Is Phil Angelides...

[KrazyHorse]

I agree that models of underlying asset dynamics are more phenomenological in nature than necessarily fundamental. However, the point is that given an underlying asset model it's possible to monetize all of the risk dimensions independently using a dynamic mix of derivatives and cash products.

Ask somebody who's sitting around gamma slicing whether it was the derivative or the cash which drove his pnl. He'll laugh his ass off at you.

[Dauphin]

I'm reminded of chartists who come up with amazing formulae to explain past performance, but no underlying explanation, making the formulae worthless.

[Al B. Sure!]

I'm reminded of chartists who come up with amazing formulae to explain past performance, but no underlying explanation, making the formulae worthless.

Shh... if everyone believes in the charts and makes market decisions based upon them, it's self-fulfilling.

[Dauphin]

Not if the chartists make different predictions (and they will cover all ranges of possible outcomes). They can't all be right.

[KrazyHorse]

What the hell is a chartist? Are you talking about "technical" analysis (i.e. numerology)?

[Dauphin]

The people who believe that a chart of past performance can tell you about future performance, and ignore other information (or give little heed).

[Al B. Sure!]

A professor at my alma mater, John Allen Paulos (I never had him as my professor by the way) wrote an interesting book "A Mathematician Plays the Stock Market". I read it years ago so I don't really remember it well or his arguments, but it was a layman-accessible argument for markets being too chaotic for much scientific analysis or accurate financial modelling.

[KrazyHorse]

If that's the gist of his book then it's nonsense.

Obviously the prediction of future performance of an asset is difficult to impossible. That's not what real mathematical finance is about.

[KrazyHorse]

DPs galore.

[DaShi]

That's what she said!

There, thread saved!!