Alternative Hardware
I recently became aware of two technologies which I highly doubt I will have the opportunity to test due to…
Survivorship Bias
Survivorship bias is a simple idea but it's a good time to bring it up after the previous notes on…
More Matlab/IB Code
Here is some more Matlab code to interact with Interactive Brokers' API. Check the previous tutorial on connecting Matlab to…
Information Theory Betting
The following is a very interesting problem copied from p.132 of "Elements of Information Theory" by Cover and Thomas. I've…
House Hearing on Hedge Funds
http://video.aol.com/video-detail/house-oversight-cmte-hearing-on-turmoil-in-the-financial-markets/1389143189/?icid=VIDLRVGOV04The politicians love their ambiguously applicable metaphors.
Volatility vs. Leverage
Recently I've been curious about volatility and leverage. Here's the problem: let's say you make or lose 10% of your…
Weirdness is the “Curse of Dimensionality”
I read the following well-written section in "The Elements of Statistical Learning" by Friedman, Hastie, & Tibshirani. This curse of…
Papers and Matlab Files
Matlab has been really fun to learn so far. It's easy to write useful code with very few lines. In…
SKF: Inverse Construction and Volatility
I previously explained why market returns should be lognormally distributed with positive daily expectation (not continuous). However, imagine a security…
Probability of Ruin
Catalan Numbers are an interesting way of modeling the probability of ruin.Specifically, Catalan Numbers help find the probability that a…
