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Blog Post: Falkenblog: Inspirational Politicians

May 3, 2012 by MoneyScience   Comments (0)

I'm always a bit bemused by people who find politicians interesting people, as invariably their remarks are simply a party line, and even the stories and metaphors aren't even their own.  Consider this confession by Charles Wheelen:My first job out of college was writing speeches for the governor of Maine. Every spring [for graduations], I would offer extraordinary tidbits of wisdom to 22-year-olds—which was quite a feat given that I was 23 at the time.I just don't see the point in...

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Blog Post: ThreeToedSloth: Installing pcalg

May 3, 2012 by MoneyScience   Comments (0)

Attention conservation notice: Boring details about getting finicky statistical software to work; or, please read the friendly manual. Some of my students are finding it difficult to install the R package pcalg; I share these instructions in case others are also in difficulty. For representing graphs, pcalg relies on two packages called RBGL and graph. These are not available on CRAN, but rather are on the other R software repository, BioConductor. To install them, follow the instructions...

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Published / Preprint: A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices. (arXiv:1205.0332v1 [q-fin.ST])

May 3, 2012 by MoneyScience   Comments (0)

This study conducts a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from January 4, 2000 to January 30, 2012. A recursive segmentation procedure is used under the assumption of a Gaussian mixture. The number of each quintile of variance for all the segments indicates is investigated empirically. It is found that from June 2004 to June 2007 a large majority of stocks are stable and that...

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Published / Preprint: Segmentation analysis on a multivariate time series of the foreign exchange rates. (arXiv:1205.0336v1 [q-fin.ST])

May 3, 2012 by MoneyScience   Comments (0)

This study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is employed as a discriminator and a recursive segmentation procedure is proposed. The daily log-return time series for 30 currency pairs consisting of 12 currencies for the last decade (January 3, 2001 to December 30, 2011) are analyzed using the proposed method. The proposed method can detect several...

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Published / Preprint: Fractal Profit Landscape of the Stock Market. (arXiv:1205.0505v1 [q-fin.ST])

May 3, 2012 by MoneyScience   Comments (0)

We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q. Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the underlying two-dimensional parameter space of p and q. It is revealed that the local maxima in the...


Blog Post: AllAboutAlpha: Supreme Court May Take Bulldog's Appeal

May 3, 2012 by MoneyScience   Comments (0)

The Goldstein case has arisen because Massachusetts prohibits an issuer of unregistered securities sold only to sophisticated investors from running a website accessible to not-so-sophisticated folks, or from contacting them with emails in response to interest expressed on the website. The trial court upheld the law and regulation at issue against Bulldog’s first amendment arguments, finding that the scheme was justified because it was narrowly tailored to the state’s interest in protecting...

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Vendor News: Quantifi Wins Risk Magazineâs Coveted Risk Management Technology Product of the Year Award

May 2, 2012 by Jacob Bettany   Comments (0)

London and New York - Quantifi, a leading provider of analytics, trading and risk management solutions to the global OTC markets, today announced that Quantifi has achieved one of the industry’s highest accolades having won ‘Risk Management Technology Product of the Year’ in Risk Magazine’s 2012 Risk Awards.


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Blog Post: EconometricsBeat: Newton and the Royal Mint

May 2, 2012 by MoneyScience   Comments (0)

Sir Isaac Newton had a "day job" - Master of the Royal Mint, from 1699 until his death in 1727. Today I received an email notice about an upcoming statistics seminar at the University of British Columbia - just across the water from here: Tue 8th May 2012, 11:00am Ari Belenkiy The Master at the Royal Mint: How much money did Newton save Britain? Abstract "From the extant statistical data, this paper reconstructs several episodes in the history of the Royal Mint...

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