Category Archives: Blog
Deflation, inflation and blown tires
Jonathan Ruffer provides a brilliant metaphor regarding the possibilities for deflation and inflation. It is in the recent post by Jonathan Davis: Q and A with Jonathan Ruffer. I don’t see how I can improve on what is said there.
Posted in Economics
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Ideas for World Statistics Day
World Statistics Day is 2010 October 20. If you work with data or you should, then you are a statistician and this is a day for you. Try the Monty Hall problem on your mother. Start reading Bad Science. I mean the book, but here’s the blog. Take a step towards breaking your spreadsheet addiction … Continue reading
American TV does cointegration
Fringe provides an excellent example of cointegration. This is a television show in which there are two adjacent universes. The universes are almost alike but not exactly. Now, everyone knows that history is chaotic. If a butterfly does an extra flap of its wings, then that difference spreads out to change subsequent events everywhere. But … Continue reading
Anomalies meet volatility
Isn’t the horse facing the cart? “A New Look At Minimum Variance Investing” by Bernd Scherer (SSRN version) looks at a few aspects of minimum variance portfolios. We’ve been in this neighborhood before with The volatility puzzle solved? This post contains some comments on Bernd’s paper. Efficient frontiers My first concern with the paper is … Continue reading
Review of “Brain Rules” by John Medina
Finally, an operator’s manual for the human brain. You should read this book, but in the meantime I’ll summarize the rules over which you have some control: exercise don’t be boring repeat to remember sleep chill out don’t be boring don’t be boring be curious The greatest of these is curiosity. Schools A quote from … Continue reading
Posted in Book review
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A tale of two returns
It was the best of times, it was the worst of times. As you may have guessed, this is a mashup of a novel by Charles Dickens and an explanation of financial returns. The key plot element of A Tale of Two Cities is that there are two men, Charles Darnay and Sydney Carton, who … Continue reading
Posted in Quant finance, R language
Tagged aggregate returns, arithmetic return, arithmetic return vs geometric return, continuously compounded returns, geometric return, geometric return vs arithmetic return, gross return, log return, log return vs simple return, net return, simple return, simple return vs log return, total return
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Upcoming events
• LondonR Group will meet 2010 October 05 6PM – 9PM The Counting House, 50 Cornhill near Bank, London. See details at http://www.londonr.org/ • The HEC Finance and Statistics Conference will be held 2010 October 08 in Paris. Details are at http://appli7.hec.fr/reunion/financeandstatistics2010/ • Patrick Burns is scheduled to talk on “Effective Backtesting” on 2010 November … Continue reading
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Review of “The Happiness Equation” by Nick Powdthavee
Your happiness probably lies outside this book. Fund management If you think this topic remote from fund management, I think you’re wrong. Suppose that we deliver a lot of wealth to a person as they retire. We’ve done well in terms of wealth management. Now, suppose that we made the world an undesirable place in … Continue reading
Ancient portfolio theory
Before we get to the meat of the subject, I just have to comment on the “modern” of Modern Portfolio Theory. Figure 1: Modern telephone switch Figure 1 shows us a modern telephone switch. As a bonus we get to see some modern women. Why don’t we have “portfolio theory” instead of “Modern Portfolio Theory”? … Continue reading
Physical economy v social economy
There’s a hole in the bucket of traditional economics. Homo socialus seems to be on the rise, and homo economicus is getting harder to find. Vulcanism has become evident in the R community over the last several days. One of the visible eruptions has been over money. This resulted in a blog post by Tal … Continue reading
