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Effective risk management with R

September 21, 2014 by Patrick Burns   Comments (0)

Conference The first EARL Conference (Effective Applications of the R Language) was held 2014 September 15-17 in London. Talk My talk was “Effective risk management with R” (annotated slides). Instability hypothesis When I was preparing for the talk, one of my ideas was to show the Google trend for searches for Minsky’s instability hypothesis.  I thought it would look a lot like Figure 1. Figure 1: My guess of interest in the instability hypothesis over time. My impression is...

On LinkedIn Endorsements and Registered Investment Advisors

September 20, 2014 by The Aleph Blog   Comments (0)

I’m going to be away for a few days.  Maybe I will have time to post; most likely I won’t.  Before I go, I want to thank my readers who have endorsed me at LinkedIn.  You are most generous in your assessments of my abilities.But as for now, until there is better clarification of whether it is legitimate for advisors to accept endorsements at their LinkedIn profiles, I am disabling endorsements on my profile.  For those that want to do the same thing, you can find out how to do it...

Bitcoin at Major Support, Now What?

September 20, 2014 by The Reformed Broker   Comments (0)

When you value a stock, you have many levers you can pull to come up with an answer for “fair value” – whether it’s price-to-book-value or a PE ratio or some sort of discounting of future cash flows. When you value a commodity, you have actual real-world supply-vs-demand dynamics on your side – Will we...

This Week on TRB

September 20, 2014 by The Reformed Broker   Comments (0)

(On the floor of the NYSE for Alibaba’s IPO on Friday, September 19th 2014, with CNBC’s Sara Eisen.) These were the most read posts on the site this week, in case you missed them:

Information - Function - Biology

September 20, 2014 by Complexity Digest   Comments (0)

Here you will find a description of the aims, activities and theoretical synthesis of the "Information - Function - Biology" project.The broad aim is to advance a deep understanding of life and living which integrates concepts over all scales, all time and all forms of biological organisation. The key insight enabling this is to see that living is an information process, that living forms are concentrations of information engaged in storing, communicating, filtering and recombining information....

Introduction: Simulation, Visualization, and Scientific Understanding

September 20, 2014 by Complexity Digest   Comments (0)

The papers in this special issue address questions at the intersection of these three topics: scientific understanding, computer simulation and vi- sualization. They are a subset of the papers presented at a workshop on scientific understanding held at the Lorentz Center (Leiden, The Nether- lands) in 2010. Spanning a wide range of scientific fields—from sociology to biology to climate science to fundamental physics—as a group they both reveal common threads and serve as a reminder...

The (Non-) Standard Asymptotics of Dickey-Fuller Tests

September 20, 2014 by Econometrics Beat   Comments (0)

One of the most widely used tests in econometrics is the (augmented) Dickey-Fuller (DF) test. We use it in the context of time series data to test the null hypothesis that a series has a unit root (i.e., it is I(1)), against the alternative hypothesis that the series is I(0), and hence stationary. If we apply the test to a first-differenced time series, then the null is that the series is I(2), and the alternative hypothesis is that it is I(1), and so on. Suppose that the time series in...

Estimation – The Guessing Game

September 20, 2014 by Tales from a Trading Desk   Comments (0)

InfoQ offers an interesting read on agile planning and estimation. Here are a few key quotes :) All numbers are based on assumptions. Your figures are only as good as your estimates and guesses – and there may be serious flaws in your assumptions. If we approve a project based on a year’s worth of work, and we estimate it and we think it is all good, there is a lot of risk inherent in there. But also, and this is worse, we might ditch doing something really, really valuable for the company...

US market portrait 2014 week 38

September 20, 2014 by Burns Statistics   Comments (0)

US large cap market returns. Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however you like