# Latest Posts

This is not a crypto bull or bear case piece. It’s simply a discussion of some crypto-currency policy problems which must be addressed over the next few years. The way the US monetary system reacts to these problems or fails to will have huge consequences. The author is ex-faculty at a hedge fund and does math for a living, all opinions are his own, but facts are cited.

• ## Woo, Quantum Storytelling, Time Crystals and Misallocation

A clever friend of mine who still works at perhaps the most visible quantum computing industrial effort once described his efforts writing papers as “quantum storytelling”. He meant, somewhat cynically, that what he needed to do was tell stories with the science, to gain profile. Both he and I never really enjoyed the vain self-promotion that passed for most research papers, but found ourselves stuck in a system filled with poorly informed dilletantes with no other choice than to hype. It’s an inefficient equilibrium where you can’t really do much but play along. Conversely, it’s impossible for everyone to be an expert at everything, and good that people get excited about things they don’t have the time to understand. In a perfect world it’s just hard to abuse that curious enthusiasm. Let’s call abuse of curious enthusiasm: “woo”. It’s a perversion of the human reward system which releases more endorphins in anticipation of a reward than after an achievment. This post is about my ideas to avoid woo.

• ## Pricing Options with TorchSDE

The basic operation of finance is to estimate distributions of forward values on assets, and buy/sell them accordingly. Usually buying/selling does not allow the purchaser to monetize all the information the investor might have about an asset. Options by contrast allow the investor to monetize all information he/she might have about the forward distribution of an asset. A simple derivation shows that the second derivative of call prices with respect to strike (K) are proportional to the forward density on the underlying (S) at expiry. Starting from the payoff of European call written with the Heaviside function $$\Theta$$:

• ## Solving multidimensional PDEs in pytorch

Solving multi-dimensional partial differential equations (PDE’s) is something I’ve spent most of my adult life doing. Most of them are somewhat similar to the heat equation:

• ## Using simple mean-reversion to remove carry from a VIX futures position

Time for a practical finance lesson for beginners.

# Copulas in General

• ## How to Size Bets. The Kelly Criterion in PyTorch

Suppose you would like to make a wager on a random outcome because you believe you know something about the probability of the outcome, for example that 265/365 days in a year will be cloudy in South Bend, Indiana. How much should you wager it will be cloudy tomorrow if you would be paid even odds, under the assumption you will take bets for an eternity and instantly.

• ## The #1 Reason to have a 3D Printer.

3D-printing is becoming an increasingly ubiquitous tool. It’s especially useful for fabricating objects that you might uniquely need: objects that are useful to you, but almost no one else. I’ve had a few. Currently I own an Artillery Sidewinder X1, which I’ve had for a year. I use it so often that I’ve needed to rebuild the extruder assembly once, but besides that it’s been a very capable device.

• ## Modest Proposals to Make Science Great Again.

Note: This was written long ago when I was quitting my faculty job. I still feel it’s relevant, and so I’m just posting it.

• ## Some Robot Art

Creative diversions were a source of real joy in 2020. I was not immune to the sudden explosion in creative hobbies, although the form my pandemic grief took was often art executed by robots. Eons of typing have robbed my hands of the fine motor control needed for manual painting or sculpture.

• ## Quaternion Averaging in Pytorch

At atomsandbits.ai we implement some seriously large formulas in TensorFlow. If we just went from LaTeX to tf. we wouldn’t be able to do it. Here’s a list of tricks and tools we use, applied to the problem of averaging rotations. Come for the tf. stay for the hypersphere.

• ## Yet another static blog!

Hey everyone. Thanks to github sites, and netlify. This blog is available at jparkhill.github.io, or www.bbgky.net. Can you believe that domain wasn’t taken? It’s wild!