Path Dependence and the Non-Ergodic Nature of Markets Most of the analytical machinery used in mainstream finance rests on an assumption so foundational that it is rarely examined: the assumption of ergodicity. It is worth examining. The ergodic assumption is...
The following extract is a Top Traders Unplugged summary of a conversation between the podcast hosts Niels and Alan with Simon Judes, C0-CIO at Winton. Click on this link to read the Summary Click on this link to hear the...
A model built in a controlled environment will always outperform a model built for the real one. The controlled environment is the point: strip out the variables that complicate prediction, and what remains is tractable. The problem is that stripping...
Every model of a financial market is a counterfactual. It describes not the market as it is, but the market as it would be if the simplifying assumptions held. Sometimes those assumptions hold well enough to be useful. The...
The title of this article is not a paradox. It is a precise observation about how most participants approach financial markets, and why they struggle. Complexity, in the technical sense, is a property of systems whose behaviour emerges from...
The following extract is a Top Traders Unplugged summary of a conversation between the podcast hosts Niels and Alan with Bruno Gmür, Founder and CIO at Quantica Capital. Click on this link to read the Summary Click on this link...
The following extract is a Top Traders Unplugged summary of a conversation between the podcast hosts Niels and Alan with Matt Dorsten from PIMCO. Click on this link to read the Summary Click on this link to hear the Podcast...
Most investors treat uncertainty as a problem to be managed, minimised, or engineered away. The instinct is understandable. Uncertainty is uncomfortable, and the entire apparatus of modern portfolio theory exists to give it a number and then reduce it. But...
Niels and I got into the weeds of Trend Following again where we discussed why we prefer medium to long term trend following models, how system ensembles help to produce less correlated portfolios and how Outliers are viewed as emergent...
The following extract is a Top Traders Unplugged summary of a conversation between the podcast hosts Niels and Alan with David Gorton, CIO at DG Partners. Click on this link to read the Summary Click on this link to hear...
