tag:blogger.com,1999:blog-17232051.post2722673833623412024..comments2024-03-28T03:16:14.104-04:00Comments on Noahpinion: Of brains and balls: Nassim Taleb's macro betsNoah Smithhttp://www.blogger.com/profile/09093917601641588575noreply@blogger.comBlogger105125tag:blogger.com,1999:blog-17232051.post-1438791991001445152015-01-29T03:56:44.869-05:002015-01-29T03:56:44.869-05:00Noah, have you read Antifragile or the math white ...Noah, have you read Antifragile or the math white papers behind Antifragile? His entire point in Antifragile is that, because risk is not measurable, you should not attempt to predict risk but rather build a strategy with a convex payout curve (aka dont attempt to measure risk, just exposure and whether gains/harm accelerate or decelerate in unlikely/unpredictable events). If you're running an antifragile strategy, the average day DOESN'T MATTER to you - the returns come from the few times the 'impossible' events happen. So I believe the rumors you say traders were spreading since the strategy inherently will appear as 'meh' returns until you get 'lucky'.Trebornoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-35663414947715105302014-02-17T08:48:35.707-05:002014-02-17T08:48:35.707-05:00Taleb insults these people because they do very we...Taleb insults these people because they do very well for themselves advising on things, without taking any risk onto themselves.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-30642685474160999222014-02-17T08:41:24.932-05:002014-02-17T08:41:24.932-05:00Only if you also consider taking an insurance poli...Only if you also consider taking an insurance policy on your house gambling.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-23817390466823733162014-02-05T21:45:49.633-05:002014-02-05T21:45:49.633-05:00No, he doesn't tell people to buy lottery tick...No, he doesn't tell people to buy lottery tickets, because their return value is clearly bounded, and you can tell the risk vs reward is terrible. <br /><br />He recommends betting on long shots when you there's a chance that the rewards are extremely large. But essentially he's just a "barbel" guy: invest in some safe stuff, but also invest in some risky stuff with potentially high rewards. <br /><br />This isn't as revolutionary or as interesting as he makes it out to be.<br /><br />Joseph Brennerhttp://obsidianrook.com/mapnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-291175942821157442014-01-19T18:23:40.699-05:002014-01-19T18:23:40.699-05:00I think that Taleb is an awesome engineer of human...I think that Taleb is an awesome engineer of human behavior.<br /><br />His last book explained how different professions can allow a practitioner to choose particular images, and that of the author rewards both very fame and notoriety. He points out that his message will best be spread by negative reviews.<br /><br />He then includes segments and does interviews that contribute to his notariety, the negative reviews roll in, and his message is spread more widely.<br /><br />He made a lot of $ on the books I think, but far more trading. Pretty rare for that to happen, and that skin in the game is why his opinions are valuable. Have to give the man credit, whether he won or lost on that trade, he followed his own advice.lewhttps://www.blogger.com/profile/14382538340412538887noreply@blogger.comtag:blogger.com,1999:blog-17232051.post-26809578308161841492014-01-13T19:48:50.271-05:002014-01-13T19:48:50.271-05:00Ken Heebner also takes big bets and has very incon...Ken Heebner also takes big bets and has very inconsistent returns.He isn't necessarily brash but he holds "legendary" status as Taleb does. <br /><br />http://www.bloomberg.com/news/2013-02-26/ken-heebner-bets-21-of-his-stock-fund-against-treasuries.htmlCon Syshttps://www.blogger.com/profile/09235535007547947531noreply@blogger.comtag:blogger.com,1999:blog-17232051.post-73950692444684769222014-01-13T00:13:58.775-05:002014-01-13T00:13:58.775-05:00You would still be losing money on gold if you inv...You would still be losing money on gold if you invested in 1980. EliRabetthttps://www.blogger.com/profile/07957002964638398767noreply@blogger.comtag:blogger.com,1999:blog-17232051.post-80105497231339615332014-01-12T01:42:40.267-05:002014-01-12T01:42:40.267-05:00Macro aside - this is the most retarded thing I ha...Macro aside - this is the most retarded thing I have read all day... Watch