Blog Archives

Joy of Stats coming soon

November 29, 2010
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Joy of Stats coming soon

The Joy of Stats really is a joy.  It will be shown on BBC4, apparently scheduled for December 7.  (That date comes from Hans Rosling on twitter, I haven’t found scheduling evidence at the BBC.) I saw its debut at the Royal Statistical Society on World Statistics Day. Here is a five minute excerpt: You … Continue reading...

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Yet another inferno

November 26, 2010
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Yet another inferno

Many from the R world will know The R Inferno. Abstract: If you are using R and you think you’re in hell, this is a map for you. A newly minted inferno is The 9 circles of scientific hell. Most amusing to me is Circle 4: p-value fishing, the punishment of which is brilliant. As … Continue reading...

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Were stock returns really better in 2007 than 2008?

November 22, 2010
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Were stock returns really better in 2007 than 2008?

We know that the S&P 500 was up a little in 2007 and down a lot in 2008.  So on the surface the question seems really stupid.  But randomness played a part.  Let’s have a go at deciding how much of a part. Figure 1: Comparison of 2007 and 2008 for the S&P 500. Statistical … Continue reading...

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R is a name you need to know

November 11, 2010
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R is a name you need to know

As if that is news to some of you. Forbes has a Mean Business blog post by Steve McNally titled “Names You Need to Know in 2011: R Data Analysis Software”. The post includes several links to why R is wonderful. It also includes a pretty — but seemingly useless — statistical graph.  Correct me … Continue reading...

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The ARORA guessing game

November 9, 2010
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The ARORA guessing game

The game ARORA (A random or real array) is a website that gives you two time series at a time. Your job is to guess which series is real market data and which is permuted data.  It’s fun — try it. With some practice you will probably be able to guess which is which well … Continue reading...

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Ideas for World Statistics Day

October 19, 2010
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Ideas for World Statistics Day

World Statistics Day is 2010 October 20.  If you work with data (or you should), then you are a statistician and this is a day for you. Try the Monte Hall problem on your mother. Start reading Bad Science.  I mean the book, but here’s the blog. Take a step towards breaking your spreadsheet addiction … Continue reading...

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American TV does cointegration

October 18, 2010
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American TV does cointegration

Fringe provides an excellent example of cointegration.  This is a television show in which there are two adjacent universes.  The universes are almost alike but not exactly. Now, everyone knows that history is chaotic.  If a butterfly does an extra flap of its wings, then that difference spreads out to change subsequent events everywhere.  But … Continue reading...

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A tale of two returns

October 4, 2010
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A tale of two returns

It was the best of times, it was the worst of times. As you may have guessed, this is a mashup of a novel by Charles Dickens and an explanation of financial returns. The key plot element of A Tale of Two Cities is that there are two men, Charles Darnay and Sydney Carton, who … Continue reading...

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Physical economy v social economy

September 17, 2010
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Physical economy v social economy

There’s a hole in the bucket of traditional economics. Homo socialus seems to be on the rise, and homo economicus is getting harder to find. Vulcanism has become evident in the R community over the last several days.  One of the visible eruptions has been over money.  This resulted in a blog post by Tal … Continue reading...

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What the hell is a variance matrix?

August 25, 2010
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What the hell is a variance matrix?

When I first came to finance, I kept hearing about “risk models”. I wondered, “What the hell is a risk model?” Of course, I didn’t say this out loud — that would have given the game away.  My wife has strict instructions that she is to be the only one to know that I’m an … Continue reading...

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