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The Future is Made in the Bedroom, Not the Boardroom

March 27, 2017 by The Psy-Fi Blog   Comments (0)

RIP Hans Rosling Hans Rosling was, if you’re a data geek like me, a hero. His life was spent not just combating fake facts and opinion based decision making but also in finding new and imaginative ways of visualising real data. And he was in demand by corporations across the world because his work showed them where to invest. So obviously Rosling wasn’t an economist: he was a population statistician who built his ideas on data, rather than models. And what his data suggests is that the future...

Cohort effects in mortality modelling: a Bayesian state-space approach. (arXiv:1703.08282v1 [q-fin.ST])

March 26, 2017 by Quantitative Finance at arXiv   Comments (0)

Cohort effects are important factors in determining the evolution of human
mortality for certain countries. Extensions of dynamic mortality models with
cohort features have been proposed in the literature to account for these
factors under the generalised linear modelling framework. In this paper we
approach the problem of mortality modelling with cohort factors incorporated
through a novel formulation under a state-space methodology. In the process we
demonstrate that cohort factors can be...

A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping. (arXiv:1703.08534v1 [math.OC])

March 26, 2017 by Quantitative Finance at arXiv   Comments (0)

We consider an optimal stopping problem where a constraint is placed on the
distribution of the stopping time. Reformulating the problem in terms of
so-called measure-valued martingales allows us to transform the marginal
constraint into an initial condition and view the problem as a stochastic
control problem; we establish the corresponding dynamic programming principle.

Survey Respondents: Market Volatility is the Gravest Threat Just Now

March 26, 2017 by All About Alpha   Comments (0)

Natixis Global Asset Management is out with its annual survey of institutional investors and their views about alternative investors. The survey included institutions around the world and of many distinct classes: corporate and public pension funds, insurance funds, sovereign wealth funds, endowments/foundations, managing amongst them $15.5 trillion. The break-down ofRead More

In Praise of Two Giants of Econometrics

March 26, 2017 by Econometrics Beat   Comments (0)

Two giants in our field, now deceased, are celebrated in recent Working Papers by Peter Phillips and Timo Teräsvirta. Peter's paper is titled, "Tribute to T. W. Anderson", is in an issue of Econometric Theory that also includes ted's last published research paper. Timo's paper, which will be appearing in The Journal of Pure and Applied Mathematics, "Sir Clive Granger's contributions to nonlinear time series and econometrics". Both papers are essential reading, whether you have a...

This Week on TRB

March 26, 2017 by The Reformed Broker   Comments (0)

These were the most read posts on the site this week, in case you missed it: ...

Network theory may explain the vulnerability of medieval human settlements to the Black Death pandemic

March 25, 2017 by Complexity Digest   Comments (0)

Epidemics can spread across large regions becoming pandemics by flowing along transportation and social networks. Two network attributes, transitivity (when a node is connected to two other nodes that are also directly connected between them) and centrality (the number and intensity of connections with the other nodes in the network), are widely associated with the dynamics of transmission of pathogens. Here we investigate how network centrality and transitivity influence vulnerability to...

A "Journal of Insignificant (Economic) Results"?

March 25, 2017 by Econometrics Beat   Comments (0)

The Replication Network carried a guest blog post by Andrea Menclova this week. The post was titled, "Is it Time for a Journal of Insignificant Results?" I was previously unaware of the existence of such journals in Psychology, Biomedicine, and Ecology and Evolutionary Biology. Andrea calls for the introduction of such a journal in Economics, and she makes a really good point. Take a look at what she has to say! © 2017, David E. Giles