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

  • April 23, 2012

    they ought at least be allowed to state why they didn't do anything and also to explain the process by which they didn't do anything. First blush One of [...]

  • April 16, 2012

    Guiding a ship, it takes more than your skill Spark David Rowe's Risk column this month is about data leverage. The idea is that you are leveraging your data [...]

  • April 4, 2012

    How did the constraints affect portfolio betas, and how did the betas change over time? Previously “Low (and high) volatility strategy effects” created 6 sets of random portfolios -- [...]