithmetic mean zero. You challenged that, then later realized you were wrong and retracted - fine. Some other guy continued to push his wrong idea, so I simulated it to show it was wrong.

1 reply 0 retweets 0 likes

Adam Goldstein‏ @goldstein_aa 16 Mar 2021

Replying to @macrocephalopod @zzzrrrzzz12 @breakingthemark

Well, look at your tweet thread: "Here's a quick primer on how to build a quant reversion strategy. First step is to find a price series that...may have some reverting behaviour -- this ... looks reasonable but you could use an ETF, currency, whatever really."...

1 reply 0 retweets 0 likes

Adam Goldstein‏ @goldstein_aa 16 Mar 2021

Replying to @goldstein_aa @macrocephalopod and

Your tweet clearly implied that in order to make money there has to be some predictable behavior like mean reversion (or trend, presumably). But that's not true - a stock that wanders aimlessly with NOISE with a geomean multiplier of 1, so it goes nowhere - could make you rich.

1 reply 0 retweets 1 like

macrocephalopod‏ @macrocephalopod 16 Mar 2021

Replying to @goldstein_aa @zzzrrrzzz12 @breakingthemark

I agree with that!* I have never disagreed with it! I didn't bring up shannon's demon -- I only pointed out that it doesn't work on price series that have zero arithmetic return (which is true of the price series I was using).

2 replies 0 retweets 0 likes

macrocephalopod‏ @macrocephalopod 16 Mar 2021

Replying to @macrocephalopod @goldstein_aa and

The * is there because this only works in theory (in reality transaction and financing costs would eat all your pnl) and only for certain definitions of "very rich" -- in practice you would need to compound for dozens of years to become rich, even if you had no txn costs.

1 reply 0 retweets 0 likes

Adam Goldstein‏ @goldstein_aa 16 Mar 2021

Replying to @macrocephalopod @zzzrrrzzz12 @breakingthemark

Well, you're clearly making some assumptions on the (1+R) noise multiplier with geomean=1. If it's highly volatile noise, you could get rich as as fast as Rentech did with Medallion. And it's just random noise!

1 reply 0 retweets 1 like

macrocephalopod‏ @macrocephalopod 16 Mar 2021

Replying to @goldstein_aa @zzzrrrzzz12 @breakingthemark

Yes I'm assuming it's similar to real-world stocks. If you took Bitcoin with 100% annualized vol you would only have a Sharpe of 0.5 so you need to compound for 16 years to be 95% sure of profit. For a stock with 50% vol you need to compound for 64 years to be 95% sure.

1 reply 0 retweets 0 likes

macrocephalopod‏ @macrocephalopod 16 Mar 2021

Replying to @macrocephalopod @goldstein_aa and

Shannon's original example used 50% vol for each period -- if we assume that a period is one day, the asset in his example would be 8x more volatile than Bitcoin (!)

2 replies 0 retweets 0 likes

macrocephalopod‏ @macrocephalopod 16 Mar 2021

Replying to @macrocephalopod @goldstein_aa and

I honestly don't know what the point of these arguments is. Yes, there are some theoretical models where you can make money arbitrarily fast if you assume completely fantastical parameters and ignore all real-world frictions. How is this supposed to be helpful?

11:23 AM - 16 Mar 2021

1 reply 0 retweets 0 likes

Loading seems to be taking a while.

Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.

Tweets

macrocephalopod