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Maggette


Total Posts: 1118
Joined: Jun 2007
 
Posted: 2010-06-15 11:50
I was asked about their performance and didn't find anything on the web. Any information about their performance available?
Thanks

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

FDAXHunter
Founding Member

Total Posts: 8372
Joined: Mar 2004
 
Posted: 2010-06-15 12:39
No, because they got folded into UBS a long time ago. I doubt that even they have a "performance" in the sense of a track record that's easily reconcilable.

The Figs Protocol.

Maggette


Total Posts: 1118
Joined: Jun 2007
 
Posted: 2010-06-15 13:17
Yeah , I know. But since they got their own web page and describe themself as localy managed and I heard they get advertised by the UBS as a product I thought there might be some information floating around. I'd be happy with "information" on "rumor" level;)....don't need a real track record. I am just curious.

Maybe they are just a marketing instrument for the UBS (hey guys, look how quant we are...).

Thanks anyway

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

rod


Total Posts: 382
Joined: Nov 2006
 
Posted: 2010-06-15 17:50
I wonder if I am the only one who finds it very intriguing that the only sources of information on the Prediction Company are articles on Wired and the New Yorker:

Cracking Wall Street (1994)

Black Box (1999) [pdf]

plus Thomas Bass' distasteful book, The Predictors. The PC founders are in the "complex and adaptive systems" cabal, which is full of intellectual charlatans. They're also on edge.org, which seems to be little more than a massive circle-jerk. I hate belittling other people's work, but PC looks more like a marketing outfit than a quant trading house. The fact that the founders, Farmer & Packard, left PC long ago is somewhat revealing, I'd say.

Maggette


Total Posts: 1118
Joined: Jun 2007
 
Posted: 2010-06-15 19:21
I have no idea. I like Doyne Farmer and his research papers. But I am no practitioner and I doubt my own qualification to judge if his stuff has any practical value (beyond entertaining me).

Also Farmer has always been quite open that even though he has Dynamic System Theory/ Chaos Theory backround, his work at prediction company was pure statistics, IT and some machine learning.

Still I won't reject the concept of PC beeing a marketing outfit (or maybe some blue sky research).

Some of the PC veterans ae still in finance I guess....I think the pipeline buy side trading stuff is a spin off from the Bios Group...(quite ridicolous web presence though: http://www.pipelinetrading.com/).

Maybe all a bunch of clowns. Maybe not. I don't know.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

cowpoke


Total Posts: 92
Joined: Jul 2009
 
Posted: 2010-06-15 19:33
Some years ago somebody at UBS gave me a copy of The Predictors. (A great read for anybody who enjoys superficial stereotypes. To be fair, it's not all fiction.) The UBS push on me was all marketing - looky, looky, we have been in the quant biz for years. I asked about investing in the "Prediciton Fund" and was told there is no such fund available for investment. I've heard from a few sources (including some UBS folks, and maybe the book) that UBS was more interested in the trading platform technology than the quant work. I've vaguely known a couple of folks that have gone in and out of PC, and it would surprise me if they were involved with running a fund.

@rod: If you are suggesting that Farmer is an "intellectual charlatan", I think that is unfair. Posterity will decide whether any of his work has lasting value, but charlatan suggests a motive which I doubt exists. The edge.org link pops up Steven Pinker, hardly a charlatan.

rod


Total Posts: 382
Joined: Nov 2006
 
Posted: 2010-06-15 20:02
For the record, I did not say that Doyne Farmer is an "intellectual charlatan". I like some of the papers he wrote in the 1980s while at Los Alamos, and also some of his more recent papers at the Santa Fe Institute. But I am an academic, so I can't assess their usefulness in the "real world", so to say.

Unfortunately, there's a lot of pseudo-science in the field of complex systems, which tends to diminish the original, quality work some have done in the area. Farmer is praised quite a bit at edge.org, an interesting site that gathers high-caliber thinkers such as Gell-man, Dyson, Dawkins, Pinker, and... Taleb!?! How can one take their words seriously when they lump together true geniuses and intellectual lightweights?

From the little I read about PC, I got the impression that Farmer left Los Alamos due to the lack of funding as the Cold War came to an end, he founded PC in order to make some money in order to finance his own projects, worked at PC for almost 10 years, allegedly made some cashish, then went back to complex systems research (this time at SFI instead of LANL). I would have more respect for Farmer if he hadn't allowed Thomas Bass to write pop-sci books about him, though.

jslade


Total Posts: 1177
Joined: Feb 2007
 
Posted: 2010-06-15 23:50
Hey Rod: I agree with you that a lot of the edge dudes are pop science charlatans, and the whole thing is a nerd circle jerk. I'd include Dawkins and possibly Pinker in this category -the things they put into books as "science" are unconscionable. Memes? "Selfish" genes? Gimme a break!

