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Backtesting — almost wordless
On Tuesday I gave a talk at the Thalesians entitled “Effective backtesting”. You can get the annotated slides but below is an almost wordless introduction to backtesting. Introduction Figure 1. When...
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The ARORA guessing game
The game ARORA (A random or real array) is a website that gives you two time series at a time. Your job is to guess which series is real market data and which is permuted data. It’s fun — try it. With...
View ArticleR is a name you need to know
As if that is news to some of you. Forbes has a Mean Business blog post by Steve McNally titled “Names You Need to Know in 2011: R Data Analysis Software”. The post includes several links to why R is...
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Primitive stock markets
There are two types of technology: Good (does exactly as wanted, with no hassle) Primitive (all the rest) This classification has been instilled into me by my wife. The stock market is primitive....
View ArticleReview of “Obliquity” by John Kay and “Drive” by Daniel Pink
How could a book about indirectly solving problems and one about human motivation be saying the same thing? Obliquity Chapter 1 (and more) is about happiness. We’ve been here before — with a review of...
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Were stock returns really better in 2007 than 2008?
We know that the S&P 500 was up a little in 2007 and down a lot in 2008. So on the surface the question seems really stupid. But randomness played a part. Let’s have a go at deciding how much of...
View ArticleYet another inferno
Many from the R world will know The R Inferno. Abstract: If you are using R and you think you’re in hell, this is a map for you. A newly minted inferno is The 9 circles of scientific hell. Most amusing...
View ArticleJoy of Stats coming soon
The Joy of Stats really is a joy. It will be shown on BBC4, apparently scheduled for December 7. (That date comes from Hans Rosling on twitter, I haven’t found scheduling evidence at the BBC.) I saw...
View ArticleThe good side of inside trading
All About Alpha has a post called Insider traders: rogues or whistleblowers? It is a pleasantly disturbing look at insider trading in that it challenges the reflex reaction that inside trading is all...
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