The Usefulness of Reinforcement Learning in Finance (2018) [pdf](iaqf.org)
iaqf.org
The Usefulness of Reinforcement Learning in Finance (2018) [pdf]
https://www.iaqf.org/dev/files/IAQF-2018%20-%20slides.pdf
3 comments
Speaking of investment charlatans at the MIT Sloan School of Management, almost forgot about this scoundrel: https://www.justice.gov/usao-ma/pr/former-associate-dean-mit...
Only three years in a country club prison!
And remember what the MIT administration did to Aaron Swartz just for trying to make articles in medical journals more readily available to the taxpayers who funded the research.
I'm now thinking that maybe you should start that hedge fund at MIT ... I think a narcissistic sociopath might find himself in good company there.
Only three years in a country club prison!
And remember what the MIT administration did to Aaron Swartz just for trying to make articles in medical journals more readily available to the taxpayers who funded the research.
I'm now thinking that maybe you should start that hedge fund at MIT ... I think a narcissistic sociopath might find himself in good company there.
I still think it is weird how options pricing formulas don't take volume or market depth of the underlying asset into play, and how convenient it is to just lump all pricing anomalies into the "implied volatility" variable.
Oh our neat formula has an increasingly large remainder, implied volatility!
Ironically, LTCM founders made the most well known options pricing formula, and blew up selling their overpriced options to everyone they convinced to use their formula. Always remember that.
Oh our neat formula has an increasingly large remainder, implied volatility!
Ironically, LTCM founders made the most well known options pricing formula, and blew up selling their overpriced options to everyone they convinced to use their formula. Always remember that.
Should be titled "The Usefulness of Reinforcement Learning in Academic Finance", as I don't see the usefulness to real finance. Too many assumptions, short-cuts etc.
That is the problem with quant finance. It has turned into an overly academic industry, churning out publications for the sake of publications. IMHQO.
That is the problem with quant finance. It has turned into an overly academic industry, churning out publications for the sake of publications. IMHQO.
Wow 2007 called and wants its Ornstein-Uhlenbeck back.
Wall Street has a long history of arrogant academics who believe that they have discovered the "holy grail" of investment strategies while getting off in their ivory tower on some fancy-pants mathematical formula that looks oh-so alluringly complex on the surface, but in reality makes all kinds of simplifying assumptions that renders it almost completely useless when applied to real markets.
This road to false riches is now well-traveled, littered with the smoldering remains of companies like LTCM and Bernie Madoff Investments, to name just a few.
And of course the infamous fraudster, Andrew Lo, has also blown up a few boatloads of naive investors' capital ... but in his case he was shrewd enough to snag a university professorship beforehand, behind which he could then hide his naked bleeding ass after Natixis had to bail out his Alpha "Herpes" Simplex hedge fund that he was running (on the sly) across the street from the MIT Sloan School of Management.
My suggestion to this former physics graduate student is quite simple: quit playing the role of the high-falutin' Harvard-trained "wizard of Wall Street" bullshitter, Mr. Gordon Ritter, and try doing something useful (for once) in your life.
The cancer research machine learning community is waiting for your resume.
(Hmm, on second thought, I just remembered something: "sociopaths need not apply." Oh well.)