The Unrules: Man, Machines and the Quest to Master Markets
$11.83
This book, The UnRules, is about languages of many kinds: scientific, mathematical, computer, financial, biological. It’s about codes, patterns, and signals, and the attempt to extract order from a noisy world. The notion of the UnRule, which lies at the heart of this book, is a kind of philosophy, based on empirical experiences both in financial markets and in life, where no rule, dogma, ideology, paradigm, or model lasts forever and no trading or market relationship performs as you expect all the time.
Author’s Note:
Like a tether on a balloon, the UnRule limits the reach of all the other rules I’ve gathered over the years. For me, an intense involvement in competitive markets, and in building my career and my quantitative investment firm, WorldQuant, led me to develop rules that apply not just to trading but to life. Many of those rules are rooted in an always uncertain future. This is reflected in my firm’s deep involvement in developing alphas – that is, algorithms that seek to predict certain market relationships. The alphas we develop, now numbering in the millions, consist of mathematical expressions and computer code. We rigorously back test them with historical market data to “simulate” their performance, just as video games simulate different realities. Much of this investment process is extensively automated.
And yet we do not just hand over trading to machines. People matter. Over the years we have learned a lot about alpha design and development. We’ve learned that no matter how well an alpha is back tested, it will probably not perform as well when we put it into real markets, and like the rules, no alpha lasts forever. We’ve learned about the use and dangers of correlation, the management of risk, and the deployment of extraordinary numbers of alphas. We’ve developed a sense of when to assume risk and, very importantly, when to take losses.
Along these lines, I have found that some life decisions have no clear solutions. For many years I made disciplined but incremental empirical decisions – hiring, for instance, only when I could find genuine talent. There was no master plan. Eventually, we discovered we could find the brightest people in quantitative fields and teach them finance. Smart, motivated people learn quickly. That search for talent transformed WorldQuant into a global firm, exploiting the fact that talent is universal but opportunities are not.
The UnRules ends with that curve of exponential growth in alphas bending toward the sky. In WorldQuant we have built a company uniquely suited to this dawning age of broad exponential growth. The UnRules is not a long book, but I hope it conveys a sense of the ceaseless searching and testing and experimentation that occur at a firm like WorldQuant. In fact, this book is about beginnings rather than endings. I’m still not a believer in using too many words, but there will be more to say as we explore this new world in more profound ways.
Many books have deep roots. The UnRules goes back to my childhood, listening to my parents practice their music every day in our apartment in Minsk. Authors often thank their parents; none of us would be here without them. But mine embodied many of the virtues that found their way into my rules: hard work, persistence, discipline, goal setting, the willingness to take a risk to reach a valuable end, all bound together by love. And without Millennium Management’s Izzy Englander, WorldQuant would not exist. He has been my boss, my mentor, and my friend for many years.
Contents:
- Quake
- The UnRule that Rules the Rest
- Parallel Universes
- Signal and Noise
- Waves
- Correlation
- Scaling Up
- An Exponential World
- Quant Biology
- The Age of Prediction
The Unrules: Man, Machines and the Quest to Master Markets By Igor Tulchinsky pdf
| Author(s) | |
|---|---|
| Format | |
| Pages | 221 |
| Publication Year | 2018 |
8 reviews for The Unrules: Man, Machines and the Quest to Master Markets
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Elliott Wilkerson (verified owner) –
Book contains lot of autobiographical noise intermixed with author’s company advertisement and many trivial facts pulled from different knowledge domains (physics, biology, math). There is barely any useful information about the trading itself.
In fact, only actually useful piece of information for me was about the amount of alphas that they have – currently millions of them. Everything else related to trading are quite well-know facts (market neutralization, for example) or just a teasing. For example, author mentions that they use satellite images in some of their alphas. Well, it would be actually interesting to read some details beside just a statement.
Examples of alphas? Or maybe some classification of their types? Some hints about capabilities of simulation software they use? Datasets that are used as an input? You will not find it here. I’m not interested in autobiographies and unfortunately in this case I’ve paid for one of them.
If you like such kinds of books then “Principles” by Ray Dalio would be a better one. If you more interested in actual market analysis then check “(Mis)behaviour of Markets by Benoit Mandelbrot & Richard L. Hudson. To the credit of the author of “The Unrules”, this one in mentioned there.
Aubree Snyder (verified owner) –
This book is more about the author’s life and his way of thinking than about investment. Philosophy is important for investment, but that was not was I was looking for when I brought the book.
Most of the authors insight does not come as a surprise, but the points where one could disagree is not covered in depth, things are only states as something the author have learned. One example is that the author recommend to ‘manage losses’, that is fine but simple mechanism like ‘stop loss’ does not always work…. Another example is the large number of rules that the authors fund have found (>millions), is this something done automatic and if so what about overfitting?
The last chapter in the book is not really about investment, but seems to be aimed at securing the author an place in history by sponsoring some interesting research involving machine learning.
Weston Cole (verified owner) –
Excellent quality.
Margaret Archer (verified owner) –
Timely and interesting portrait of the power of alphas and big data.
Eddie Crawford (verified owner) –
Well written and very enjoyable. Far from being some kind of quant rule book, this is a down to earth and easy to read human story about one man’s fascination for data, patterns and prediction.
Addison O’Neal (verified owner) –
The book is just a lifeless set of biographical facts interspersed with some shallow introductions to basic quantitative concepts that don’t even match the depth of a Wikipedia article.
The author seems excited by his philosophical grandiosity, but only tiptoes around ever saying something of substance about his life or profession – oddly defending his terseness at times. And at only 136 pages, the content is somehow maddeningly repetitive and resorts to overselling truisms and cliches. Consider yourself done after reading the cover flap.
Ephraim Campbell (verified owner) –
Not a particularly useful book. I did enjoy reading his life story. However given the title I would have preferred more of a dive into his philosophy and the Unrule.
Thiago Gallagher (verified owner) –
The author weaves many insightful observations into the storytelling of his life and career. All parts are fascinating. Though there’s no concrete hint on any specific alpha, perhaps disappointing some of the reviewers, the overarching approach is clear. In time, I think, this book will become one of the classic finance books. Bought a few extra copies to hand out to our junior analysts.