tag:blogger.com,1999:blog-5880610.post110895609423060673..comments2024-01-13T18:57:18.243-05:00Comments on Information Processing: "Easy Al" GreenspanSteve Hsuhttp://www.blogger.com/profile/02428333897272913660noreply@blogger.comBlogger16125tag:blogger.com,1999:blog-5880610.post-1109167150482360092005-02-23T08:59:00.000-05:002005-02-23T08:59:00.000-05:00Excellent (book suggestion on PI fpr finance). Tha...Excellent (book suggestion on PI fpr finance). Thanks, Steve!<br /><br />MFAAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109144147271288352005-02-23T02:35:00.000-05:002005-02-23T02:35:00.000-05:00MFA,
If I recall properly, Hagen Kleinert's book ...MFA,<br /><br />If I recall properly, Hagen Kleinert's book on path integrals now has a lot of material on finance and derivatives (in addition to the stuff on polymers and all that). You have to get the latest edition, though.Steve Hsuhttps://www.blogger.com/profile/02428333897272913660noreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109106674404300672005-02-22T16:11:00.000-05:002005-02-22T16:11:00.000-05:00Steve,
Thanks for the quick explanation. Much cle...Steve,<br /><br />Thanks for the quick explanation. Much clearer to me now.<br /><br />Do you have any book/paper on the PI approach to quant finance, or is it in the old Sloan unpublished report. I wish you had published it, so people like me (and also theorists who may want to move to finance after their Ph.D.) could benefit!<br /><br />MFAAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109105547851023562005-02-22T15:52:00.000-05:002005-02-22T15:52:00.000-05:00MFA,
"credit markets" includes the bond markets, ...MFA,<br /><br />"credit markets" includes the bond markets, in finance lingo. For example "credit risk" refers to default by a bond issuer.<br /><br />Wilmott is good - you might enjoy his Web site. But he tends to be PDE focused - I prefer path integrals :-)<br /><br />Finally, yes Gauss and company were super geniuses and probably deserve to be in the ".5" or even "0" category!<br /><br />Steve Hsuhttps://www.blogger.com/profile/02428333897272913660noreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109104408471506002005-02-22T15:33:00.000-05:002005-02-22T15:33:00.000-05:00A question.
Credit market debt: 304% GDP.
Accord...A question.<br /><br />Credit market debt: 304% GDP.<br /><br />According to a previous blog entry<br />(Tuesday, February 08, 2005<br />Household debt ), US household debt around 120% of disposable income.<br /><br />How are these two numbers consistent? Isn't disposable income less than GDP?<br /><br />Likey, I do not know what 'credit market debt' is. <br /><br />MFAAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109102437604136102005-02-22T15:00:00.000-05:002005-02-22T15:00:00.000-05:00Thanks Steve!
I was away for a few days so have ...Thanks Steve! <br /><br />I was away for a few days so have not caught up with your blog; seems like I missed some interesting conversations ;)<br /><br />I just got to see the Norstad site this morning. It looks very good. I have not seen Hull's book yet.<br /><br />What do you think about Paul Wimott's "Intro to Quant. Finance"? I just borrowed a book from the library. Of course, it discussesAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109097701115958242005-02-22T13:41:00.000-05:002005-02-22T13:41:00.000-05:00MFA:
Thanks for your comments. I found the Norsta...MFA:<br /><br />Thanks for your comments. I found the Norstad site partially for you :-) (Note, it doesn't have exactly the kind of info you were looking for - sizes of markets, real world stuff, etc.)<br /><br />I agree it is too early to tell about M/F cognitive differences as they apply to success in science. But, I think there is already a great deal of evidence, e.g., from functional MRI, Steve Hsuhttps://www.blogger.com/profile/02428333897272913660noreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109092371693861592005-02-22T12:12:00.000-05:002005-02-22T12:12:00.000-05:00http://www.nytimes.com/2005/02/22/international/as...http://www.nytimes.com/2005/02/22/international/asia/22japan.html <br /><br />Japan's Ties to China: Strong Trade, Shaky Politics <br />By JAMES BROOKE <br /><br />TOKYO - Just as China's state news agency was berating Japan for its 'wild behavior' in joining the United States to express their 'common strategic objectives' in Taiwan, the news came Monday that Japanese trade with China jumped 27 Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109092297761101922005-02-22T12:11:00.000-05:002005-02-22T12:11:00.000-05:00Nicely done, MFA. I understand completely for you...Nicely done, MFA. I understand completely for you recalled a fair number of English writings for me. You too, steve :)Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109085120332474012005-02-22T10:12:00.000-05:002005-02-22T10:12:00.000-05:00Well, Anne and Steve, interesting comments, as alw...Well, Anne and Steve, interesting comments, as always. The chart is pretty frightening.<br /><br />My thoughts about the whole non-PC debate is summarized in the following exchange:<br /><br />"Kissinger: What do you think of the French Revolution?<br /><br />Chou en Lai: It is too soon to tell."<br /><br />Yes, it is too soon to tell, when it comes to women in hard sciences :)<br /><br /><br />IAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109048309761582282005-02-21T23:58:00.000-05:002005-02-21T23:58:00.000-05:00Anne,
Very nice comments...
