arXiv subjects

Bruce Knuteson

Publications and source records attributed to Bruce Knuteson.

At least 19 recordsLinked to original sources

arXiv2022

They Still Haven't Told You

The world's stock markets display a decades-long pattern of overnight and intraday returns seemingly consistent with only one explanation: one or more large, long-lived quant firms tending to expand its portfolio early in the day (when its trading moves prices more) and contract its portfolio later in the day (when its trading moves prices less), losing money on its daily round-trip trades to create mark-to-market gains on its large existing book. In the fourteen years since this extraordinary pattern of overnight and intraday returns was first noted in the literature, no plausible alternative explanation has been advanced. The main question remaining is therefore which of the few firms capable of profitably trading in this manner are guilty of having done so. If any of this is news to you, it is because the people you trust to alert you to such problems still haven't told you.

q-fin.GN↗

arXiv2021

They Chose to Not Tell You

The world's stock markets display a strikingly suspicious, decades long pattern of overnight and intraday returns that nobody (other than us) has plausibly explained and that nobody (other than us) has clearly and persistently alerted you to. We use correspondence on this topic over the past five years to show that the silence of others on this issue does not arise from their having a good reason to believe this pattern is fine. Separately, and regardless of whether this pattern turns out to be fine, we have documented that people in a position to alert you to the presence of strikingly suspicious return patterns in the world's stock markets that nobody can innocuously explain are aware of this issue, have no good reason to believe it is not a problem, and chose to not tell you.

q-fin.GN↗

arXiv2020

Strikingly Suspicious Overnight and Intraday Returns

The world's stock markets display a strikingly suspicious pattern of overnight and intraday returns. Overnight returns to major stock market indices over the past few decades have been wildly positive, while intraday returns have been disturbingly negative. The cause of these astonishingly consistent return patterns is unknown. We highlight the features of these extraordinary patterns that have hindered the construction of any plausible innocuous explanation. We then use those same features to deduce the only plausible explanation so far advanced for these strikingly suspicious returns.

q-fin.GN↗

arXiv2019

Celebrating Three Decades of Worldwide Stock Market Manipulation

As the decade turns, we reflect on nearly thirty years of successful manipulation of the world's public equity markets. This reflection highlights a few of the key enabling ingredients and lessons learned along the way. A quantitative understanding of market impact and its decay, which we cover briefly, lets you move long-term market prices to your advantage at acceptable cost. Hiding your footprints turns out to be less important than moving prices in the direction most people want them to move. Widespread (if misplaced) trust of market prices -- buttressed by overestimates of the cost of manipulation and underestimates of the benefits to certain market participants -- makes price manipulation a particularly valuable and profitable tool. Of the many recent stories heralding the dawn of the present golden age of misinformation, the manipulation leading to the remarkable increase in the market capitalization of the world's publicly traded companies over the past three decades is among the best.

q-fin.GN↗

arXiv2018

How to Increase Global Wealth Inequality for Fun and Profit

We point out a simple equities trading strategy that allows a sufficiently large, market-neutral, quantitative hedge fund to achieve outsized returns while simultaneously contributing significantly to increasing global wealth inequality. Overnight and intraday return distributions in major equity indices in the United States, Canada, France, Germany, and Japan suggest a few such firms have been implementing this strategy successfully for more than twenty-five years.

econ.GN↗

arXiv2016

Information, Impact, Ignorance, Illegality, Investing, and Inequality

We note a simple mechanism that may at least partially resolve several outstanding economic puzzles, including why the cyclically adjusted price to earnings ratio of the S&P 500 index has been oddly high for the past two decades, why gains to capital have outpaced gains to wages, and the persistence of the equity premium.

econ.GN↗

arXiv2016

The Solution to Science's Replication Crisis

The solution to science's replication crisis is a new ecosystem in which scientists sell what they learn from their research. In each pairwise transaction, the information seller makes (loses) money if he turns out to be correct (incorrect). Responsibility for the determination of correctness is delegated, with appropriate incentives, to the information purchaser. Each transaction is brokered by a central exchange, which holds money from the anonymous information buyer and anonymous information seller in escrow, and which enforces a set of incentives facilitating the transfer of useful, bluntly honest information from the seller to the buyer. This new ecosystem, capitalist science, directly addresses socialist science's replication crisis by explicitly rewarding accuracy and penalizing inaccuracy.

econ.GN↗

arXiv2016

Blunt Honesty, Incentives, and Knowledge Exchange

We propose a simple mechanism to facilitate the buying and selling of useful, bluntly honest information. The for-profit, arm's length knowledge exchange this mechanism enables may dramatically increase the pace of scientific progress.

econ.GN↗

arXiv2011

Capitalist Science

The economic structure of basic science is currently socialist, funded by the public at large through taxes for the benefit of the public at large. This socialist system should be augmented by a capitalist system, in which basic science is also funded by private investors who reap financial benefit from the sale of subsequent technologies based on the knowledge obtained from the research funded by their investments. A capitalist system will provide benefits extending from the broad target audience of this paper -- which includes politicians, financiers, economists, and scientists in all fields -- to the average taxpayer and consumer. Capitalist science will better align the incentives of scientists with taxpayer interests, channel more money into basic science, lower your taxes, and generally improve the quality of your life.

