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A comment on Alexander Grothendieck: a forgotten genius– or a lonely madman?. Parent comment

Re:Alexander Grothendieck: a forgotten genius– or a lonely m... by karmakurtisaani on Saturday August 31, 2024 @12:07PM (#41409803)
Classic application of abstract math in something sexy at the time. I once saw a paper describing a trading strategy using stochastic calculus. Turns out it boiled down to buying when price went under some indicator variable, selling when above another.
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Re:Alexander Grothendieck: a forgotten genius– or a lonely m... by whatshisface on Saturday August 31, 2024 @12:30PM (#41409942)
Stochastic calculus is the only available tool for proving things about continuous-time stochastic processes. There aren't any alternatives, save guessing at criteria and backtesting them.
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Re:Alexander Grothendieck: a forgotten genius– or a lonely m... by karmakurtisaani on Saturday August 31, 2024 @01:16PM (#41410288)
Yes, for sure useful for the appropriate mathematics. My point is, the trading strategy was a simple heuristic wrapped into overly complicated definitions and proofs. The complicated mathematics added exactly nothing to the application.
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Re:Alexander Grothendieck: a forgotten genius– or a lonely m... by catgary on Saturday August 31, 2024 @01:34PM (#41410409)
I think the point was they (probably) used the abstract math to prove some desirable properties about the trading strategy?
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Re:Alexander Grothendieck: a forgotten genius– or a lonely m... by karmakurtisaani on Saturday August 31, 2024 @01:56PM (#41410548)
Yes, it was something like that. But "desirable" here means something very different for mathematicians and traders actually applying the strategy (I.e., they don't care at all, and neither does anyone else working in finance).
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Re:Alexander Grothendieck: a forgotten genius– or a lonely m... by downvotetruth on Saturday August 31, 2024 @04:40PM (#41411788)
<Doob rolls over in his grave>ugh</s>
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Re:Alexander Grothendieck: a forgotten genius– or a lonely m... by almostgotcaught on Saturday August 31, 2024 @11:31PM (#41414038)
Huge difference between stochastic (processes, ODEs, PDEs, etc) and category theory. One makes money every day and the other is only good for writing papers.
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Re:Alexander Grothendieck: a forgotten genius– or a lonely m... by karmakurtisaani on Sunday September 01, 2024 @06:56AM (#41415847)
Don't get me wrong, stochastic calculus is very useful for options pricing for example. Totally useless in the case I was describing.
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