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April 2012

Hugh Hendry - Full Text of Letter to Eclectica Investors

April 30, 2012 Comments (0)

...I meet a lot of inquisitive and extremely intelligent people in this business and I have come to think that maybe this is something of a problem. Perhaps they are just too smart. Perhaps they just try too hard. Rightly or wrongly, the highest return on intellectual capital of any endeavour in the world today comes from the management of other people’s money. So it is entirely rational (especially if you have never met a hedge fund manager) to assume the industry attracts the brightest,...

The Week in MoneyScience - Digest 27/04/12

April 27, 2012 Comments (0)

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Group Discounts Available: An Introduction to QuantLib Development with Luigi Ballabio - London, 21-23rd May
Movie Trailer: Travelling Salesman - A Movie About P=NP -
Olympic Economics: 20 Papers on Economics and the Olympic Games -

Movie Trailer: Travelling Salesman - A Movie About P=NP

April 26, 2012 Comments (0)

Via I, Programmer:

We all know that the P=NP question is truly fascinating, but now it is about to be released as a movie. Can they be serious? Yes, a proof of P=NP would change the world as we know it.
A movie that features science and technology is always welcome, but is it not often we have one that focuses on computer science. Travelling Salesman is just such a rare movie. As you can guess from its name, it is about the Travelling Salesman problem, more precisely about the P=NP...

The wisdom of retail traders

April 26, 2012 Comments (0)

Study shows retail investors can predict future stock returns
A forthcoming paper in the Journal of Finance by Professor Paul Tetlock, Roger F. Murray Associate Professor of Finance at Columbia Business School, and Eric Kelley, Assistant Professor, Finance, the Eller College of Management at the University of Arizona, finds that retail investors' are not as unsophisticated as many think: they can actually predict future stock returns. The study shows that retail traders buy in advance of price...

Algorithmic incentives: A new type of mathematical game suggests new ways to structure incentives in contracts

April 25, 2012 Comments (0)

In 1993, MIT cryptography researchers Shafi Goldwasser and Silvio Micali shared in the first Gödel Prize for theoretical computer science for their work on interactive proofs — a type of mathematical game in which a player attempts to extract reliable information from an unreliable interlocutor.
In their groundbreaking 1985 paper on the topic, Goldwasser, Micali and the University of Toronto’s Charles Rackoff ’72, SM ’72, PhD ’74 proposed a particular kind of...

Research suggests that corporate political donations do not boost stock performance

April 25, 2012 Comments (0)

When trying to find a good stock pick, you might want to stay away from companies that make large political contributions, according to a new study by researchers from the University of Kansas and the University of Minnesota.
The findings which appear in this paper, indicate a decline of 7.4 basis points (or 0.074 percent) in risk-adjusted stock return for every $10,000 in political donations, after adjusting for differences in firm characteristics. While this decline may seem small, the...

Video: Money, Power and Wall Street - FRONTLINE tells the inside story of the global financial crisis

April 25, 2012 Comments (0)

Via The Big Picture and KPBS:

Since 2008, Wall Street and Washington have fought against the tide of the fiercest financial crisis since the Great Depression. What have they wrought? In a special four-hour investigation, FRONTLINE tells the inside story of the struggles to rescue and repair a shattered economy, exploring key decisions, missed opportunities, and the unprecedented and uneasy partnership between government leaders and titans of finance that affects the fortunes of millions of...

Olympic Economics: 20 Papers on Economics and the Olympic Games

April 23, 2012 Comments (0)

To complement the collection of papers I put together in 2010 on the FIFA World Cup, here's a first pass at collecting research on the upcoming Olympics.
A Cost-Benefit Analysis of an Olympic Games (2006)
Darren McHugh
This paper attempts to estimate the net benefit to Canada of the Vancouver 2010 Winter Olympic Games. Two particular classes of problems in Olympic CBA are studied in detail. The first is the unique nature of project dependency in an Olympic Games, and this is surmounted...

Proceeding from the 2012 Collective Intelligence Conference, Cambridge, MA

April 23, 2012 Comments (0)

Via the always excellent, Complexity Digest:

This volume holds the proceedings of the Collective Intelligence 2012 conference in Cambridge, Massachusetts. It contains the full papers, poster papers, and plenary abstracts.
Collective intelligence has existed at least as long as humans have, because families, armies, countries, and companies have all - at least sometimes - acted collectively in ways that seem intelligent. But in the last decade or so a new kind of collective intelligence has...

Speculation in oil markets? What have we learned?

April 23, 2012 Comments (0)

Lutz Kilian 21 April 2012
Was the surge in the oil prices between 2003 and 2008 caused by financial investors taking speculative positions in oil futures markets? Many pundits and policymakers seem to think so, but this column says this view goes against the extensive body of evidence.
A popular view is that the unprecedented surge in the spot price of oil during 2003–08 cannot be explained by changes in economic fundamentals, but was driven by the increased financialisation of oil...