the whole video Noah!Childsplaynoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-62356711425318117972014-01-12T01:41:27.247-05:002014-01-12T01:41:27.247-05:00Would need to look at the implied and historical v...Would need to look at the implied and historical vols... I haven't the time to log on to my eDerivs to check it, but it is quite likely that through hedging deltas Taleb hasn't lost his premium as there has been some vol in treasuries. Shalomnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-16279535625576414592014-01-12T01:37:16.029-05:002014-01-12T01:37:16.029-05:00+1+1Hatchet job that failednoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-62681284220809611652014-01-12T01:34:53.760-05:002014-01-12T01:34:53.760-05:00To be honest I don't think he would be lapping...To be honest I don't think he would be lapping up the praise, because he isn't in the prediction business. Childsplaynoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-28309608689507391772014-01-12T01:33:30.461-05:002014-01-12T01:33:30.461-05:00Obviously not quite familiar with hyperbole.Obviously not quite familiar with hyperbole.Childsplaynoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-10288069665351233442014-01-11T12:44:20.944-05:002014-01-11T12:44:20.944-05:00Revising priors good. Derp about dangers of debt —...Revising priors good. Derp about dangers of debt — while ignoring dangers of mass unemployment — bad.Anonymoushttps://www.blogger.com/profile/17797928102421103389noreply@blogger.comtag:blogger.com,1999:blog-17232051.post-16708159261196655342014-01-11T11:45:49.899-05:002014-01-11T11:45:49.899-05:00The material in Black Swan and Antifragile is not ...The material in Black Swan and Antifragile is not technically new -- it was known in the 19th century -- but like so much correct economics, it was deliberately forgotten by the cult of "efficient markets". That's why it's useful for Taleb to republish this knowledge AND insult the economists who were part of the "efficient markets" cult.Nathanaelnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-30181425810739843162014-01-11T11:44:13.048-05:002014-01-11T11:44:13.048-05:00Personal trading records often differ wildly from ...Personal trading records often differ wildly from fund manager trading records. To me, this makes perfect sense. Other economists may wish to do some institutional and psychological analysis and come up with a theory as to why.<br /><br />In short, someone who is great at trading for his own account is not someone I'd hire to manage a fund and vice versa.Nathanaelnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-38976331289611573132014-01-11T10:59:09.477-05:002014-01-11T10:59:09.477-05:00Saw the Video, and can say noah is acting in bad f...Saw the Video, and can say noah is acting in bad faith. Taleb was doing a hypothetical portfolio with barbells and out of the money options, with 20 positions of which this is one.<br />Totally insane that someone would write this article. <br />The video was posted by someone on Taleb's FB page. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-4900487159511909172014-01-11T01:11:28.207-05:002014-01-11T01:11:28.207-05:00Yeah but then Taleb would be vindicated (even thou...Yeah but then Taleb would be vindicated (even though I don't think he will be). <br /><br />What I want to know is why Aziz & Noah have started this campaign... Who knows what he bought, maybe he got long a leap with very low IV. You can still make money if IV goes up even if you're wrong in direction.<br /><br />These guys know nothing of what they talk.<br /><br />I will concede something though, Taleb shouldn't be up there trying to jawbone the bond market when he clearly doesn't understand it. However, some things do need to be criticised, and generally that is a good thing. Taleb put the Fed to the test of scrutiny and was wrong, end of story. And retail bloggers like Aziz and hacks like Noah (who presumably don't trade) should put it to bed now. Shalomnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-19083901302481438622014-01-11T00:59:04.762-05:002014-01-11T00:59:04.762-05:00Wouldn't a LESS RUDIMENTARY analysis look at i...Wouldn't a LESS RUDIMENTARY analysis look at implied vols along the curve over that timeframe!?! Shalomnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-41852485888682300222014-01-11T00:39:53.765-05:002014-01-11T00:39:53.765-05:00This rant is utterly ridiculous - OF COURSE you wo...This rant is utterly ridiculous - OF COURSE you would include hedging the deltas etc, because that is an actual trade and he mentions trades in career... Market makers are often short vol too - directional inventory risk! Clearly you haven't actually made a market before because you talk about it as though it is risk free!?! <br />How did you get that job at Pine River?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-6153490734833317612014-01-10T06:38:30.228-05:002014-01-10T06:38:30.228-05:00Nonsense, Eric.
