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substructural: Programming and the Markets wrote a new blog post titled What is the ML Module System?, Part 1
Browsing through the heated Scala mail list discussion from 2009 on OOP versus functional programming, I ran into a number of messages which indicate some confusion as to the role and mechanism of the ML module system. The natural question that was raised is how is a module system different from a "low-level" object system. I am not entirely sure what a "low-level" object system is but in this post I would like to compare and contrast the ML module system and object systems, principally class-based object system but also classless object systems. First, what role do these...
2634 days ago
substructural: Programming and the Markets wrote a new blog post titled Formal Semantics for Top 5 Programming Languages
A recent blog post on undefined behavior in C got me thinking. Being from the ML community, I have a certain appreciation for rigorous formal semantics that can be machine checked. Though the machine checked part is largely a new development, rigorous formal semantics has been with us for decades. Standard ML is the epitome of this approach to language design. The 48-page (128-pp total when including appendices and TOC/index) The Definition of Standard ML - Revised formally specifies the entirety of the language1. Don't get me wrong. The Standard isn't perfect. Indeed, it has some...
2642 days ago
substructural: Programming and the Markets wrote a new blog post titled Divergence
Recently, I was looking around for a nice quick and light nonfiction reading. NPR is usually a great source for hearing about new nonfiction. There are many NPR programs where the host invites an author to peddle his or her wares. Alas, this time I was looking for a more concentrated list of potential light reading (where my definition of light reading may differ from yours). Furiously flipping through the NY Times bestseller list yielded a couple of candidates, but quite matched my craving for something similar to Alan Abelson's weekly Up and Down Wall Street column in Barron's,...
2643 days ago
substructural: Programming and the Markets wrote a new blog post titled Garbage Collection in JavaScript, Part 2
Of the Chrome V8 JavaScript JIT's 198kloc source (excluding comments), about 19kloc comprise the garbage collector. It is a generational Cheney copying collector with mark sweep. In October 2011 the V8 team added an incremental garbage collector to the mix. Incremental garbage collection contrasts with traditional stop-the-world garbage collection in that it is more amenable to low-latency applications requiring minimizing garbage collection pauses at the cost of reduced total throughput. The V8 garbage collector actually has a whole assortment of configurable flags (see shell --help). If...
2649 days ago
substructural: Programming and the Markets wrote a new blog post titled Skills Shortage
The Time Magazine has a recent article on Skills Shortage written by a Wharton professor. The key take-away is that businesses are leaving vacancies open due to lack of interest in training employees, matching pay with market demands, and other reasons unrelated to candidates' actual lack of knowledge. I've considered this phenomenon at length. One example of lack of interest in training the article had was an opening for a cotton candy machine operator which demanded considerable experience in successful cotton candy machine operation. My personal favorite, from my own observations,...
2651 days ago
substructural: Programming and the Markets wrote a new blog post titled The Scientific Method and Epistemology
Listening to a past Intelligence Squared discussion on whether "Science will have all the answers", or as interpreted by one of the panelist "science is the only route to knowledge." This question lies in the purview of epistemology, the study of the nature of knowledge and the limits of that knowledge. Curiously enough, all this question is ultimately wrapped up in mathematical logic. Taking a step back, consider for a moment when you were first introduced to the scientific method. Hypothesize, predict, and test. It sounds all nice and intuitively rigorous, but where does it come from? Why...
2665 days ago
substructural: Programming and the Markets wrote a new blog post titled Near and close (Facebook IPO)
I read some interesting posts on HN that argue the advertising merits of social media. With the Facebook IPO just past us, there has been a bevy of posts and articles on how social media advertising did not work for some particular organization. It isn't only Facebook this time. At least one poster reports disappointing results from Twitter's paid tweets. IIRC, Twitter's advertising platform is still technically in "beta" at this point. In any case, despite the frenzy over social media as the magic lamp for advertising, there are at least some who realize that it isn't a turnkey solution....
2678 days ago
substructural: Programming and the Markets wrote a new blog post titled Notes from the MacQueenFest
I had the excellent opportunity to attend the MacQueenFest a couple of weekends ago in honor of David MacQueen. The venue provided interesting insight into what the alumni of the ML community was up to these days. Many of the slides are now up on the website. The talks were scheduled roughly chronologically based on Dave's contributions. Most were looking forward as much as they were considering the historical significance of the contributions. Read more »
2679 days ago
substructural: Programming and the Markets wrote a new blog post titled Artists and Scientists
Recently, I finished reading the acclaimed tome by Eric Reis, The Lean Startup: How Today's Entrepreneurs Use Continuous Innovation to Create Radically Successful Businesses. The ending was the most impressive part to me. Reis is willing to submit his own ideas of innovation accounting and the like to rigorous testing in startup research labs in universities. A footnote mentions that Nathan Furr of BYU and Thomas Eisenmann of Harvard Business School are already studying lean startup management practices. In a startup world full of dogma, this is thoroughly refreshing. This has also helped...
2697 days ago
substructural: Programming and the Markets wrote a new blog post titled Flash Crash Research, Part 2
A couple of papers I spotted a while ago: Easey et al study a measure of order flow toxicity called Volume-Synchronized Probability of Informed Trading in The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading. Johnson et al considers a large number of mini-flash crashes from 2006 to 2011 in Financial black swans driven by ultrafast machine ecology [PDF].
