In those days — at the beginning of those days, anyway — I was about the only one doing it.
Two years before, on a Physico jet, I’d landed at Teterboro Airport, carrying a taped-up box of mathematics books and two fraying duffel bags, one of which contained the first third of my dissertation on Shores-Durban equations. By the end of the day, I was sitting in my own private office on the top floor of the Trump Building. From my window I could look west, back toward Columbus, and watch the weather roll in. There were no other traders on my floor, mostly because any red-blooded trader would have served me up on a skewer if he’d discovered how old I was, not to mention what I was about to do to his livelihood. The strategy I was developing was fundamentally conservative — every bet I made was soundly hedged — but it stood to put more than a few Wall Street types back in school.
It was not so conservative, I should add, that my employer wasn’t making a potful of money on me pretty much right out of the gate. I happened to be the first one down the well with my particular drill. We bought and sold the prediction of just about anything, as fast as the hardware could do it. One of my early gambits was the spread between the futures that were traded in Chicago and the securities they predicted in New York City. I used the fastest computers in the world over a network of fiber optics that gave Physico Partners, over the 790 miles between my west-facing window and the LaSalle Street exchange, a microsecond execution advantage against just about any other house, large or small, on the whole Eastern Seaboard. As we quants liked to say ourselves: money in the bank.
From my first morning in a suit, I was placing well long of a hundred thousand orders in an hour. On my job interview, as a sixteen-year-old doctoral candidate in a scarlet-and-gray windbreaker and Birkenstocks, I’d been flattered into showing a group of men in Ferragamo loafers how Shores-Durban equations could forecast the swell and shrink of just about every type of large-market inefficiency that existed anywhere — inefficiencies that until that point had been dismissed as noise. I could tell that nobody in the room, not even the other stat-arb quants, understood exactly what I was talking about. Nonetheless, Physico took less than an hour to offer me a signing bonus that well exceeded the salary my father had earned over his entire career. I waited a few days to accept; but when I did, a limousine was dispatched to the front door of the OSU mathematics department.
Take that, Seth Kopter.
Two years into it, though, my system still wasn’t perfect. I was still programming every night after the close, still triangulating my executions until they asymptotically approached the optimums for my newly hatched breed of computational microstructure trades, which, to put it boastfully (but accurately), swarmed like piranha around the clumsy, staggering hooves of our rivals. And I have to say, I was liking it. At any hour of the day or night, I was capable of laserlike concentration, knifelike thought, and hoglike greed. Occasionally, well into morning, my mind might crystallize into something more pure: I would glance at the stapled-together dissertation notes on my shelf and imagine Isaac Newton during the plague years, leaning over a table in Woolsthorpe-by-Colsterworth, deriving his fluxional calculus. But that didn’t stop me. My Sharpe ratio was scoffing at the bulge bracket from the top of a very tall building. I could locate a microinefficiency anywhere in the world — Chicago, Hong Kong, you name it — and without even bothering with the indignity of leverage could turn a remarkably reliable profit in the nanosecond it took a cesium 133 atom to oscillate a bare handful of times between energy states. It was all fun and games.
In fact, I probably would have done it for nothing.
What really drove me was the thing I knew instinctively, every single day that I was swept up in that silent elevator to the seventieth floor of the Trump Building: that an even-more-accurate algorithm lay out there somewhere. I knew it in the way my father had once known, staring at the flats of San Francisco Bay, that he stood at the edge of absolutely the correct abyss. I would place my million trades a day, then sit at my glass-topped desk well into morning, doing and redoing every move in my mind.
Ah, recidivism. It’s the fly in the ointment.
The only obvious problem with my life — that is, the only one I was worried about at the time — was that to a numerically inclined mind like my own, the economics of normal existence were becoming untenable. How could I go for a half-hour walk in Battery Park when it meant $25,000 in income? Was a coffee at Starbucks worth the price of a Mercedes?
I’d been raised on mathematics. Now I was starting to doubt a few of its dictates.
At some ungodly hour of the night, I would at last allow myself to quit. The empty elevator whisked me back down to the lobby, where Lorenzo, my Astoria-Italian driver, would be idling at the Pine Street entrance in his Town Car, waiting to take me home to the brownstone, which was on Perry Street near the river.
In the living room of that brownstone was a Mpingo coffee table that had cost as much as Lorenzo’s Lincoln. I’d bought it with about an hour’s salary.
—
THE FIRST DINNER my father and I had together in New York was at Le Pinceau. A warm, ginkgo-scented fall evening not that long after I’d started at Physico. I’d only seen him once during the whole time I was at OSU, a single weekend in the middle of my second year when I took the bus up to Michigan to talk with him about my thoughts on the Shores-Durbans. We ate every meal at the Green & White, and he gave me a couple of good ideas about the mathematics, which I have to admit might have been helpful if I’d ever gotten around to writing a dissertation.
Now, here he was in New York, looking rather well. Dapper, even. Pale linen suit and the old Borsalino. His belly was flat, and his face was aglow with the burnished sunburn that he’d started to exhibit despite the fact that he was living full-time in a woods. He moved solidly across the dining-room floor to the seat across from me. He’d flown in from Detroit, first class. Courtesy of me, of course. I’d walked down the block from the office.
“I’ll pay for my own dinner” was the first thing he said.
“No need. Really.”
He looked around, smirking. “Not many mathematics professors in here, I see.”
“Not many Fields winners, anyway.”
This softened him. Undoing his coat, he glanced at the menu. “They serve decent scotch. I think I’ll try the Laphroaig first. What about you?”
“Nothing for me, Dad.”
He raised his eyebrows, then smiled from one corner of his mouth.
By the time our appetizers arrived, he’d tried the GlenDronach, too; and by the time the endive salad was rolled to the table and dressed with ground peppercorns and a twenty-five-year-old Modena balsamic, he’d offered opinions on the St. Magdalene and the Glenfarcias, each of which he’d dispatched in a single appreciative slit-eyed swallow that looked a little bit like a snake putting the final touches on a mouse. For the main course, he ordered a bison steak and a mound of shoestring potatoes, then sat back for another GlenDronach.
At a table a few feet from us that night was a young woman dining alone. Not a derivatives trader. Not even in the financial business, I could see from her wardrobe, whose warp and brownish palette brought to mind sheep rather than tiger. I’d noticed her while waiting for Dad. She was pretty. She was sitting behind me, though, and a little off to the side, so that I’d been reduced to angling my water glass against the dining-room mirrors to get an occasional view of her features. When my father ordered the first GlenDronach, I noticed in my reflector that she glanced up with hardly more than an eyebrow. Still. She was older than I was — who wasn’t? — but nonetheless a little young to be dining alone in a place like this, even in New York City: somewhere in her mid- to late twenties was my guess. I straightened my tie, which was a dark Hermès picked out by one of my secretaries, then nodded gravely over Dad’s shoulder, signaling for the waiter. I was spending a lot of time in those days trying to look older.