I think Farmer is a respectable scientist, but he does have a big streak of Barnum about him, in part because of his old college bong chum, Clarence Bass (who is an atrocious writer) keeps writing books about how awesome Farmer is. He's somewhat modeled his career after Ed Thorp, which is admirable, but a hard act to follow. Apparently his Roulette project wasn't so good, and I'm guessing PC was much less successful than Princeton Newport. Since they were a support group for a Derivatives team, yeah: it's probably more of a trading platform rather than some kind of awesome alpha finder.

Santa Fe did produce some neat stuff in the 80s/90s, but a lot of it seems to have been dead ends. KNN was the main tool that seems to have come of it.

"Learning, n. The kind of ignorance distinguishing the studious."

hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2010-06-16 01:09

@ Maggette

In what context did you need the information you were looking for? I might be able to help you to some extent.


Maggette


Total Posts: 1118
Joined: Jun 2007
 
Posted: 2010-06-16 09:30
Simple curiosity. No business or academic need. Any info yould be appreciated....but if not, it is absolutely no drama Smiley
Thanks

Edit: I decided to like PC for the simple fqct that they mentioned as donators for the R project.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2010-06-16 16:29

 Fdax said: I doubt that even they have a "performance" in the sense of a track record that's easily reconcilable. (emphasis is mine).

That sums it. So any performance numbers have to be taken with a grain of salt. They have had returns in the range of 20% - 40% (before fees; highly levered). Since 2003, it has been in the lower end. August 2007 was bad; they gave up a couple of years worth of P&L and the bank pulled the plug. Re-started some of the strategies. They have not been doing that great since. Looks like the P&L is now more in the 10% range and 2010 has been flat to the best of my knowledge.

Regarding the books: mostly fictional. Especially the technical part.

Alumni: quite a few have left to start their own shops and at least one can take outside money. (Others are internal / PMs at other places). At last count the number of alumni teams stood at 6.


Maggette


Total Posts: 1118
Joined: Jun 2007
 
Posted: 2010-06-16 18:40
thank you hedgeQuant

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

lando


Total Posts: 50
Joined: May 2006
 
Posted: 2010-06-17 06:57

"I set out to get rich in 5 years, it took me 8" --  D. Farmer. ((over)heard at a LANL talk, maybe)

 

 


hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2010-06-17 15:52
Dude, rich is relative. He certainly is richer than your average researcher. But by HF standards...

gnarsed


Total Posts: 87
Joined: Feb 2008
 
Posted: 2010-06-17 17:44
what products and timeframes (roughly) were these guys known to trade?

quantz


Total Posts: 237
Joined: Jan 2009
 
Posted: 2010-06-18 04:56
wow @ the pipeline trading website. don't miss this one.
the people page is particularly classic ... ("generic douche", "generic douche", "BOOM NETWORK OPS")

hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2010-06-18 05:18

what products and timeframes (roughly) were these guys known to trade?

Equities at different time frames: intraday - a few weeks.


Maggette


Total Posts: 1118
Joined: Jun 2007
 
Posted: 2015-05-26 11:22
I cleaned up my book shelf for some new books and found "The Predictors", which I've read when I was at the university.

I remembered that I aksed a question here about them.

Just visted their web site. I guess nothing new here:). The "pipeline trading" stuff seems to be dead though.

Long time ago..;)


Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

Maggette


Total Posts: 1118
Joined: Jun 2007
 
Posted: 2019-02-04 14:43
Another update.

Most of you probably know and/or don't care.

I guess because it is kinda a form of prop trading UBS sold them to Millenium somewhere after 2010 and they are still going.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

Strange


Total Posts: 1551
Joined: Jun 2004
 
Posted: 2019-02-04 14:53
Actually, they got wound down Q3 of 2018. My shop interviewed a bunch of people from there.

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'

Maggette


Total Posts: 1118
Joined: Jun 2007
 
Posted: 2019-02-04 15:22
Ahh. Didn't knew that. Thx

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

chiral3
Founding Member

Total Posts: 5079
Joined: Mar 2004
 
Posted: 2019-02-05 01:52
and they only had 1 down year, supposedly.

Nonius is Satoshi Nakamoto. 物の哀れ
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