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Long time ago, e.g., Fisher Black
was still alive (maybe he's not now). I hadn't yet heard of James Simons.
The rumor I heard was that Simons
liked to hire mathematical physicists
from Russia. I had no way to go to Wall Street
and already know all about everything
they they were doing. The martgingale
convergence theorem, measurable selection,
power spectral estimation, sure, all
about Wall Street, no. When I was in graduate school, people
who understood both measure theory
and martingales, Markov processes, etc.
were like hen's teeth. Or, sure,
essentially every pure math Ph.D.
knows measure theory, but curiously, at
least in the US, they rarely take a
course in graduate probability. It's
tough for me to believe that many
physics students actually work at all
carefully through measure theory.
So, hen's teeth. So, I thought that
I had relatively good qualifications.
And since I'd read E. Thorpe's book,
Wall Street was one of my goals.
But I couldn't get the time of day from
Wall Street. Finally, with the letter
back from Fisher Black, I gave up.
I mean, good grief,
a lot of the interest is in
the Brownian motion approach to
the Dirichelet problem and
Black-Scholes, and that was
Fisher Black. In a sense I can't fault Wall Street:
A lot of people there are making
a lot of money now, with, usually
without, measure theory, etc., so
clearly they don't need me. Once again, over again, one more time,
in the US the main way to make money
is to own a business and make it
valuable, not to work for someone
else. So, I'm doing a start-up.
Based on some mathematics, including
measure theory? Yes. Having to do
with Wall Street? No. Right, LTCM: So, let's see, independent
increments with the same distribution
and not much more and satisfy the
central limit theorem and, thus, get
a Gaussian process, really, an
approximation to Brownian motion.
So, ..., and LTCM should have worked,
right? Wrong! Those assumptions are
only approximately correct, and
moreover need some work on the rate
of convergence to a Gaussian, with
good attention to the tails, and, there,
tilt. Boom. Someone kicks over a
bucket of fish heads in Asia and ...,
down goes LTCM. |