Effective risk management with R

September 21, 2014

Conference

The first EARL Conference (Effective Applications of the R Language) was held 2014 September 15-17 in London.

Talk

My talk was “Effective risk management with R” (annotated slides).

Instability hypothesis

When I was preparing for the talk, one of my ideas was to show the Google trend for searches for Minsky’s instability hypothesis.  I thought it would look a lot like Figure 1.

Figure 1: My guess of interest in the instability hypothesis over time. minskypriorMy impression is that the instability hypothesis is pretty much totally ignored except immediately following market crashes.  That’s the sort of thinking that allows the pattern to continue.

Figure 2: Google trend for: minsky instability hypothesis.

The trend that I actually saw was severely different from my prior.  This leads me to pretty much entirely discount the data.  Part of the problem is the small number of searches at any time.

Epilogue

I’ll tell ya truly that I sometimes lie

— from “What Kinda Guy?” by Steve Forbert

Leave a Reply

  1. […] and embraced Minsky’s idea of an inherently unstable economy … In the years since 2008, Minsky has been forgotten and the herd has quickly drifted back to recolonise the neoclassical zone, conveniently forgetting […]

Related posts

  • February 25, 2013

    Exploring the quality of predictions using random portfolios and optimization. Previously "Simple tests of predicted returns" showed a few ways to look at expected returns at the asset level.  [...]

  • February 18, 2013

    Some ways to explore how good a method of predicting returns is. Data and model The universe is 443 large cap US stocks that have data back to the [...]

  • February 12, 2013

    Featured R for Finance Workshop 2013 March 5-6 in London. The target audience are professionals and academics, who wish to learn the basics of the statistical software R and [...]