I am in Santa Fe, NM, about to spend a few weeks at the Santa Fe Institute where I hope to learn something about market microstructure and agent-based models.
For a couple of years now I’ve had a bad feeling about the field of finance. Though I often inveighed against the mechanical use of models, I didn’t damn the entire endeavor. I still don’t, but the other day, talking to a colleague who was much younger than me, I discovered that we had somewhat similar sentiments. Mine are summarized as follows. I hope it’s just a mood.