This post considers both “modern” and “machine learning” portfolio approaches, and I show that they are sometimes the same. This viewpoint yields new, principled top-down allocation methodologies including a promising new approach inspired by Hierarchical Risk Parity. Goals I summarize Hierarchical Risk Parity (HRP) developed by Marcos Lopez de Prado in…

Facebook’s Prophet package aims to provide a simple, automated approach to the prediction of a large number of different time series. The package employs an easily interpreted, three-component additive model whose Bayesian posterior is sampled using STAN. In contrast to some other approaches, the user of Prophet might hope for…

Aug 2021 This essay responds to the well-known Reward is Enough article by David Silver, Satinder Singh, Doina Precup, and Richard S. Sutton. The title of their work is a high-quality provocation but somewhat futuristic. In this response, I argue that “reasonably impressive collective intelligence” is more imminent and feasible…

I have created a notebook that will help you beat the microprediction oracle — the one you are so terrified of. Yes, like the frightened baby chipmunk, you are scared by anything that is different. I know this. Too bad for you I have prophesized in this book that in…

As some of you know I was able to convince ChatGPT4 to help me with time-series analysis, and conversely it was also able to help itself to the admittedly limited wisdom of humanity (article) for its own prediction too. I’m having a harder time with BratGPT, however.

This document is a draft act before the European Parliament created by two committees. ChatGPT4 thinks it will be terrible for open-source. I fed the document to ChatGPT4 and then interrogated it as follows: Question: I am an open source developer residing in the United States. Some of my code…

Is it socially acceptable to spend hours making your case to a computer because you’ve given up trying to make it to most humans? That’s the misanthropic slope I’m sliding down in this article in a bid to prove, beyond reasonable doubt, that the scientific process has permanently changed. It…

This is a note about types of probability, and their role in the credit crisis. In particular I cover P, Q and R-probability where the first two are standard and the third is my label. …

In this day and age, influencers have a pretty big impact on what analytical approaches get used by data scientists. Social platforms are filled with posts recommending package X, Y, or Z. It seems almost certain, however, that few of those recommendations are by people who have actually used the…