February 8, 2011
Much of what has been said and thought about beta in finance is untrue. Myth 1: beta is about volatility This myth is pervasive. Beta is associated with the [...]
January 24, 2011
Executive summary: Extremely useful for new users, informative to even quite seasoned users. Refereeing Once upon a time a publisher asked if I would referee a book (unspecified) about [...]
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 17, 2011
We think of accidents as abnormal events, but there is "normal accident" theory. We don't think of accidents happening in markets, but they do. That's why it's called a [...]
January 12, 2011
It is ever so easy to make blunders when doing quantitative finance. Very popular with novices is to analyze prices rather than returns. Regression on the prices When you [...]
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 [...]
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 [...]