Freitag, 21. September 2012

On Animal Intelligence, Human Behaviour and Econometrics

Quite a while since the last post; here a few things I read in the meantime

On animal intelligence:

On humans:
Moreover, there is a free course on computational economics (course material, coursera videos), mostly pretty basic stuff with support of MS Excel as well asR.I'm also working through a book on econometric analysis by William Greene which offers a better insight into analysing markets and their driving factors.

Samstag, 19. Mai 2012

JP Morgan

Recently, JP Morgan reported rather biggish losses due to only a few trades/positions. According to rumors, hedgefunds and speculators already took a piece of the cake, since positions are not closed yet. It's not completely known which these are, but apparently they involve the the IG9, a credit default swap index including 125 american companies. You can find more information on it at markit CDX and their product description page. Basically, it's one of the largest and most liquid CDS products. You would want to buy these products to hedge risk on bonds issued by the companies included in the index. Conversely you sell it, if you want to bet on the solvency of the companies. In this case, you get some money up front for selling it and a continuous payments during the contract period (10 years). As soon as a company fails to meet its liabilities, the total loss on the company is calculated, e.g. if the company recovers at 30% after filing for bancrupcy, the 70% loss is mutliplied by the weight of the company in the index (all have 0.8%) gives the amount of money you need to pay to cover for the losses.
Moreover, these products create a leverage and thus opens the possiblity to hedge delta trades by buying on the index. Apparently, this kind of trade caused the problems at JP Morgan. As far as I know, there is no easy access to these products using your everyday discount broker.

List of links to news regarding JP Morgans trade:

Sonntag, 15. April 2012

A bit of Computation, Math and Psychology

Mittwoch, 14. März 2012

Models for Cognition: Belief vs Connectionism; links on writing style

There's an interesting article about the consequences of connectionist models for the theory of beliefs. I think it's interesting that one counterexample is taken as a proof for the non-existence of beliefs, whereas a lot of further contraints (for biological and evolutionary reasons) might apply to require the construction to be more uniform/unique.

Another set of links regarding style of writing papers/thesis: Nine cirlces of latex hell, essential guide to latex and a rant on Strunk's Elements of Style.

Dienstag, 14. Februar 2012

Samstag, 28. Januar 2012

Architecture: Hedonistic sustainability

I've been only twice to Copenhagen, but I really liked it there. That's of course because the Danish people are very nice, but also because I really like how the city feels.
There's a great TEDtalk on architecture by some Danish with focus on sustainability: Link to TED page.

I strongly suggest to not watch the video in the embedded video frame size!

Freitag, 27. Januar 2012

Market Makers & Prediction Markets

A while ago I posted on the idea of futarchy and followed up with a post on implementation and issues of virtual stock markets.

I only posted links on auction markets, i.e. where one party makes an offer, another one a request and the system finds a match. That only works good for systems with high liquidity. Especially on prediction markets with combinatorical outcomes (e.g. of the form "if person A becomes the candidate for party 1, then party 2 will win the election" or even more complex constructions) this is difficult: you need to find people making similar opposite bets to match. A way around of this is to use a market maker instead of an auctioneer. It takes the trades directly instead of leading a negotiation between to parties. The price is set automatically by the system. This, of course, also has drawbacks. In a real life system, the market maker provides liquidity and thus is at risk losing some money. Moreover, the pricing of the goods depends on parameters of the market maker. Wrong values for thick or thin (i.e. markets with many/few participants) might make the price either bounce up and down or move only tiny bits.

Samstag, 7. Januar 2012

Uncertainity Principle(s)

Most people know a formulation of the uncertainity principle in quantum mechanics (by Heisenberg), where it basically gives a bound (in terms of the standard deviations of ~) for simultaneous measurements of complementary properties (i.e. measurement operators with non-negative commutator).

There are a number of other places where the principce turns up. It comes from an application of the cauchy schwarz inequality to the fourier transformation. Here's a set of (german) slides from a lecture. Recently Terry Tao posted on a a formulation of the principle due to Mongomery, which has applications in analytic number theory.

Dienstag, 3. Januar 2012

On Human Brain Size; the Conciousness and Anaesthesia

A happy new year to all readers. I just got two articles with some references on further resources:

In near future, I will post some more math; I just haven't read all the things I stumbled on.

edit: let me squeeze in another link to an article:

Language learning is fast when words are connected with movements/gestures, which is also true for abstract words with no obvious gesture for it.