Luke_A_Somers comments on A Fervent Defense of Frequentist Statistics - Less Wrong

43 Post author: jsteinhardt 18 February 2014 08:08PM

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Comment author: Luke_A_Somers 21 February 2014 09:50:33PM 2 points [-]

I think the point is, it doesn't matter if the parts of your model that you're not thinking about are wrong.

A fine quant algorithm could have an incomplete, inconsistent model that is Dutch-bookable only in regions outside of its main focus. Before it would go out and make those Dutch-booking trades, though, it would focus on those areas and, get itself consistent there, and make good (or no) trades instead.