Items of some interest…

These are my recent Pinboard.in links:

Items of some interest…

These are my recent Pinboard.in links:

  • FT Alphaville » More to the ETF volatility debate than meets the eye

    "Market makers in even the most thinly traded ETFs understand that the midpoint of their daily 4 p.m. quote will be preserved in prospectuses and on ETF Web sites for years to come. These market makers have a stake in attracting traders to the ETFs they trade. Consequently, they monitor their real-time bid/offer NAV calculations closely as 4 p.m. approaches. Even if they have to widen or otherwise change their spread for a few seconds, they will work to get the midpoint of their bid and offer as close to the expected 4 p.m. NAV as possible. (6) Their 4 p.m. quote is the most widely scrutinized and least useful bid/offer of the day.

    Publication of this premium and discount information based on 4 p.m. ETF share quotes and NAV calculations has led to overuse of MOC orders, especially for ETFs that are thinly traded. Most investors do not realize that MOC transactions in ETFs are not reflected in most ETF reported premiums or discounts in any way. Nonetheless, MOC orders often are used by individuals and defined contribution retirement plan investors who are accustomed to buying and selling no-load mutual fund shares at NAV. Publication of this premium and discount information accounts for the fact that MOC trades account for a disproportional share of ETF trading volume."

    ETFs trading econometrics what-gets-measured-gets-fudged

The Mirror Dojo: Genetic Programming for Agile Teams

This is the current iteration of the Genetic Programming workshop née Agile Team Dojo I’ve been working on over the last few years.

I’m looking at the Michigan/Ohio/Indiana region for an interesting place to run it. If you’re interested in scheduling me for a two- or three-day workshop, feel free to contact me online.

You know how to do that.

The Mirror Dojo: Genetic Programming for Agile Teams

Genetic Programming has been actively researched and promoted for more than a quarter century. It’s a broad collection of design practices and modeling techniques for the “automatic” discovery of abstract patterns and structures.

And that means full-fledged patterns and structures: algorithms, predictive models, complete mechanical and optical and electronic designs, and even blue-sky artificial intelligence systems.

Some of the field’s big hits include:

Sexy stuff! Nerds like us love it.

Better yet: I can describe all the basic design principles of Genetic Programming in four sentences. It’s so simple to describe that I’m completely confident that I can help you you—a competent software developer working on an agile team—write a working GP system in an hour or so!

And that’s just what we’ll do in this two-day workshop.

But there’s one more thing.

You’ve probably noticed that I always put extra-scary scare-quotes around “automatic” whenever it comes up.

During this dojo we’ll be approaching this material as an agile team. We’ll build at least two full-featured genetic programming systems, and we’ll bump very quickly into those scare-quotes.

And that’s what this workshop is about.

See, I’ve been working in this field for most of 20 years. It turns out that even after all that time, there’s a large and troubling gap between the tutorials and demos of genetic programming, and successful problem-solving with GP. You can measure that gap in terms of time, or computational resources, or expected quality of results.

Sound familiar?

Much of the advanced academic research being done today in Genetic Programming focuses on ways to increase the computational power, to bring more processors and faster code to bear so that “automatic” problem-solving has a better “chance of success” on a complex problem.

Ah, look; more scare quotes.

See, in this workshop we’re not advanced academic researchers in Genetic Programming. We’re much better prepared than they are: we’re an agile team.

In the workshop we’re going to be exploring how to tell our little artificial “team” of “automatic developers” what it is we want, and how they should go about making it for us, and (because GP just works) they’ll be “releasing software” for us. What we’ll be doing is designing the rules by which they solve our problem: especially the ones that spell out how we want them to interact with one another.

Which should explain the name of this dojo. And maybe even why it will take little bit longer and a bit more effort than most others you’ll run into.

Scope: This is a two- or three-day workshop, for three to eight software developers, engineers, coaches, designers, scientists, and other nerds.

The majority of participants should be familiar with common platform-agnostic programming languages (Ruby, Python, Java, Smalltalk). They should be comfortable working in an agile team: we’ll collectively work in one shared programming language, and rely on automated unit and acceptance tests, rapid release schedules, agile planning, and pair programming. There should be enough laptops for every pair to code, and network connectivity enough to use github for version control and coordination.

On the first day of the workshop (6 hours plus lunch) we’ll establish the social infrastructure, and implement a simple but full-scale genetic programming system for symbolic regression. At the end of the day, we’ll choose an advanced project for the next day.

Because we’re all nerds, you and I both know you can’t “stop working” after just five or six hours—and that’s fine. But the work day for the project is six hours plus lunch. So no commits overnight!

On the second day (6 hours plus lunch) , we’ll use genetic programming to address a technical problem where results are obviously practical—and probably publishable.

In three-day workshops, the final day can be used (at the team’s discretion) for either refinement and public release of tangible product from the prior days, or for a third project using different GP design patterns.

Why?: The dojo is just what it says: an exposure for agile software developers to a sexy but poorly-understood technical practice with great economic potential in the coming years. At the same time they’re learning about the tech, they’ll be surfacing aspects of their own work, and the way agile practices mold project management in the “real world”: requirements, goal-settings, information-sharing, metrics, collaboration patterns, infrastructure, delivery schedules, and even the jurisdiction of management vs. developers.

Cost: The most important cost for this exercise is the participants’ interest and attention. If those have been made available, the only financial costs are for the venue, travel, food and board (where needed) for the participants.

Items of some interest…

These are my recent Pinboard.in links:

  • The Lean Publishing Manifesto – Leanpub

    "A book or a startup is best created by 1 or 2 people, who are the authors or founders.

    You can create a book with 3 or 4 authors, but essentially all the great books have been written by one author. In fact, if you have more than 4 authors, you're not even really producing a book–you're really producing an anthology of individual essays."

    writing publishing lean manifestos advice

Items of some interest…

These are my recent Pinboard.in links: