Tag Archives: Black Swan

Saxo Bank hit by lawsuit Black Swan SNB fiasco

Saxo Bank hit by lawsuit Black Swan SNB fiasco

This came in from the same newsletter subscriber who has been submitting some great stories

It pays to keep your ear to the ground, and know what your competition is doing. J

 

Here’s another heads up – what can happen when the “black swan” appears: – https://www.bloomberg.com/news/articles/2015-05-22/saxo-trades-lawsuits-with-clients-after-swiss-currency-turmoil

 

Be prepared for a volatile year.

Thanks to him for sending

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Black Swan Math Trading

Black Swan Math Trading

This is extreme scenario in trading. Nasim Taleb came up with the Black Swan view
This is a video from Sholom B

 

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Another week another billion for Black Swan Nassim Taleb hedge fund

Black Swan Nassim Taleb hedge fund billionaire

At my recent local meet up, I was informed of this story. It was quite interesting when you take a pessimistic look that you could make billions in one week. Well the King of Blackswan events did just that!

 

Read the story here

 

Well over the last couple of days, I have come across some rather interesting new directions.

 

First I can say I have demoed another Interactive Brokers application to showcase the Java API.

 

Go here to see the video

 

As I was talking to Ivan in the wee hours of the night, I came up with an idea that may simplify and empower many non-programming traders using my current workflow.

 

Go here to see my idea via video

 

As you can tell, I am ramping up quite quickly to demonstrate pieces of this Karen super trader strategy with the necessary plumbing of Redis message queues and Interactive Brokers order capabilities. Once complete, I will post all the source code and necessary files to the Quant Elite membership. I will also do a live Q&A demo through my Meetup groups on Google Hangout.

–> GO HERE FOR IMMEDIATE ACCESS <–

 

Thanks for reading

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Black Swan Nassim Taleb hedge fund billionaire

Black Swan Nassim Taleb hedge fund billionaire

See bad new pessimism gets you places

http://www.businessinsider.com/nassim-talebs-universa-investments-crushed-it-2015-8

What would happen if you found a way to analyse the markets to confirm your trading ideas? 

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Is your retirement in danger? Black swan events will you wipe you out in short order

Is your retirement in danger? Black swan events will you wipe you out in short order

http://www.rothira.com/black-swans-antifragility-and-roth-iras

Thanks to Sholom who sent this

All the more reason to be an indie trading running your own shop with infrastructure you own and control!!

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Black Swan Nassim Taleb Ethics Creedo: “If you see fraud and don’t shout fraud, you are a fraud”.

Black Swan Nassim Taleb Ethics Creedo:  “If you see fraud and don’t shout fraud, you are a fraud”

Awesome book you should look at!

http://www.fooledbyrandomness.com/

https://www.youtube.com/channel/UC8uY6yLP9BS4BUc9BSc0Jww?feature=watch

Thanks to Sholom for recommending as usual

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What is the different between these events known as Black Swan vs. Dragon King by Paul Cottrell, MBA

What is the different between these events known as Black Swan vs. Dragon King by Paul Cottrell, MBA

Read this as this is his interest

http://the-studio-reykjavik.com/blog/2014/8/1/black-swan-vs-dragon-king

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Debate: Black Swan Author Nassim Taleb vs Didier Sornette

 

Debate: Black Swan Author Nassim Taleb vs Didier Sornette

From the NYC Contact so thanks to him
Nassim:

1) Your dynamic models are too sensitive to small input parameter changes, Power Laws/Distributions are very sensitive to change in alpha (tail exponent).

2) In the real world, an engineer needs an AntiFragile approach to building and testing a Bridge.

3) Dragon Kings are actually Gray Swans named by Taleb and Mandelbrot.

4) Your dynamic models can expose you to concave risk (i.e are fragile). Concave risk when exposed to a random variable has a negative nonlinear response and is therefore fragile.

Didier:

1) My models don’t use Power Distributions, they use (here I’m not sure what he said, I think Stable distributions is what he uses).

2) Your AntiFragile Method is static, you lack the time dimension. An engineer needs to test the bridge dynamically in the time dimension (i.e tests need to be performed over time and under a variety of different weather conditions).
3) I like the Dragon King name, It sounds much better.

4) My models don’t give a precise time prediction thus they are not concave fragile, They allow you to estimate possible turning/inflection points where you can take convex/antifragile risks.

They both agree on the following:

1) Dynamic models are useful to estimate turning points/pockets of prediction in an otherwise non-predictive environment.

2) That you need Dynamic Modeling with a time dimension for identifying high probability trade setups,(but not for precise predictions), and you need a convex/AntiFragile approach when putting on actual trades.

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There was an epic battle Too-big-to-fail between Larry Summers, Black Swan Event author Nassim Taleb

There was an epic battle  Too-big-to-fail between Larry Summers, Black Swan Event author Nassim Taleb

http://blogs.marketwatch.com/thetell/2014/05/15/too-big-to-fail-battle-between-larry-summers-nassim-taleb/?mod=WSJBlog&utm_source=dlvr.it&utm_medium=facebook

ANother interest article related: http://brucewilds.blogspot.ca/2014/05/facing-our-economic-armageddon.html

This was highlighted by the NYC Contact so thanks to him

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The effects of Black Swan Theory on quant advanced neural networks

The effects of Black Swan Theory on quant advanced neural networks
This was a discussion found on Linked In:
The technology has progressed since the 70’s. A follow-up would be have you recently used a NN to predict something about a financial market?

Either way is fine and there is nothing wrong with knowing other peoples opinions but sometimes there is no substitute for actual doing or even just trying.

I’ve read the Black Swan book. From the limited view of traditional statistics he’s academically correct: something unexpected can happen. However, overall I found his perspective totally irrelevant to what I do. One is not trying to predict very event, every moment in time. If you are then of course what do you do about that rare Black Swan moment?

In trading the only requirement is that on those specific moments when your model makes a prediction that it is accurate most of the time. As the model is developed from history and as Black Swans are so rare they are eliminated as outliers in preprocessing, the NN will not see them and so not act on them.

Is your perspective that the market is fractal so it can’t be predicted accurately?

If it can be predicted does that mean it is not fractal or that the NN is capable of prediction for fractal functions, strange attractors, etc.?

None of our models will pick up the Black Swan type events by definition. All we can do is try to hedge/insure our positions against these events when economically sensible, which is Taleb’s philosophy. Buying far out of the money puts on the stock market when you are highly leveraged long due to your model’s prediction is a perfect example.

Also there there are smaller day to day signals that our none of our models will pick up that we can call “noise”. For example if new information becomes available that we just haven’t captured in our inputs, it will affect prices.

So the best we can do is have more/bigger winners than losers.

It is proven that a neural network can approximate any functional mapping to any desired degree of accuracy. So if the information is in the inputs, I know that a properly constructed net or committee of nets can tease it out and make money.

My philosophy has been that the value of market information decays quickly and that predictions made more for more than the very short term are suspect. But I see in some of the comments that people are predicting much farther into the future. I am curious to hear about the effectiveness of these approaches.
Actually, a model which picks out the black swans is a rather dubious one, i guess. Even if news impact is moving towards higher and higher frequencies, you can still catch it, based on a (often nonlinear) reinforcment loop/feedback.

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