Igor Rivin, Mathematician and PM, on Financial Fallacies

  • January 16, 2014 · 6:00 PM

This month Quantopian is excited to welcome Igor Rivin. 

Igor is a well-known mathematician (see http://en.wikipedia.org/wiki/Igor_Rivin) and a less well-known but effective money manager (see http://samsarafund.blogspot.com). 

He will speak on:

Financial Fallacies, or: trading strategies to impress your friends, confound your enemies, and lose a lot of (someone’s) money.

We look forward to seeing you all there - same venue as last time!

Jess & The Quantopian Team

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  • Jess S.

    Thanks to all of you who attended our Boston meetup this week - it's great to see the group growing in size and bringing great questions and discussion to the meetings. Two follow ups:


    1) Quantopian is hiring! Check out our job postings on www.quantopian.com/jobs

    2) Quantopian is trading! If you'd like to join our trading pilot sign up here: www.quantopian.com/livetrading


    We are always on the lookout for interesting speakers or suggestions from all of you on who you'd like to hear from. If you are interested in speaking you can contact me through meetup or directly at [masked]

    Hope everyone enjoys the long weekend!
    Jess

    January 18, 2014

  • Mike D.

    Interesting, but a little superficial - I would have liked more detail.

    January 17, 2014

  • vitaly

    Igor said that it's hard to outperform S&P. But most of Fidelity funds, for example, do. Can someone comment this.

    January 16, 2014

    • Charlie F.

      I don't think most of Fidelity's Funds outperform the S&P; some of them do. An example of Rivin's remark that one way to gather investor money is to have many funds; some are bound to outperform, by chance. Investors will like those.

      1 · January 17, 2014

    • Mike D.

      Actually it's very easy to outperform the S&P 500, or at least it has been over the last 10 years. Simple: own small-cap stocks; the Russell 2000 has beaten the S&P 500 by 30% or so since 2004. On the other hand I bet very few emerging-market managers have beaten the S&P 500 over the last 5 years; MSCI EM is about 25% behind. This has nothing to do with skill. It just illustrates the importance of using an appropriate (ex-ante) benchmark, which the S&P 500 (large-cap US equities) often is not. Incidentally, a good way to convince an institutional investor that you either/both A) are trying to con them or/and B) don't know what you are doing, is to quote performance against the S&P 500 when your actual playground is somewhere else.

      January 17, 2014

  • Bill

    this was my first Quantopian meetup, so, first, I appreciate Quantopian hosting these events and providing food, drink, and t-shirts. Second, I would liked to have hear Dr. Rivin talk about how he uses Quantopian (or what platform he uses), and what algos he uses - and it can obviously be in general terms, i'm not asking for trade secrets - so that I can better understand how i can use Quantopian. Otherwise, it was nice to meet John Fawcett and learn a bit about your organization. John mentioned that most or all your clients are individuals. have you thought about marketing to the various hedge funds in the area? i haven't been there in a while, but I think UBS runs a hedge fund hotel in the area. a few might find use in the platform. i think the biggest obstacle would be the need to learn python to program.

    January 17, 2014

  • John

    I would give 5 stars for the entertainment value of the talk but only three stars for substance. His insights are not anything that we already did not know: (1) A dollar is worth more to someone who does not have any. (2) Sharpe ratio is a not a good measure of performance. (3) Some Wall Street companies are making greater than expected returns based on risky money management schemes rather than their strategies. Most money management companies cloud how they trade with secrecy so there really is not easy way for the investor to know how they are achieving the returns they are advertising to the public. I think this talk would be a shock to most people not involved with financial trading but I doubt most of the people who attended this meeting found anything that they did not already know.

    2 · January 17, 2014

  • Oscar A.

    I recommend the book "Fortune's formula" for an entertaining read on the history of the Kelly Criterion and rivalry with Samuelson and the expected utility gang.

    3 · January 16, 2014

  • Summer P.

    Good presentation, solid discussion and plenty of beers.

    January 16, 2014

  • Tim

    Thank you Quantopian for hosting another great presentation and Igor for your insight.

    January 16, 2014

  • A former member
    A former member

    Now this is one that I wish was in NYC!

    January 6, 2014

    • Jess S.

      Simon, I agree - I will certainly ask Igor if he would consider a repeat performance for the NYC group. I supsect others in the NYC Algo trading group share your interest. Either way, we will record this session and post the video as soon as we can.

      1 · January 6, 2014

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