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Several years back, I wrote an article advocating in favor of using bandit algorithms. In retrospect, the article I wrote was incorrect, and I should have phrased it differently. I made no mathematical mistakes in the article. Every fact I said is true. But the implications of this article and the way it has been interpreted by others is deeply wrong, and I'm going to take the opportunity now to c
Computers are made of metal. It's an important fact to remember. It's wonderful to treat the world as being made of category theory and lambda calculus. The world of math is wonderful and I enjoy it too much. But hidden underneath all that lovely abstraction lies a much less beautiful world of semiconductors, cache lines and memory. And you can't forget that. That's why if you truly want to build
Don't use actors for concurrency. Instead, use actors for state and use futures for concurrency. A common practice I've seen in scala code is to use actors for concurrency. This is encouraged by Akka and a lot of writing about Scala, the documentation of which is highly actor-centric. I assert that this is a bad practice and should be considered an antipattern most of the time it is used. Actors s
For most data scientists, a toolkit like scipy/matplotlib or R becomes so familiar that it becomes almost an extension of their own mind. When fleshing out an idea, we will just open up ipython, write a few lines of code, and display the plot on the screen to get a feel for the general idea. One very nice thing about such toolkits is that although the code may be short and simple, the plots are be
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Great news! A murder victim has been found. No slow news day today! The story is already written, now a title needs to be selected. The clever reporter who wrote the story has come up with two potential titles - "Murder victim found in adult entertainment venue" and "Headless Body found in Topless Bar". (The latter title is one I've shamelessly stolen from the NY Daily News.) Once upon a time, dec
"There are only two hard things in Computer Science: cache invalidation and naming things." Phil Karlton For those of using Postgres as a data store, cache invalidation has become significantly easier. Postgres has introduced the command NOTIFY which can be used to inform the cache of necessary invalidation. The old way Before we discuss Postgres NOTIFY, lets think back to the old methods of inval
"So, how much experience do you have with Big Data and Hadoop?" they asked me. I told them that I use Hadoop all the time, but rarely for jobs larger than a few TB. I'm basically a big data neophite - I know the concepts, I've written code, but never at scale. The next question they asked me. "Could you use Hadoop to do a simple group by and sum?" Of course I could, and I just told them I needed t
Python is not ready for the big leagues, at least if you need to deal with concurrency. I know this is a fairly controversial statement, and I plan to back it up with very specific critiques. The general gist of my critique is that python fails to properly utilize modern multicore hardware under concurrent situations. Instead, Python forces you to manually build a distributed system and then deplo
In a recent post, a company selling A/B testing services made the claim that A/B testing is superior to bandit algorithms. They do make a compelling case that A/B testing is superior to one particular not very good bandit algorithm, because that particular algorithm does not take into account statistical significance. However, there are bandit algorithms that account for statistical significance.
I'm a former high frequency trader. And following the tradition of G.H. Hardy, I feel the need to make an apology for my former profession. Not an apology in the sense of a request for forgiveness of wrongs performed, but merely an intellectual justification of a field which is often misunderstood. In this blog post, I'll attempt to explain the basics of how high frequency trading works and why tr
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