January 26, 2011
Fundamental Hawk (perusii balancesheetus) Very discriminating in diet. Often seen scratching in the undergrowth. Subsists on irrationality, short-lived variety only. Macro Harrier (exsanguinus economicus) Flies very high. Reports of [...]
January 24, 2011
Suppose I borrow a dollar from you and I'll pay you 100% interest at the end of the year. How much money will you have then? $1 * (1 [...]
January 14, 2011
Markets Sex and statistics Marginal Revolution had the post Sex and Statistics or Heteroscedasticity is Hot which reports on the OkTrends post The Mathematics of Beauty. The summary is [...]
January 10, 2011
Amy Anyone: What is EMH? Boris The Banker: That's the Efficient Market Hypothesis, or sometimes the Efficient Markets Hypothesis. Amy: What's that? Boris: It says that all available and [...]
January 6, 2011
We look at a few forecasts for the year 2011 that we've run across, and compare them with the prediction distributions presented in Revised market prediction distributions. FTSE 100 [...]
January 4, 2011
This provides revised plots of the prediction distributions published yesterday. The previous plots of prediction distributions should be ignored -- they are not doing as advertised. We show the [...]
January 4, 2011
Here we give details and code for the prediction distributions exhibited in yesterday's blog post "Tis the season to predict". [Revision: There was a problem with the plots published [...]
January 3, 2011
I predict there will be a lot of predictions of markets for the coming year. Here is a calibration of such predictions. We show the prediction distribution of levels [...]
December 30, 2010
The blog year started in August and consists of 30-something posts. Here is a summary. Most popular Ideas for World Statistics Day A quant review of "The Quants" by [...]
December 27, 2010
We're really interested in markets, but we'll start with a series of coin tosses. If the coin lands heads, then we go up one; if it lands tails, we [...]