Author Archives: Sal

Acting

James P. Van Dyke, with a minor in Psych
wanted to be an actor.
He dreamed every night of his name up in lights
and audience roaring with laughter.
So he moved to L.A. and got started that day
scrubbing dishes and floors at a diner.
And ignoring the fact that his acting was crap,
his scrubbing could not have been finer.

James P. Van Dyke, with a minor in Psych
waited from Winter to Fall.
But no agent, he found, after looking around,
would return even one of his calls.
Having sought wealth and fame he had reaped only pain,
his dream all but withered and gone.
Not food, love, or drink, nor the couch of a shrink
could give him the will to go on.

James P. Van Dyke, with a minor in Psych
answered the phone every night
to talk to no other but dear loving mother
and try not to put up a fight.
“James,” she would say, in her matronly way,
“You’re a failure who’s run out of luck.
No one will hire a talentless liar.
You’re not an actor—give up!”

James P. Van Dyke, with a minor in Psych
would be dead with a shell in his brain
were it not for a pill to resolve any ill-
ness in sunshine, in fog, or in rain.
An antidepressant for gods and for peasants,
for children and wombats and bears.
It’s easy to throw back your woes with a Prozac
and live without worries or cares.

James P. Van Dyke, with a minor in Psych
got a phone call from Pfizer one day:
“We wondered if you would be willing to do
a testimonial sometime in May.”
So he went to rehearsal for the Prozac commercial,
which aired on T.V. soon thereafter.
But his face turned pale green when it said on the screen,
“James is not an actor.”

A joke which requires lack of knowledge to understand

Usually “getting” a joke requires some subject knowledge. For example, you have to know who Michael Jackson is in order to understand Michael Jackson jokes. I came up with a joke which requires partial knowledge as well as partial ignorance. The joke is:

What emoji is missing on Chinese phones?

Answer: 少

The character is “shǎo,” meaning “to lack.” To me it also looks like a smiley face. But to someone who knows the language, it doesn’t look like a smiley face—it looks like shǎo.

I think you can see the predicament. In order to get the joke, you have to know the character, but not well enough to sight-read it. This reminds me of stories about catching Soviet spies with the Stroop effect. Supposedly, suspects were presented with Russian words for colors, but typeset in different colors than what the words said. Then they were asked to go through the list and say what color each word was printed in. If you can’t read Russian, it’s very easy. But if you can read the word, your brain gets confused. In this way, you can test somebody for a lack of knowledge.

Notes on quantitative trading

I’ve been meaning to learn the math behind stock trading for a while, but I’ve found it’s hard to find quality information. Most of the stuff online is (1) non-technical, (2) trying to sell you something, or (3) both. So I decided to collect my own notes on modern portfolio theory (MPT). Here’s the pdf: Notes on Itô calculus and quantitative trading.

The information comes from various lecture slides and articles. I didn’t put specific references in there, since it’s standard, textbook stuff. Just search for any piece you’d like more information about.

Here is a rough outline:

  • How to select stocks, given their risk and return statistics
  • How to model risk and return in the first place

The first part takes the “Minimum Variance” approach due to Markowitz. To model stock prices, I give an overview of Itô calculus (one form of stochastic calculus) and geometric Brownian motion (GBM). This is the model used by the Black-Scholes formula for pricing derivatives.

I suspect that a simple index fund might beat a portfolio selected with this recipe. In the future, I’d like to test on historical data and find out if there really is an advantage to picking your own stocks.