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thoughts on markets, ethics, technology and value

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Feb
11th
Tue
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Oct
27th
Sun
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No purchaser of a sovereign debt instrument today does so in the hope and expectation that when the debt matures the borrower will have the money to repay it. The purchaser does so in the hope and expectation that when the instrument matures the borrower will be able to borrow the money from somebody else in order to repay it. This is a crucial distinction. If by sovereign creditworthiness we mean that a sovereign is expected to be able to generate enough revenue fromn taxes or other sources to repay its debts as they fall due, then most countries are utterly insolvent.
— [no citation. yet.] (via felixsalmon)
Sep
29th
Sun
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SPY 1000-tick open-close log returns over the last 140 days.  Normal and Student’s-t fitted, the latter with 17.85 nu/degrees of freedom.  Seems like a pretty solid fit to me, though the markets have been calm for the last year.

SPY 1000-tick open-close log returns over the last 140 days.  Normal and Student’s-t fitted, the latter with 17.85 nu/degrees of freedom.  Seems like a pretty solid fit to me, though the markets have been calm for the last year.

Sep
24th
Tue
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Sep
7th
Sat
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expectations of variations of brownian motion

Little experiment to validate that absolute variation tends to infinity, mean squared variation tends to 1 (for standard normal), and the cubic, quartic etc variations tend to 0 (as delta t tends towards 0).  This, if I am not mistaken, is why we can do all the tricks we do in Ito calculus.

MATLAB code (my first ever):

function drawExpectationConvergence = drawExpectationConvergence(nstepsmax, moment)
    figure;
    hold on;
    
    results = zeros(0, nstepsmax);
    
    parfor n = 1:nstepsmax
        results(n) = expectation(n, moment);
    end
    
    plot(results);
    hold off;

end


function expectation = expectation(nsteps, moment)

    T = 1.0;
    dt = T / nsteps;
    sqrt_dt = dt^0.5;
    
    V = 0;
    for i = 0:nsteps
        V = V + abs((normrnd(0,1)*sqrt_dt)^moment);
    end
    expectation = V;

end    
Aug
27th
Tue
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Aug
5th
Mon
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Tumblr sure is quiet these days

Maybe marissa killed it

Jul
7th
Sun
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Jul
6th
Sat
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Jul
2nd
Tue
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Jun
25th
Tue
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Jun
4th
Tue
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Jun
3rd
Mon
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May
28th
Tue
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