1) Any "proof" of ma...Anne,<br /><br />Very nice comments...<br /><br />1) Any "proof" of market efficiency is only as good as its assumptions. As you point out, there is a lot of data pointing the vast inefficiencies. The whole field of behavioral finance is concerned with irrationality of markets and their participants.<br /><br />2) Who knows why the markets are so sanguine. The VIX (CBOE volatility index - Steve Hsuhttps://www.blogger.com/profile/02428333897272913660noreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109036324557205482005-02-21T20:38:00.000-05:002005-02-21T20:38:00.000-05:00http://www.j-bradford-delong.net/movable_type/2005...http://www.j-bradford-delong.net/movable_type/2005-3_archives/000396.html#comments<br /><br />February 21, 2005<br /><br />The Math Test Score Upper Tail: Is There Reason to Believe That Sociology Swamps Biology? <br />Yes:<br /><br />In 1992, 2.8% of Asian-American women who took the Math SAT scored 750 or above. <br /><br />In 1992, 2.1% of white men who took the Math SAT scored 750 or above.<Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109035393464640092005-02-21T20:23:00.000-05:002005-02-21T20:23:00.000-05:00http://www.nytimes.com/2005/02/21/opinion/21mon3.h...http://www.nytimes.com/2005/02/21/opinion/21mon3.html<br /><br />Life on the Beanstalk, or Real Estate in Southern California<br />By VERLYN KLINKENBORG <br /> <br />We came over the mountains and down into Los Angeles a little more than a month ago. The heavy rains had subsided, and the hills were stationary again. Most of the roads and highways had reopened, though it was impossible, on certainAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109029815276246962005-02-21T18:50:00.000-05:002005-02-21T18:50:00.000-05:00Why should there be a persistence of superior retu...Why should there be a persistence of superior returns from the small cap value index over small growth that lasts and lasts? There are other such anomolies that have puzzled me, though I would not argue with the efficient market hypothesis or with indexing as a superior investment method.<br /><br />AnneAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109023896340836222005-02-21T17:11:00.000-05:002005-02-21T17:11:00.000-05:00John Norstad paper on efficient markets is convinc...John Norstad paper on efficient markets is convincing, yet why do there appear to be lasting anomalies in significant sectors of the stock market? Small cap growth stock, for instance, trail small cap value stocks for any lengthy period I can spot. Such a persisting pattern puzzles me. Curious :)<br /><br />AnneAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-1109023603421209662005-02-21T17:06:00.000-05:002005-02-21T17:06:00.000-05:00Then why is the Federal Reserve so sanguine even i...Then why is the Federal Reserve so sanguine even in the midst of a tighening cycle which will likely for quite a while? Corporate saving is near record highs, the government deficit is structural and will grow faster than GDP indefinitely unless there is an increase in revenue, household saving is near record lows. Not pleasing you would think, yet the Fed is sanguine.<br /><br />AnneAnonymousnoreply@blogger.com