physics.soc-ph↗

arXiv2009

A Quantitative Measure of Theoretical Scientific Merit

Program review in the physical sciences may benefit from a framework within which to quantitatively discuss the scientific merit of a proposed theoretical program of research, and to assess the scientific merit of a particular theoretical paper. This article interprets a previously proposed measure of experimental scientific merit in a manner appropriate for quantifying the scientific merit of completed and proposed theoretical research. With this interpretation, the resulting figure of merit represents a proposal for a quantitative measure of total scientific merit.

physics.data-an↗

arXiv2007

A Quantitative Measure of Experimental Scientific Merit

Experimental program review in our field may benefit from a more quantitative framework within which to quantitatively discuss the scientific merit of a proposed program of research, and to assess the scientific merit of a particular experimental result. This article proposes explicitly such a quantitative framework. Examples of the use of this framework in assessing the scientific merit of particular avenues of research at the energy frontier in many cases provide results in stark contradiction to accepted wisdom. The experimental scientific figure of merit proposed here has the potential for informing future choices of research direction in our field, and in other subfields of the physical sciences.

physics.data-an↗

arXiv2007

MARMOSET: The Path from LHC Data to the New Standard Model via On-Shell Effective Theories

We describe a coherent strategy and set of tools for reconstructing the fundamental theory of the TeV scale from LHC data. We show that On-Shell Effective Theories (OSETs) effectively characterize hadron collider data in terms of masses, production cross sections, and decay modes of candidate new particles. An OSET description of the data strongly constrains the underlying new physics, and sharply motivates the construction of its Lagrangian. Simulating OSETs allows efficient analysis of new-physics signals, especially when they arise from complicated production and decay topologies. To this end, we present MARMOSET, a Monte Carlo tool for simulating the OSET version of essentially any new-physics model. MARMOSET enables rapid testing of theoretical hypotheses suggested by both data and model-building intuition, which together chart a path to the underlying theory. We illustrate this process by working through a number of data challenges, where the most important features of TeV-scale physics are reconstructed with as little as 5 inverse femtobarns of simulated LHC signals.

hep-ph↗

arXiv2006

Quaero@H1: An Interface to High-pT HERA Event Data

Distributions from high-pT HERA event data analyzed in a general search for new physics at H1 have been incorporated into Quaero, an algorithm designed to automate tests of specific hypotheses with high energy collider data. The use of Quaero@H1 to search for leptoquarks, R-parity violating supersymmetry, and excited quarks provides examples to develop intuition for the algorithm's performance.

hep-ph↗

arXiv2006

Solution to the LHC Inverse Problem

The "LHC Inverse Problem" refers to the question of determining the underlying physical theory giving rise to the signals expected to be seen at the Large Hadron Collider. The solution to this problem (Bard) is reviewed. The combination of CDF and D0 data is motivated.

hep-ph↗

arXiv2006

Bard: Interpreting New Frontier Energy Collider Physics

No systematic procedure currently exists for inferring the underlying physics from discrepancies observed in high energy collider data. We present Bard, an algorithm designed to facilitate the process of model construction at the energy frontier. Top-down scans of model parameter space are discarded in favor of bottom-up diagrammatic explanations of particular discrepancies, an explanation space that can be exhaustively searched and conveniently tested with existing analysis tools.

hep-ph↗

arXiv2005

Systematic Analysis of Frontier Energy Collider Data

Ignorance of the form new physics will take suggests the importance of systematically analyzing all data collected at the energy frontier, with the goal of maximizing the chance for discovery both before and after the turn on of the LHC.

hep-ex↗

arXiv2004

Systematic Analysis of High Energy Collider Data

These proceedings outline steps toward a systematic analysis of frontier energy collider data: specifically, those data collected at Tevatron Runs I and II, LEP Run II, HERA Runs I and II, and the future LHC. Algorithms designed to understand the gross features of the data (Vista), to systematically and model-independently search for new physics at the electroweak scale (Sleuth), to automate tests of specific hypotheses against those data (Quaero), to turn an existing full detector simulation into a fast simulation (TurboSim), and to infer the physics underlying any hint observed in the data (Bard) are reviewed. A somewhat non-conventional viewpoint is adopted throughout.

hep-ex↗

arXiv2003

Systematic Analysis of HEP Collider Data

Compelling arguments suggest the presence of new physics at energy scales that will be probed by frontier energy colliders over the next decade. Arguments for each of the many flavors of new physics that have been proposed seem much less compelling. The wide variety of experimental signatures by which new physics may manifest itself suggests the desirability of analyzing all high energy collider data in one systematic framework. These proceedings describe two potentially useful pieces of such a framework: Sleuth enables a model-independent search for new high-pT physics, and Quaero automates tests of particular hypotheses against high energy collider data. A sampling of algorithmic detail is provided in the form of a procedure for choosing an optimal binning when computing likelihood ratios.

hep-ex↗