May
21st
Tue
21st
May
20th
Mon
20th
experquisite on twitter
Haven’t decided if I will leave tumblr to avoid yahoo, but there’s the twitter just in case
May
13th
Mon
13th
The bottom line is the titans are working from the wrong playbook. We’re all, to varying degrees, slaves to our experiences. Their formative experiences, almost to a man, were in the early 80s. This is when they built their knowledge and assembled their financial playbooks. They learned words like Milton Freidman, money multiplier, Paul Volcker, Ronald Reagan, and the superneutrality of money. Above all, they internalized one dictum: real men have hard money.
QuantStart articles
Looks like some good stuff, haven’t read them yet.
Several relatively recent volatility estimators
To improve upon close-close standard deviation:
http://www.fea.com/resources/a_estimation_of_security_price.pdf
http://projecteuclid.org/DPubS/Repository/1.0/Disseminate?view=body&id=pdf_1&handle=euclid.aoap/1177005835
http://www.atmif.com/papers/range.pdf
Apr
16th
Tue
16th
Researchers Finally Replicated Reinhart-Rogoff, and There Are Serious Problems.
“If this error turns out to be an actual mistake Reinhart-Rogoff made, well, all I can hope is that future historians note that one of the core empirical points providing the intellectual foundation for the global move to austerity in the early 2010s was based on someone accidentally not updating a row formula in Excel.”
Apr
14th
Sun
14th
Remove all the deductions and exemptions, and you’d be able to reduce top tax rates, reverse the impact of the sequester, or draw down the deficit—all at once. You’d also considerably reduce the angst of tax day for millions of Americans and even allow for a downsizing of the IRS and the tax industry itself. On April 15, surely that should be an idea with immense political appeal.
Euler and Milstein discretizations
Forget if I posted this already.
Apr
8th
Mon
8th
Fooled by Data-Mining: The Real-Life Performance of Market Timing with Moving Averages
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2242795
Note: this paper directly addresses the system that I was backtesting in python a few months ago! see http://experquisite.tumblr.com/post/43203658332/rolling-sharpe-ratios-with-common-colors-faber-ma
