Clarity comments on Open thread, Jan. 18 - Jan. 24, 2016 - Less Wrong

4 Post author: MrMind 18 January 2016 09:42AM

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Comment author: Clarity 22 January 2016 05:22:43AM 0 points [-]

Even if they are better modeled by game theoretic processes, surely that could still be inferred empirically?

Comment author: IlyaShpitser 22 January 2016 05:37:41AM *  3 points [-]

I don't know what you mean by "inferred empirically." If you mean "statistical inference," there are tons of unstated assumptions that basically assume the observed object is benign or indifferent. There is work in machine learning on learning in adversarial settings, but it's a much harder problem. Markets are super adversarial, and in addition there are incentives against publishing sensible analyses (why give away money to hostile/competing interests?)


edit: Sorry, I should say "tons of assumptions." People state them, and it's clear they are benign, e.g. samples are i.i.d.

Comment author: Clarity 22 January 2016 05:59:27AM *  1 point [-]

How interesting! I've seen work on game theoretic optimal poker playing. I can only imagine how sophisticated the market versions would be. Looking forward to seeing a wikipedia page on the topic one day :)

Comment author: ChristianKl 22 January 2016 10:52:32AM 2 points [-]

Poker is a game with known rules. In investing the rules are not known in the same way. Nassim Taleb calls equating the two the ludic fallacy.

Comment author: Clarity 22 January 2016 11:49:47AM 0 points [-]

Who?

Comment author: gjm 22 January 2016 12:04:01PM 3 points [-]

Nassim Nicholas Taleb, author of the somewhat well-known book "The Black Swan". Former (successful) trader and (not so successful) hedge fund manager.

Comment author: Clarity 23 January 2016 12:56:33AM 0 points [-]

Interesting!