From time to time people contact me wanting to know what I think about whether they should donate money to SIAI. My usual answer is something like, “I am not involved with what happens inside the organisation so I don’t have any inside knowledge, just what I, and presumably you, have read online. Based on [...]
I recently completed a finance paper on the implications of prospect theory for portfolio choice and asset pricing. I worked on this with Prof. Enrico De Giorgi during my post doc at the Swiss Finance Institute. This post is meant as an introduction to this work; the full paper can be downloaded here.
I’ve programmed in many languages before, indeed I’ve spent at least a year working in Basic, C, C++, C#, java, assembler, modula-2, powerhouse and prolog. One thing I’ve never done before is Matlab, well except a few basic exercises for some course I did way back. A couple of years ago I started using python [...]
I found Peter Thiel’s talk from the 2007 Singularity Summit interesting. Are rapid technological changes a driving force behind some of the world’s financial turbalance? Perhaps the dot-com bubble was a case of pre-singularity jitters?
With the sub-prime meltdown and ensuing financial crisis, all the hedge funds are in deep trouble… right?
Apparently not.
When building simulations of rational agents trading in dynamic markets over extended periods of time, tell your optimiser to solve everything down to 1 part in 100 million. If you don’t, all those tiny little errors will start to interact with each other… and 10 years down the track bad things will start to [...]