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Ellie K
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JPMorgan's Chief Investment Office was given an edict to try to reduce risk-weighted assets, as part of a firm-wide initiative in the face of regulatory changes, and also to shift the synthetic credit portfolio to bee in keeping with the more...
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Ellie K
from Papers
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How fast is high-frequency stock trading? In the time it takes to read this sentence, tens of thousands of high-speed, computer-automated transactions can occur. Winning traders edge out rivals by intervals measured in nanoseconds. Fans of the practice say that high-frequency traders add crucial liquidity to the stock market. Critics dispute that claim and highlight, instead, lurking perils for the global financial system.
Via Complexity Digest
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Ellie K
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Most hedge funds claim to produce positive absolute returns. The reality is sobering: most strategies still largely depend on stock market performance and those not incorporating equities haven't kept their promises either.
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Ignore Ned Davis Ratings And Think Twice About S&P Ratings... The forecast ratings are roughly normally distributed with high "kurtosis," or infrequent extreme deviations, as opposed to frequent modestly sized deviations...
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Gary King, PhD has a nice collection of outlier event-themed research work, covering a wide range of fields of study. I think the website uses Harvard's OpenScholar CMS, which is an additional feature worth noting. * The image that accompanies this was my choice (Prof. King has nothing to do with any errors in judgement I might make). It is a photograph of a recent annular eclipse, as observed in Southern California (Spring 2012) via Flickr.
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For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The emergence of crises can be ...
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Ill-gotten gains are artificially bounded by zero, as there is no data on losses experienced by cybercriminals. Thus the shape and skew (mean and stdev too!) of frequency distributions are incorrect. Also: "Cybercrime surveys... exhibit a pattern of enormous, unverified outliers dominating the data... 90% of the estimate [was] from the answers of 1 or 2 individuals." The significant harm experienced by users rather than the small gain achieved by hackers is the true measure of the cost of cybercrime.
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This post will serve as the Preliminary Sea Surface Temperature Anomaly Update for June 2012, since we'll be using preliminary June 2012 data in it...
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RDataMining. There is an excellent tutorial on outlier detection techniques, presented by Kriegel et al. at ACM SIGKDD 2010. It presents many popular outlier detection algorithms ...
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Ellie K
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You may have missed this because of the rush of news last week, but the Pennsylvania Legislature passed and Gov. Corbett signed a voucher bill for Catholic schools...
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What if traditional login/password to your favorite websites was replaced by a web app asking you to talk for one second, or to get you picture taken from your…
Via Carla Gentry CSPO
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Ellie K
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Ring, Ring! Where should you stand to answer three phones? The recent interest in the median as opposed to the mean as a representative of common, characteristic value for an observed quantity has caught my attention recently. The latest post from DataGenetics blog does a cute little illustration of that using stick figures, telephones and Microsoft Excel. Perhaps it is my operations research background, but I did not find the second part of the post to be surprising or non-intuitive, where the concept is expanded from 1-D to 2-D. However, Northwest Pacific fans will enjoy the conclusion: It's better to have your conference in Seattle! Given the assumptions, that is ;o)
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How social media responses differ to expected and unexpected events (earthquakes).
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"M&M distribution. Hmm would yellow be considered an outlier? Or green?"
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"He may have sweet talked his way to a deal and gotten 20% off something, but it sure wasn't a heater controller and a Type K thermocouple..."
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LMU librarians found a Waldseemüller globe segment map, circa 1507, tucked between stacks of geometry books earlier this week. Only four other copies are extant. The Library of Congress describes it as "one of the most important maps in the history of cartography and the first map ever to display the name America."
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Ellie K
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We've written before about Guernsey's activities within the ILS and catastrophe bond sector and its aspirations to grow the islands involvement in the collateralized reinsurance space ...
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Graph of the Day: Greenland Reflectivity Anomaly, June 2012. Posted by Jim at Wednesday, July 04, 2012. Satellite data of Greenland reflectivity 1-22 June 2012 versus the same periods in previous Junes back to 2000.
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