No subject

example, to be purely commercial (without parasites of any kind). As a
friend of mine, a securities lawyer formerly with the SEC, has pointed out,
without a larger body of speculators, there would not be enough liquidity
to generate an efficient transfer of risk. All the large commercial hedgers
have basically the same information and time goals. It is natural to expect
them to be in the same side of the market for the same period. A society
that would not permit and reward the role of the speculator could not take
advantage of the risk transfer (and low price guarantees) that this large
liquid market provides. Someone has to be willing to be on the other side
of a zero-sum game.

When I addressed the panel recently, I said that the competition is a
difficult endeavor, hated by some, enjoyed by others, but of interest to
most. We all (those interested on real function modeling) want to know how
these tools would fair in such a test, with objective measuring tools,
compared against the same data, and each tool properly applied. Not a
simple task to be done by anyone, but only practical on a setting, such as
a competition. Furthermore, these results will provide a single source of
rich material for future experimentation all collected on a single place.


> Furthermore, it is pretty
>clear that the only way to consistently make money with such
>a technique would be to keep it secret.

I would say that for a specific technique, applied to a specific market and
time frame you are probably right. But the statement is not true in
general. Even if it can arguably be the case, the competition promotes two
tracks: one with full disclosure, and another one, a little harder to get
in, for non-disclosure entries. In answering to a negative assertion, all
that we need is a counter example. We did not wish to have commercial
claims saying that they know how to make the system work but they wouldn't
show it to us. Here is an opportunity for all.

Lastly, I would like to point out that our sole objective at this point is
not the sordid business of making money by designing trading systems, but
rather to study the predictive quality of non linear techniques as applied
to this specific problem (which has eluded a number of other techniques).
There is a ocean of difference between a reasonably accurate predictor and
a money making trading system. The discussion of which is beyond the scope
of this note, except to say that one, definitely, does not imply in the
other.

>
>On the other hand, I have a great deal of respect for several
>of the people involved in the "Competition", and this leads me
>to wonder whether I might be missing some crucial point.  Can
>anybody help me with this?
>
>        -- Bill
>

On behalf to the panel, I would like to thank you for the vote of
confidence, and say that we will strive to make the most accurate
assertions of the quality of the entries. I would like to invite all the
real function modeling researchers to participate and to try the best that
can be done at this point with these techniques. Here is a good chance to
show if any technique can indeed make a difference in this difficult and
important problem. If it can, it can certainly be of use in a number of
related problems. 

Science has been based on curiosity and correct methodology. I hope that we
all can strive for answers, specially to questions that are enveloped in
mysterious folklore...

-- Manoel

____________________________________________________________________________
________________________________________
___________________________

Manoel Fernando Tenorio
Parallel Distributed Structures Lab
School of Electrical Engineering
Purdue University
W. Lafayette, In 47907

Ph.: 317-494-3482
Fax: 317-494-6440

tenorio at ecn.purdue.edu

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