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Burns Statistics's Blog

There’s news and there’s news

December 16, 2011 Comments (0)

Two recent posts included the word “news”, but in different senses. Events “News” in the sense of reports on events was discussed in “News analytics”.  We can think of this as an approximation to objective reality. Market moves The post “Volatility estimation and time-adjusted returns” used “news” in the sense of “that which moves market prices”.  News in the first sense is only part of this sort of news.  This sort also...

Searching for inspiration on financial risk

December 13, 2011 Comments (0)

Two people, two sources. Planes Deus ex Macchiato has a post called “Planes not bridges” in which it is suggested that learning from air traffic investigators makes sense.  The logic is that a large component of plane accidents is caused by human (mis)beliefs.  So perhaps finance can imitate air safety in reducing the frequency of crashes. Clouds Meanwhile Andy Haldane in New Scientist (gated version) looks to meteorology as an example of better ways to see a complex process.  If we...

LondonR recap

December 10, 2011 Comments (0)

The biggest and perhaps best meeting yet. The talks James Long: “Easy Parallel Stochastic Simulations using Amazon’s EC2 & Segue”.  This was a lively talk about James’ package to use Amazon’s cloud to speed up a (huge) call to lapply.  The good part is that if you want to use Amazon as your cloud provider, it is very easy.  The downside is that the package is intimately tied to Amazon — so if you want a more general solution, you should probably go...

Alpha decay in portfolios

November 30, 2011 Comments (0)

How does the effect of our expected returns change over time?  This is not academic  curiosity, we want to know in the context of our portfolio if we can.  And we can — we visualize the effect of expected returns in situ. First step The idea is to look at the returns of portfolios that have the constraints we want and also have a high expected return.  Each of those is paired with a portfolio that  has the portfolio constraints but no constraint on expected...

Two sentences from John Kay

November 2, 2011 Comments (0)

A semantic confusion leads us to use the word market to describe both the process which puts food on our table and the activity of gambling in credit default swaps. Perhaps the “something nicer” which should replace capitalism is a more nuanced – and more accurate – account of capitalism itself. The sentences that surround those two are “Capitalism need not be about greed and gambling”. Previously A couple of book reviews are: Review of “Obliquity” by John Kay and...