Thanks for this. Had never heard of him. A deep understanding of multiplicative noise, ftw.
Transaction costs scaling as √(size) look like a financial expression of universal coordination costs, each trade forcing two descriptions of value into agreement. Is depth-first really about keeping those costs local? Backtests partitioning the world in ways that obscure the mechanisms that produce global dynamics?
thanks for sharing good sir
“while PnL scales like NNN”
Should that be “scales like N”?
Beautiful post. May I suggest Ed Thorp next.
Thanks for this. Had never heard of him. A deep understanding of multiplicative noise, ftw.
Transaction costs scaling as √(size) look like a financial expression of universal coordination costs, each trade forcing two descriptions of value into agreement. Is depth-first really about keeping those costs local? Backtests partitioning the world in ways that obscure the mechanisms that produce global dynamics?