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…
Conceptualizing Learning Error
When you are trying to find the correct equation to model and predict financial data, you will always have some…
The Dirichlet Process Part 3: Dirichlet Process
Click on the text to see it full size (I had to copy and paste screenshots to keep the formulas)Be…