2698 days ago
substructural: Programming and the Markets wrote a new blog post titled Mobile App Builders
In this day and age of mobile ubiquity and ever shorter attention spans, it seems that everyone and his uncle are jumping on the mobile app bandwagon. I was doing a little investigating to see how much does it typically cost to build one of these apps. The anecdotal range floating about appears to be in the low tens of thousands. Unsurprisingly, a number of entrepreneurial people have sought to capitalize on this market. Read more »
2699 days ago
substructural: Programming and the Markets wrote a new blog post titled High Frequency
Wissner-Gross and Freer has a 2010 paper in Physical Review on Relativistic Statistical Arbitrage [official version, pdf]. It makes the observation that as the propagation of prices and trades reach relativistic velocities, that very relativistic limitation of propagation induces some intermediate locations (midpoints between each pair of the 52 world exchanges weighted by turnover velocity) between exchanges from which profitable arbitrage can slow or even stop information propagation. The subject of the study is a Vasicek model of cointegrating instruments based an Ornstein-Uhlenbeck...
2721 days ago
substructural: Programming and the Markets wrote a new blog post titled The Scala Ecosystem
Scala certainly has a lot going for it these days. They have the enthusiasm of at least a couple of the hottest tech companies out there in Twitter and Foursquare. Even Sony is using Scala in some of its systems. There are at least two fairly usable web frameworks, Lift and Play. Akka middleware provides a scalable lock-free concurrency abstraction. XML support is built-in. Interoperability with Java is standard, thus giving Scala access to important systems and APIs such as Hadoop, JSoup, Mahout, Pig, and the numerous Apache Java projects. There is even a linear algebra package Scalala. What...
2724 days ago
substructural: Programming and the Markets wrote a new blog post titled Probabilistic Counter
The High Scalability blog has a recent post on probabilistic algorithms for approximate counting. The author unfortunately coined the term "linear probabilistic counter", which corresponds to no results if you do a Google search. The more usual terminology is linear counting (a paper from KAIST gives the original definition from 1990) and closely related, approximate counting. The study of probabilistic algorithms is indeed a growing field. It is also tied to that oft forgotten technique of sampling in this modern age of big data. There are a lot of related concepts here. The common...
2725 days ago
substructural: Programming and the Markets wrote a new blog post titled Garbage Collection in JavaScript
A recent post on Scirra claimed that reusing long-lived objects was an ingredient to good JavaScript garbage collection behavior. That made me curious. This claim is generally true when the garbage collector in question is a generational one. Generational garbage collectors split the heap (memory from where all non-stack allocated things are allocated from) into several "generations". The "generational assumption" is that short-lived objects tend to be collected more frequently than long-lived objects in the heap. Upon each garbage collection, any objects which aren't collected can be...
2746 days ago
substructural: Programming and the Markets wrote a new blog post titled no title
Preferred stocks have risen considerably from their lows last year. In fact, PFF (US Preferreds) outperformed the S&P 500 by 130 basis points excluding dividends. Given that the lion's share of the preferreds universe is financial, this isn't too surprising. The flip side of this rise is that preferreds are getting close even not having already exceeded their call price. Of the top 5 holdings in the PFF portfolio, I could find call information for only three of them. The top holding, GM series B preferreds trades at 42.23 but has no call feature. It is, however, convertible. The 2nd top...
2748 days ago
substructural: Programming and the Markets wrote a new blog post titled Asset Classes
Given the past few eventful weeks, I thought it would be interesting to review the state of the various asset classes. Below is a table with the 3-months returns for some ETF proxies for various asset classes.Security3 mos returnGLD0%OIL7.4JJC7.7GSC9.1 LQD4.4JNK3.7EMB4.4LAG-0.2DIA6.1SPY9.1VWO12MDY10.7 PFF10.4Notably, gold and bonds (LAG) are underperforming the other classes after tremendous outperformance last year (2011). With the good job numbers coming out in the past couple of months, the prospective for real growth is looking a little better, thus denting the appeal of gold despite the...
2749 days ago
substructural: Programming and the Markets wrote a new blog post titled Permanent Portfolio
Amidst the past few years of turmoil, Harry Browne's Permanent Portfolio is an interesting case. Browne is an investment manager, author, and two-time Libertarian Presidential candidates (for some reason a whole lot of investment managers are Libertarian). The Permanent Portfolio is composed of four equally weighted components: stocks, bonds (long-dated Treasuries), cash (short-term Treasuries), and gold (bullion). The Permanent Portfolio is currently available to the public in two forms: Michael J. Cuggino's Permanent Portfolio mutual fund (PRPFX) and Global X's Permanent ETF...
2759 days ago
substructural: Programming and the Markets wrote a new blog post titled Bid-Ask Spread
One reason for preferring highly liquid versus illiquid products is the bid-ask spread. This is a cost built into a trade when the trade is a market order. This spread also happens to be the market maker's profit for providing liquidity, whether it be a traditional specialist or a high-frequency trader taking the other side of your trade. Though I usually trade using limit orders to cut down on the spread I pay, for illiquid issues, it is really difficult to get the spread down by much if I want any timely execution. One case I stumbled on is that of specialized ETFs. With so many...
2760 days ago