Aug

30

Bonds and bunds at exactly 134 14 at 9:59 am est. What are the chances?

Alston Mabry comments:

One is reminded of the "buddhist monk" problem.

Charles Sorkin comments:

Great trailhead! The link led me to discover the Hairy Ball Theorem. Looking for applications now, as well as a cocktail party in which to casually discuss it…

Jim Sogi comments:

In The Predictioneer's Game, the author describes some software he made incorporating game theory ideas. It based on attaching a relative utility value to various outcomes to the participants. The market could be analyzed in this manner. The participants are the various groups the Chair often describes and others, such as bulls and bears,banks, and brokers, public and commercials. It would change constantly, but give an idea where the balance points might be. 

William Weaver adds:

Perhaps defining groups by cost of capital, investment horizon, etc.

To add behavioral biases to von Neumann et Morgenstern attach positive and negative outcomes (p/l) with different utilities per Prospect Theory. Incorporating Endowment Effect as a friction to turnover as well as Disposition Effect when the market moves in predictable or non-predictable ways defined by implied volatility.


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  1. Sumit Agrawal on September 2, 2010 12:26 am

    In ref to Mr. Sogi’s comment, I work with a framework which tries to see if the small horizon players / new money/ small term speculators are getting pitted against the longer term players.

    It helps me in understanding the dynamics better.

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