Michael Harris
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Michael Harris

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## Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]

## Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]

## Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]

## Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]

## Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]

## Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]

## Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]

## Drilling Down On Volatility Decay [View article]

This is off-topic but everything is under scrutiny, including the very idea of force. To say that some force is not real implies that some other force is real, possibly those derived from potential functions. However, the existence of these forces can only be induced from their effects. This is not different than the case of inertial forces. For example, while the centripetal force is assumed to be real, the centrifugal force is assumed to be a pseudo force. However, when a stone tied to a string is rotated, is the force on the stone that causes the rotation or is the rotation that causes the force? Until this fundamental question is answered clearly, nobody is justified to call some forces real and some other forces not real. So yes, this is an ongoing debate and actually there is a slow return to the 18th century natural philosophy issues, like the impetus force, etc. I am trying to keep up but it is hard because the markets eat most of my time as you can understand...

"Modern physics seeks to describe “material” interactions in a way that is independent of the observer’s particular vantage point. "

This is because part of modern physics denies the existence of an absolute reference frame. Mathematically, an absolute reference frame is not required in macro world calculations as Einstein proved. But the QM micro world assumes an absolute background and thus the issue is far from settled.

## Drilling Down On Volatility Decay [View article]

Now, this is off-topic but I cannot resist commenting on it:

"Viewed from this perspective the volatility bias is analogous to a "pseudo-force" in physics, where the apparent force (e.g. the centrifugal force ) is just an artifact of the observer's non-inertial frame of reference."

But centrifugal forces are real inertial forces with real effects that, unfortunately, have been the cause of many tragic accidents like to recent derailment in Spain. It is unfortunate that some "modern" physicists have elected to call these real inertial forces "pseudo forces" just for pushing their own conception of the world.

## Using The Kelly Criterion To Deploy Cash During Pullbacks [View article]

## Using The Kelly Criterion To Deploy Cash During Pullbacks [View article]

I partly agree but there are 4 different definitions of probability. Depending on what you do you may be or not able to define probabilities exactly a priori.

The important thing IMO is that averages converge to expected values only for sufficient samples (http://bit.ly/JfGUks). It may make no sense to talk about non-ergodic processes and refer to expectation at the same time. It may also be a straw man argument to involve infinities. People know that they live only in one of the infinite parallel universes and the ticket of a lottery with infinite expectation is priced in only one of the universes. This fact alone introduces additional considerations for pricing the tickets. For example, I would not pay more than $2 for it. This is a quick rebuttal of Peters paper and I would like to hear Varan's reply on this.

## Aeropostale: Distressed Teen Retailer Is A Perfect Fit For A Private Equity-led Buyout [View article]

## Using The Kelly Criterion To Deploy Cash During Pullbacks [View article]

Which is the flawed hypothesis? The only premise of Ole Peters' work is that standard economic theory is about maximizing expected return. This is false. Furthermore, his claim that maximizing geometric growth rate is the only criterion is never proved but assumed. This is like a circular argument: you assume what is true and then you conclude that your assumption is true. Here is a critique of his work http://bit.ly/17GL8ce

## Using The Kelly Criterion To Deploy Cash During Pullbacks [View article]

E = px(1+b) - qx1 = p(1+b) - q (1)

It is known that the ratio of the expectation divided by the odds maximizes equity growth or that

%K = E/(1+b) (2)

Plug (1) into (2) and the result is

%K = p - q/(1+b) (3)

and NOT

%K = p - q/b (4)

which is a wrong application of the formula given the definitions of win and loss.

A more general expression is

%K = p - q/R (5)

where R is the average win to average loss.

## Using The Kelly Criterion To Deploy Cash During Pullbacks [View article]