You are currently browsing the category archive for the ‘Uncategorized’ category.
Premise is mapping the produce manifold.
Diffuse Prior figured out when The Simpsons jumped the shark.
Jim Holt reviewed Mandelbrot's memoir for the New York Review of Books.
From Smithsonian magazine, Life in the city is essentially one giant math problem.
For over twenty-three hundred years, at least since the publication of Euclid's Elements, the conjecture and proof of new theorems has been the sine qua non of mathematics. The method of proof is at "the heart of mathematics, the royal road to creating analytical tools and catalyzing growth" (Rav, 1999; pg 6). Proofs are not mere justifications for theorems; they are the foundations and vessels of mathematical knowledge.
Ah Investment Banking. Such an image problem (warning: sweary). Just check out David Enrich's two excellent recent stories for the WSJ about the antics of the interdealer brokers and their IB trader counterparties, complete with Lady Marmalade's (do NOT Google "Lady Marmalade Party" at work) Orgasmic Love Swing and enough sordid details to keep a tabloid in business (they were also manipulating LIBOR at the time, but hey, SEX PARTIES are easier to explain).
This week I am in Boston, giving this year's Simons lectures at MIT together with David Donoho. (These lectures, incidentally, are endowed by Jim Simons, who was mentioned in some earlier discussion here.) While preparing these lectures, it occurred to me that I may as well post my lecture notes on this blog, since this medium is essentially just an asynchronous version of a traditional lecture series, and the hypertext capability is in some ways more convenient and informal than, say, $latex \LaTeX$ slides.
How linear algebra can make databases go really fast
Mike Stonebraker is one of the world's leading expert on database technology. He started in academe at Berkeley, is now again in academe at MIT, and has launched a raft of successful companies. He is currently the co-founder and chief technology officer of at least three startups in the database area. One is called ``Data Tamer'' and is a joint venture with researchers from QCRI---Qatar Computing Research Institute---see this…
The tricky part about any exception is that the stack is already unwinded by the time exception is caught and there is no easy way to figure out from which part of the code it was thrown. Have you ever caught an exception that has no information that can be used to find where the problem is? The one that says «this should never happen» or even has no text at all.
Joe Weisenthal captures an important point. The recovery drop off in gold - especially relative to more conventional investments - reflects something pretty fundamental.
On one hand you have established economists, who believe the government has tools at its disposal to address a crisis. These tools include deficit spending and a violent expansion of the Fed's balance sheet.
Conversely you have critics who slam the arrogance of economists and central planners, and who have predicted that all of this economic acrobatics would result in an economic collapse, hyperinflation, and an explosion in the price of gold.
For almost three years many of the creators of Sun's Zettabyte File System have been slaving away in a Menlo Park, Calif. building trying to build a chip that would improve the performance and reliability of flash memory for high performance computing, newer data analytics and networking. Funded by Andy Bechtolsheim, the startup is called DSSD, and a recent hiring campaign plus the…
Peter Madigan, Risk.net, Swap regulations hold key to future of OTC algorithmic trading, here.
“Look at electronic trading platforms for bonds and fixed income, such as BrokerTec or eSpeed. Those platforms for trading on-the-run cash US Treasuries have been populated by algorithms automatically reacting as prices get hit or lifted for the last 15 years. All it took for algorithmic trading to emerge in that market was a liquid central limit order book for government bonds,” says one New York-based interest rate swap trader.
The same has proved true for interest rate swaps, where the market’s first two central limit order books launched in 2010 and 2011, and the first algos followed hot on their heels. As things stand, these programmes are being used in a market-making capacity – simply refreshing quotes across the curve – a far cry from the sophisticated algos seen in cash equities, futures and foreign exchange, where participants essentially outsource their trading to a rules-based programme. The big question is how far down this path the OTC market will go.
CFTC’s Gensler defends swaps vs futures margin disparity, here.
Commodity Futures Trading Commission (CFTC) chairman Gary Gensler has defended the advantage handed to futures markets by the agency’s margin rules, claiming the higher minimum applied to over-the-counter swaps is based on years of established practice – and said that forthcoming rules for new swap execution facilities (Sefs) will not address the disparity.
Katy Burne, WSJ, LCH.Clearnet Taps exJ.P.Morgan Executive Amid U.S. Push, here.
Under a post-crisis financial market overhaul, standardized swaps will have to be cleared and traded openly for the first time on exchanges or alternative platforms called swap execution facilities. More than 90% of respondents to a recent UBS UBSN.VX -1.62% survey said they were already clearing swaps, or were getting ready to clear them. The U.S. clearing mandate kicks in for swap dealers and other funds active in the swaps market on March 11.
To build traction in the U.S., particularly with banks’ customers who also will have to clear most swaps, LCH purchased now-defunct U.S. clearer International Derivatives Clearing Group in August 2012, renaming it LCH.Clearnet LLC. Nasdaq OMX Group Inc. NDAQ -0.98% sold IDCG and its license for a 3.7% stake in LCH.Clearnet Group.
A spokeswoman for LCH in London declined to comment on the U.S. launch timeframe, but the company said in its annual results statement that the acquisition of IDCG “paves the way for the introduction of a new U.S. domiciled SwapClear service.”
There have been lots of comments and confusion, especially in this post, over what people in finance do or do not assume about how the markets work. I wanted to dispel some myths (at the risk of creating more).
First, there's a big difference between quantitative trading and quantitative risk. And there may be a bunch of other categories that also exist, but I've only worked in those two arenas.