In 25 years trading, there can be...Nonsense, Eric.<br /><br />In 25 years trading, there can be millions of individual bets to make.<br /><br />Then, one can always go nitpicking. How you count bets etc etc<br /><br />You speculate there were not so many bets. Go speculateJazi Zilberhttps://www.blogger.com/profile/05905089558096276638noreply@blogger.comtag:blogger.com,1999:blog-17232051.post-66829310734439622692014-01-09T13:34:33.280-05:002014-01-09T13:34:33.280-05:00We have only Taleb's word on that, really. Azi...We have only Taleb's word on that, really. Aziz and I have both been receiving emails telling us that Taleb's record as a fund manager was atrocious, and that at Lehman he made one large successful bet and otherwise didn't do so hot.Noah Smithhttps://www.blogger.com/profile/09093917601641588575noreply@blogger.comtag:blogger.com,1999:blog-17232051.post-24367752334569682942014-01-09T12:19:01.865-05:002014-01-09T12:19:01.865-05:00well pitty because he is a genius and a prophet. O...well pitty because he is a genius and a prophet. Only if he is too succesful this wont be recognised. Remember 2008 remember 2001 remember Fukoshima, remember the two planet scale tsunami's in the same decadeAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-22059006791942140542014-01-09T12:17:23.424-05:002014-01-09T12:17:23.424-05:00having earned millions as supposedly he did, seems...having earned millions as supposedly he did, seems a good measure of successAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-17232051.post-79771405098086335732014-01-09T07:55:47.556-05:002014-01-09T07:55:47.556-05:00Just a few thoughts on that: suppose you bet on an...Just a few thoughts on that: suppose you bet on an outlier event (doesn't matter based upon what assumption): <br /><br />How do you do that to maximize your Profit? You go for Long Options. Then: how much money do you use to do that? Most certainly not a 100% of what you have (if you do that you should really reconsider mental help) -> but maybe 1% or 2%, at maximum five and ideally, you have other incomes/returns the off set this premium paid in the case of "not happening, e.g. your options expire worthless. <br /><br />Ideally, these incomes/returns are not correlated in any way to your outlier bet, it's best to use cash flow from old/closed out profitable trades prior to that as they are available.<br /><br />Now - your rare event is maybe not so rare but for the time being it'll remain very rare yet close to non-existent (i know... all I am saying: just did not happen UNTIL now) and you lose money on the trade. <br /><br />In my view: losing a little while having the opportunity to make a huge killing is mandatory in trading/investing? So in a way, Taleb is right: he did OK on this trade? <br /><br />Anyone?<br /><br />Cheers,<br /><br />Trader D EuropeanSectorInvestorhttp://www.europeansectorinvestor.blogspot.de/noreply@blogger.comtag:blogger.com,1999:blog-17232051.post-7376215643658489192014-01-09T07:45:02.035-05:002014-01-09T07:45:02.035-05:00right. So he could come out with: "Everybody ...right. So he could come out with: "Everybody should be betting on Will Farrell as the next President. The fact political pundits rule out this possibility just show they don't have a clue. You'll probably lose but if you win you'll never have to work again." and you couldn't call that a bad call because his overall trading P/L looks good. <br /><br />If somebody recommends a particular trade, how do you evaluate that recommendation? Why not consider how returns on winning compare to odds of winning? In which case Taleb can be criticised here for implicitly getting the odds of inflation ballooning wrong because he doesn't understand macro as well as he thinks he does. Luis Enriquehttps://www.blogger.com/profile/09373244720653497312noreply@blogger.com