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

Latest posts

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

  • March 28, 2011

    Overfitting is a problem when trying to predict financial returns.  Perhaps you've heard that before.  Some simple examples should clarify what overfitting is -- and may surprise you. Polynomials [...]

  • March 21, 2011

    Markets can be disrupted in numerous ways.  We should prepare as best we can. Gloom Here are some things that will happen some day: An epidemic threatens millions or [...]

  • March 7, 2011

    In "What the hell is a variance matrix?" I talked about the basics of variance matrices and highlighted challenges for estimating them in finance.  Here we look more deeply [...]