Anomalies
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Anomalies
Outliers, aberrations, fat tails, trouble at the mill and maybe something good once in awhile
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Did the CIO have a Kodak moment?

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...

 

Ellie Kesselman Wells's insight:

The default of Kodak in January 2012 was a credit event that would certainly have influenced JP Morgan's CIO's decisions leading up to the "London Whale" in May 2012. Eastman Kodak was part of many credit default swap indices. Kodak's filing for bankruptcy on January 19th led to a variety of idiosyncratic risk exposures in JPM's synthetic credit portfolio.

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Dropping the Call in New York City

Ellie Kesselman Wells's insight:

Interactive graphic via WSJ: New York City-area cell phone service has a 97% success rate. Yet failed calls in a recent Nielsen test show patterns along roadways and various city neighborhoods and suburban counties. The cause? Unclear.

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High-speed Trading: Is It Time to Apply the Brakes?

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
Ellie Kesselman Wells's insight:

Yes! It IS time for some greater introspection about this, before there are even worse problems. Right now, there is very little understanding of risks to most people, including the voting public. European regulators seem to have a more realistic view and be willing to act upon it than in the U.S.A.

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Ellie Kesselman Wells's comment, January 27, 2013 1:45 PM
Yes! ;o) It is time. Thank you!
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Ring, Ring! The Rise of the Median

Ring, Ring! The Rise of the Median | Anomalies | Scoop.it
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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Expected vs Unexpected Events in Social Media

Expected vs Unexpected Events in Social Media | Anomalies | Scoop.it

How social media responses differ to expected and unexpected events (earthquakes).

Ellie Kesselman Wells's insight:

Compare social media responses to earthquakes, Hurricane Irene and the Yahoo! Music Awards; differences are obvious, and make sense intuitively.

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Life As An Outlier: A Special Call

"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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Sensational discovery in Munich library: Rare map of The New World

Sensational discovery in Munich library: Rare map of The New World | Anomalies | Scoop.it

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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In Search Of An Absolute Strategy

In Search Of An Absolute Strategy | Anomalies | Scoop.it
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.
Ellie Kesselman Wells's insight:

Natural motivation for a brief discussion of skew and kurtosis

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Empirical Studies of Conflict

Empirical Studies of Conflict | Anomalies | Scoop.it

 

 

 

 

 

Ellie Kesselman Wells's insight:

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The Empirical Studies of Conflict Project (ESOC) is a new resource for identifying, then analyzing conflict, insurgency or civil war data. It should be helpful for geopolitical risk assessment including changing trends in global political violence.

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ETF Investors: Ratings Methodology Comparison

ETF Investors: Ratings Methodology Comparison | Anomalies | Scoop.it
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...
Ellie Kesselman Wells's insight:

Detailed, mostly accurate description of criteria used by S&P, Fidelity, Ned Davis, Morningstar and others.

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Rare Events

Rare Events | Anomalies | Scoop.it

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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How Fama Went Wrong: Measures of Multivariate Kurtosis

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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The Cybercrime Wave That Wasn’t

The Cybercrime Wave That Wasn’t | Anomalies | Scoop.it

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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A tutorial on outlier detection techniques using R

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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