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June 2009 Blog Posts (22)
ParallelR and Financial Applications
http://algo.scu.edu/~sanjivdas/parallelr_options.pdf
Added by John A Morrison on June 30, 2009 at 10:28am — No Comments
The R Package bigmemory
John W. Emerson, Yale University
Michael J. Kane, Yale University
Abstract
Multi-gigabyte data sets challenge and frustrate R users even on well-equipped hardware. C/C++ and Fortran programming can be helpful, but is cumbersome for interactive data analysis and lacks the flexibility and power of R’s rich statistical programming environment. The new… Continue
Added by John A Morrison on June 30, 2009 at 10:17am — No Comments
R as a Tool in Computational Finance
(Authors note: I welcome feedback on this draft. My goal is to show how R can quickly be used as a tool in computational ¯nance, not give an exhaustive tutorial in R. The discussion of open source vs commercial packages in section 1.2 grew spontaneously from what was intended to be a few comments; let me
know if this is worthwhile. The current version is aimed more at an academic audience, and less at finance professionals. There is more that… Continue
Added by John A Morrison on June 30, 2009 at 10:11am — 1 Comment
State-of-the-art in Parallel Computing with R
Department of Statistics
University of Munich
Markus Schmidberger, Martin Morgan, Dirk Eddelbuettel, Hao Yu, Luke Tierney, Ulrich Mansmann
http://epub.ub.uni-muenchen.de/8991/1/parallelR_techRep.pdf
Added by John A Morrison on June 30, 2009 at 9:56am — No Comments
#15: Here's a thought...
Data, data, every where
You must admit you have a problem before you can solve it. Many enterprises are blind to their integration silos. All they see is their investments in ERP, DW, BI, CPM, MDM, CDI, SOA and PIM applications and the resulting databases with terabytes of data stored in them. Smug with the knowledge that they have all the data that the business… Continue
Added by Brian Roger on June 28, 2009 at 10:02am — No Comments
Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
Ryan WOODARD (ETH Zurich)
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage for billions of people. Heavy central bank interventions and government spending programs have been… Continue
Added by John A Morrison on June 25, 2009 at 2:28am — No Comments
Strategy Analyst Opportunity with a Fortune 500 Company in Kennesaw, GA!
If you are interested in viewing the details of the position, please check out our online posting at www.carmaxautofinance.com or feel free to email… Continue
Added by Susan Podsiad on June 24, 2009 at 6:36am — No Comments
MathFinance Seminar on Foreign Exchange Exotic Options
Added by Ansua Dutta on June 24, 2009 at 2:59am — No Comments
Gaussian copula function: The Formula That Killed Wall Street
A year ago, it was hardly unthinkable that a math wizard like David X. Li might someday earn a Nobel Prize. After all, financial economists—even Wall Street quants—have received the Nobel in economics before, and Li's work on measuring risk has had more impact, more quickly, than previous Nobel Prize-winning contributions to the field. Today, though, as dazed bankers, politicians, regulators, and investors survey the wreckage of the biggest… Continue
Added by Vincent Granville on June 23, 2009 at 10:30am — 2 Comments
Dynamic Provisioning & Bank Capital Integrity: Banking Supervision
Added by John A Morrison on June 22, 2009 at 11:57pm — No Comments
Demand-driven Job Separation: Reconciling Search Models with the Ins and Outs of Unemployment
Demand-driven Job Separation: Reconciling Search Models with the Ins and Outs of Unemployment
Regis Barnichon
Abstract: This paper presents a search model of unemployment with a new mechanism of job separation based on firms' demand constraints. The model is consistent with the cyclical behavior of labor market variables and can account for three stylized facts about unemployment that the Mortensen-Pissarides (1994) model has difficulties explaining jointly: (i) the…
Added by John A Morrison on June 22, 2009 at 11:30pm — No Comments
The Promise and Perils of Credit Derivatives
http://blog.i2pi.com/
Its an exposition of the recent history and legal and institutional framework of the Credit Derivative and given the imminent re-engineering of the regulatory and indeed market infrastructure for these products its a really useful reference for actually "what goes on" or more accurately 'what went on'.
The Promise and… Continue
Added by John A Morrison on June 22, 2009 at 11:29pm — 3 Comments
FORECASTING THE WORLD ECONOMY IN THE SHORT-TERM
by Audrone Jakaitiene and Stéphane Dées
THE EUROPEAN CENTRAL BANK
Forecasting the world economy is a difficult task given the complex interrelationships within and across countries. This paper proposes a number of approaches to forecast short-term changes in selected world economic variables and aims, 1st, at ranking various forecasting methods in terms of forecast accuracy and, second, at checking whether methods… Continue
Added by John A Morrison on June 18, 2009 at 10:42pm — No Comments
Inference for R version 3.5: Inference in PowerPoint Makes its Debut
• Inference in PowerPoint: Embed and run R code in PowerPoint presentations just as you can in Word and Excel.
• Run-in-Place: Execute R code inside of an Excel, Word, or PowerPoint document and see the code results immediately in the same document – “preview” how your document will execute without having to… Continue
Added by Ben Hinchliffe on June 18, 2009 at 2:55pm — No Comments
#14: Here's a thought...
Credit where credit is due
In every case, market sectors were created or developed by small companies. Look at supply chain planning, warehouse management, human resources/human capital management, enterprise asset management, customer relationship management, sourcing and procurement, applications-as-a-service, and the nascent energy and emissions management… Continue
Added by Brian Roger on June 14, 2009 at 6:53pm — No Comments
Implementation of the Copula - Interesting work from Italy and wider Europe
Optimization With Tail-Dependence and Tail Risk: A Copula Based Approach For Strategic Asset Allocation
Francesco Paolo Natale, Department of Economics and Management, Università Milano-Bicocca, Italy
http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2007-Vienna/Papers/0131.pdf
This author is now developing his techniques to estimate economic…
Added by John A Morrison on June 10, 2009 at 1:00am — No Comments
How and Why my blogging can be the basis for something useful
http://www.asymptotix.eu/content/open-source-enterprise-digital-repositories-banking-supervision
Added by John A Morrison on June 10, 2009 at 12:00am — 2 Comments
Statistical Modeling and Analysis for Database Marketing: Effective Techniques for Mining Big Data - Bruce Ratner, Ph.D.
Added by Bruce Ratner on June 7, 2009 at 3:14pm — No Comments
#13: Here's a thought...
Cloudy days ahead
The question is not, will cloud computing happen, but rather, how will this tendency unfold, and how will organizations, regulators, and other actors respond? Until the rhetoric and more important the base of experience moves beyond the current state of pilots and vaporware, the range of potential outcomes is too vast to bet on with any serious… Continue
Added by Brian Roger on June 7, 2009 at 11:40am — No Comments
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