
Hedge fund manager open-sources trading strategy - byrneseyeview
http://ftalphaville.ft.com/blog/2008/01/31/10612/monoline-flatline-bill-ackmans-letter-to-the-insurance-regulators-in-full-and-his-models/
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ShabbyDoo
It seems that Excel breaks down for models this large. Clearly, computation
doesn't scale well. And, even scrolling through all the tabs is a PITA. Do you
think the model builders actually used Excel, or did they use something else
and then convert it over so that they might "Open Source" it?

I'm interested as somebody who would like to build a better tool for working
with such large models.

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byrneseyeview
I would not be surprised if the model builders used Excel. I work with a few
investment banks and hedge funds, and at least half use Excel -- though most
of them are quantitative funds, so they have a few traders using Excel and
many more quants implementing the actual models in C/C++. If Ackman were more
of a PhD than an MBA, I would suspect him of building it in something else and
releasing the kludgy model to outsiders.

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ShabbyDoo
Do you think there's a market for something in between Excel and raw code? I'm
thinking of some sort of Excel/Rules/Code hybrid designed for large,
complicated stuff. Good verification tools, multiple what-if analyses that
could be run simultaneously, etc. I'm just trying to think through all the
problems I've had when trying to use Excel for models even smaller (much!) and
simpler than this one.

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brent
I'd be a bit shocked if people (particularly the more academic types) didn't
use matlab or R. Anyone know if these two are prevalent in financial shops of
various types?

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byrneseyeview
I have seen specs calling for Matlab, R, S+, and Mathematica. But my
impression is that since the finished product is going to be in a high-
performance, low-level language, they don't care what you do your rough-
drafting in as long as the finished product is C++. Exception: Jane St.
Capital uses Ocaml; one of their top execs is a Lisp fan who has been credited
in pg essays.

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sarosh
Mssr.Byrne Hobart, thank you for an excellent link. Your blog is also quite
good. I'm going to have to dig around more.

Having played with the actual Excel spreadsheet, this seems like something
that probably could have been done with Mathematica using less horsepower...or
am I missing something?

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andr
Great! Even the greatest trading strategy, once made available to the very
general public (FT readers), is worthless, because you can't make abnormal
returns by doing what everyone is doing.

It's a good learning tool, though. Strategies like this have been
"opensourced" by academia for decades.

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byrneseyeview
It may be personal. I remember reading his analysis of MBIA on
valueinvestorsclub.com in 2002, and he was just as down on it then (though at
the time he used kilobytes of prose instead of megabytes of numbers).

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byrneseyeview
He's also [donating the profits to
charity]([http://www.marketwatch.com/news/story/ackmans-winning-
bets-a...](http://www.marketwatch.com/news/story/ackmans-winning-bets-against-
mbia/story.aspx?guid=%7BFE2A0B83-4C2C-42A2-9B65-FB24A94D892C%7D)).

