Modern Portfolio Theory II: Random portfolio coverage in log volatility—return space with a risk free asset

Marton Trencseni - Fri 20 December 2024 • Tagged with markowitz, portfolio, capm, volatility

In a previous article I simulated random portfolios using Monte Carlo methods for the 2023 daily closing prices of the 100 stocks constituting the Nasdaq-100. Here I add the risk-free asset to the portfolio and examine how it affects the coverage in log volatility—return space.

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Individual Career Plan

Marton Trencseni - Sun 15 December 2024 • Tagged with leadership, people, management

This post provides a practical Individual Career Plan template you can use to guide self-assessment, prioritize your professional development, and set meaningful goals that align with your vision for the future. By outlining clear objectives and action steps, you create a framework for continuous improvement and more informed career decisions. I use this same template for the data organization I lead, filled it out myself, and shared it with others to inspire them to do the same.

Desert road sunset

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Why I read history books

Marton Trencseni - Mon 09 December 2024 • Tagged with hungary, politics, history

Hungary’s rushed entry into World War II and its botched attempt to break away from it show how stale leadership trapped in its own fantasy bubble can steer a nation toward disaster. By “political backtesting” these moments — comparing their underlying factors to the present — today’s citizens can weigh future outcomes, draw practical lessons, we can make more informed decisions about where and how to live.

Kiugras Beugras

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Paper: The Unreasonable Effectiveness of Monte Carlo Simulations in A/B Testing

Marton Trencseni - Thu 05 December 2024 • Tagged with ab-testing

I run Monte Carlo simulations of content production over random Watts-Strogatz graphs to show various effects relevant to modeling and understanding Randomized Controlled Trials on social networks: the network effect, spillover effect, experiment dampening effect, intrinsic dampening effect, clustering effect, degree distribution effect and the experiment size effect. I will also define some simple metrics to measure their strength. When running experiments these potentially unexpected effects must be understood and controlled for in some manner, such as modeling the underlying graph structure to establish a baseline.

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Modern Portfolio Theory I: Random portfolio coverage in log volatility—return space

Marton Trencseni - Sun 01 December 2024 • Tagged with markowitz, portfolio, capm, volatility

I examine the coverage of random portfolios in log volatility—return space using Monte Carlo methods with different randomization techniques for the 2023 daily closing prices of the 100 stocks constituting the Nasdaq-100.

Monte Carlo casino

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The Unreasonable Effectiveness of Monte Carlo Simulations in A/B Testing

Marton Trencseni - Sun 20 October 2024 • Tagged with ab-testing

The article illustrates how Monte Carlo simulations serve as a powerful method for exploring statistical concepts in A/B testing, enhancing understanding, improving experimental design and analysis.

Monte Carlo casino

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A simple telnet based Taboo game in async Python

Marton Trencseni - Sun 06 October 2024 • Tagged with taboo, python, async

I built a simple Python-based Taboo game server using asyncio to provide a customizable multiplayer experience via Telnet.

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AI Strategy in 2024 for the Rest of Us

Marton Trencseni - Fri 04 October 2024 • Tagged with meta

My review of the AI landscape in late 2024, and what the road ahead looks like for those of us not building foundational models.

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Techtalk: Why are A/B tests the gold standard of causal inference?

Marton Trencseni - Sun 29 September 2024 • Tagged with ab-testing, techtalk, kohavi

Recently, I delivered a techtalk on A/B testing to an audience of non-technical Product Managers and experienced Data Scientists.

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200 articles

Marton Trencseni - Sat 28 September 2024 • Tagged with meta

A review and introspect on the second 100 articles written on Bytepawn.

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ChatGPT's critique of OpenAI CEO Sam Altman's vision of the AI future

Marton Trencseni - Fri 27 September 2024 • Tagged with openai, chatgpt, sam, altman

A few days ago OpenAI CEO Sam Altman published an article titled The Intelligence Age. I used OpenAI's new o1-mini model to critique Sam Altman's writing of its own future.

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How I manage my 1v1s

Marton Trencseni - Sun 22 September 2024 • Tagged with people, management

I detail my structured approach to managing one-on-one meetings within a 40-person data team, emphasizing people management principles like radical transparency, tailored meeting cadences, and strategies to navigate common managerial challenges to foster a supportive and productive work environment.

Meeting distribution

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Breaking Bell's Inequality with Monte Carlo Simulations in Python

Marton Trencseni - Sun 01 September 2024 • Tagged with physics, quantum, mechanics, qubit, entanglement, epr, bell

The article explains the Bell inequality using Monte Carlo simulations in Python, and shows how non-local action-at-a-distance can be used to break it with entangled qubits.

John Stewart Bell

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Quantum Entanglement, Locality, Determinism

Marton Trencseni - Sun 18 August 2024 • Tagged with physics, quantum, mechanics, qubit, entanglement, epr, bell

This blog post explores foundational quantum mechanics concepts such as superposition, entanglement, and the challenges posed by locality and determinism, while highlighting the historical efforts of Einstein and Bohm to reconcile these phenomena with hidden variable theories.

Double slit experiment

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Why I don't live in Hungary

Marton Trencseni - Wed 07 August 2024 • Tagged with hungary, politics, orban, dubai

In February 2016, I made a life-changing decision to leave Hungary and seek opportunities abroad, starting in London and later moving to Dubai. This essay explores the multitude of reasons behind my choice and why I have no immediate plans to return to Hungary.

Orban no migration

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How to solve it

Marton Trencseni - Thu 01 August 2024 • Tagged with polya, problem, solving

I discuss Polya's How to Solve it approach to mathematical problem solving and the 2010 paper Teaching general problem-solving skills is not a substitute for teaching math.

How to solve it

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How I screen CVs

Marton Trencseni - Mon 01 July 2024 • Tagged with cv, screen, hiring

Screening CVs is a critical step in the hiring process, used to determine which candidates progress further in the hiring funnel. While the approach to CV screening can vary by company and industry, the primary goal remains the same: to identify candidates with the potential to succeed in subsequent interview stages.

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Writing a simple Javascript async message queue server - Part III

Marton Trencseni - Mon 17 June 2024 • Tagged with javascript, async, message, queue

In this final post on the toy Javascript async message queue server implementation, I make it compatible with the Python version. I use the library of unit tests developed previously to ensure identical behaviour between the two codebases.

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Writing unit tests for the async message queue server

Marton Trencseni - Sat 15 June 2024 • Tagged with python, async, message, queue, unit, test

I write a small library of unit tests for the message queue servers.

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Testing randomness extractors

Marton Trencseni - Sun 02 June 2024 • Tagged with randomness, extractors, biased, coin, fair

I apply NIST's suite of statistical tests to my randomness extractor implementations from the previous posts.

Coin flip

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