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

  • December 23, 2013

    Additional views of the stability of skewness and kurtosis of equity portfolios. Previously A post called "Four moments of portfolios" introduced the idea of looking at the stability of [...]

  • November 18, 2013

    Comparing the behavior of the two on the S&P 500. Previously There have been a few posts about Value at Risk (VaR) and Expected Shortfall (ES) including an introduction to Value [...]

  • October 22, 2013

    What I've learned from updating the blogroll. New entries The easy option is to go to The Whole Street which aggregates lots of quant finance blogs. Somehow Bookstaber missed [...]