SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by mattcushman
June 5th, 2004, 8:39 pm
Forum: General Forum
Topic: flaws in financial markets and how it hinders innovation
Replies: 29
Views: 191231

flaws in financial markets and how it hinders innovation

Fascinating. You actually believe, on a matter of principle, that my scenario is logically impossible? You are a true fanatic.
by mattcushman
June 5th, 2004, 3:04 pm
Forum: General Forum
Topic: flaws in financial markets and how it hinders innovation
Replies: 29
Views: 191231

flaws in financial markets and how it hinders innovation

<t>QuoteOriginally posted by: EarthwormGodQuoteOriginally posted by: mattcushmanLook, free markets, globalization, technology, etc. have generally been great boons to mankind. But it's just not that universal -- few things are. You have to actually think about it in context once in a while. It's not...
by mattcushman
June 4th, 2004, 7:52 pm
Forum: General Forum
Topic: flaws in financial markets and how it hinders innovation
Replies: 29
Views: 191231

flaws in financial markets and how it hinders innovation

<t>QuoteOriginally posted by: samudraEarthwormGod,People from India and China dont have to meditate to gather stats. We get it with our eyes wide open.Now if and when we do meditate we publish papers. When I was doing my PhD once I went on meditation after a Kamasutra binge and I got the material fo...
by mattcushman
June 4th, 2004, 7:43 pm
Forum: General Forum
Topic: flaws in financial markets and how it hinders innovation
Replies: 29
Views: 191231

flaws in financial markets and how it hinders innovation

<t>EarthwormGod,The stats on various kinds of collisions are routinely published in the newspapers in articles endlessly dissecting the SUV contoversy. Look it up.I think that you sum up your point of view in the following exchange:QuoteQuoteQuoteOriginally posted by: mattcushmanI'm not arguing agai...
by mattcushman
June 4th, 2004, 5:19 pm
Forum: General Forum
Topic: flaws in financial markets and how it hinders innovation
Replies: 29
Views: 191231

flaws in financial markets and how it hinders innovation

<t>The Great Society debate complicated, and to get dragged into its details would distract from my main point: that government mandated solutions can sometimes beat the free market (emphasis on SOMETIMES). And, I agree, it depends on your yardstick. True, some of the worst social distress came afte...
by mattcushman
June 4th, 2004, 3:52 pm
Forum: General Forum
Topic: flaws in financial markets and how it hinders innovation
Replies: 29
Views: 191231

flaws in financial markets and how it hinders innovation

<t>EarthwormGod,The Great Society programs were a miserable failure? Girls like fat guys? Care to back up these claims, or stick to the straw men that you can more easily knock down? My background is in pure mathematics. I sense that yours is as well. Most pure mathematicians when confronted by an e...
by mattcushman
May 6th, 2004, 3:56 pm
Forum: Brainteaser Forum
Topic: 10 new brainteasers for 10 new countries in Europe!
Replies: 25
Views: 192614

10 new brainteasers for 10 new countries in Europe!

<t>5) Nice problem!First, note that if a and b are relatively prime integers, then t(ab)=t(a) t(b). There is an explicit mapping between pairs (a', b') dividing a and b, resp, and integers dividing ab given by (a,b) <=> ab. This is a bijection from the Chinese Remainder Theorem.Now, we go by inducti...
by mattcushman
March 31st, 2004, 1:48 am
Forum: Numerical Methods Forum
Topic: MCMC and jump diffusions, stochastic vol and drift
Replies: 9
Views: 195004

MCMC and jump diffusions, stochastic vol and drift

<t>Thanks again for the help... I am new to this. These links are handly, in fact I have been reading the Polson paper to get a handle on this topic.I have a question which might be silly but is bothering me. In the Polson paper, he gives an example using Metropolis-Hastings for estimating vol given...
by mattcushman
March 29th, 2004, 5:27 pm
Forum: Numerical Methods Forum
Topic: MCMC and jump diffusions, stochastic vol and drift
Replies: 9
Views: 195004

MCMC and jump diffusions, stochastic vol and drift

Thanks for responding, a few answers:Val: I'm not sure how the particular market matters, except if you mean prices versus rates. Let's call it equities for concreteness though.Madmax: it's statistical estimation.
by mattcushman
March 26th, 2004, 9:47 pm
Forum: Numerical Methods Forum
Topic: MCMC and jump diffusions, stochastic vol and drift
Replies: 9
Views: 195004

MCMC and jump diffusions, stochastic vol and drift

<t>Has anyone here tried fitting a jump diffusion model using Markov-chain Monte Carlo techniques? I've seen some general discussions of it, but I don't have a paper that talks about the implementation details, common pitfalls, etc. I'm interested in capturing mean reversion parameters along with st...
by mattcushman
February 2nd, 2004, 10:02 pm
Forum: Brainteaser Forum
Topic: From John Derbyshire
Replies: 18
Views: 190565

From John Derbyshire

<t>Not to ruin the surprise... but this is a famous open problem known as the Collatz problem.I look at this problem, and it just seems that humanity ought to be embarassed for its inability to answer such a simple question If any of you solve it, fame awaits (or I'm sure you'll at least get a write...
by mattcushman
January 5th, 2004, 7:51 pm
Forum: General Forum
Topic: Societal Value of Quantitative Finance
Replies: 43
Views: 191805

Societal Value of Quantitative Finance

<t>"And by your definition, it would be rational for you to go barging in there, and explain to him why it is not? In a rational world, would the police be required to forcefully drag his ass out of there?"Probably not. Keep in mind that it's not always rational to correct someone else's irrationali...
by mattcushman
January 5th, 2004, 7:38 pm
Forum: General Forum
Topic: Societal Value of Quantitative Finance
Replies: 43
Views: 191805

Societal Value of Quantitative Finance

<t>Just to continue this exercise in futility....MP, by your definition of rationality, the overweight armchair QB who spends every Saturday in the barcalounger eating Fritos, drinking a melange of Coke (tm) and Coors (tm), watching NFL (tm) more or less alone is rational. I'll skip on that, thanks....
by mattcushman
January 5th, 2004, 7:06 pm
Forum: General Forum
Topic: Societal Value of Quantitative Finance
Replies: 43
Views: 191805

Societal Value of Quantitative Finance

<t>"There is no arguing that if you have Windows, you considered paying for it better than your next best alternative."Not true. Windows is packaged with most consumer oriented computers automatically and has a virtual monopoly on x86 based machines. Most people aren't aware of alternatives, and few...
by mattcushman
January 5th, 2004, 6:33 pm
Forum: General Forum
Topic: Societal Value of Quantitative Finance
Replies: 43
Views: 191805

Societal Value of Quantitative Finance

<t>No intellectual slight of hand... I freely acknowledge your statement. Hence the use of "directly" in my original post (although in haste I modified the wrong word with it).I generally agree with your view, though I would disagree with your vehemence. You take the argument to its logical extreme,...
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