Monday, August 20, 2018
Friday, August 10, 2018
Excellent Book! "Mike Martin" - "Why We Fight"
https://www.hurstpublishers.com/book/why-we-fight/
I found this book by Mike Martin to be a compelling warning against underestimating the importance and impact of top-down causation; here derived from the in-group versus out-group dynamics driven by our evolutionary propensity to seek status and belonging in our in-group, and for leaders to seek to dominate other leaders (apparently leading to a relatively fixed rate-of-conflict over recorded history).
As the in-group gets larger the relative number of deaths in conflicts seems to go down; while elite vs. elite, leader vs. leader conflict derived from our evolved drive to dominate other leaders drives us into further conflict at a relatively constant rate.
That this is all driven by inequality that decimates the in-group sense of belonging and relative status, as elites and leaders claw resources away from the in-group members in their desperate desire to dominate other leaders. The in-groups violently fracture and leaders violently clash with each other in highly personalised attempts to dominate each other in ways derived from our stone-age ancestors evolutionary adaptations.
For me, this really resonated with the idea of hierarchical causality in financial economics; where bottom-up agent-based models have a poverty of not yet being able to effectively account for top-down causation and its affect on individual agent strategies and dynamics - that we may need to generalise the idea of agents (with complex adaptive and purposeful behaviours) to classes of computational components along the lines of some sort of actor type model to better model purposeful system components that have both top-down and bottom-up causation linkages. For me hierarchical causality is a phenomenological fact that needs to be accounted for in real-world models.
It may also be that the only way forward is to augment leadership decisions in the corporate and political sphere with artificial intelligence in order to ameliorate and moderate our stone-age derived biases. We remain relatively effective at making fair decisions (though fairness does not equate with the economic notion of rationality) at the level of small groups, our immediate communities; but seem to fail miserably when our in-group scaled to the size of nation states with the advent of printing, and now is failing as the in-group can globalise, with the advent of the internet, online ordering and globalisation in general.
We appear not to be "fit-for purpose" as leaders in the age of globalisation. Our evolutionary adaptations have not caught up with rapid technological changes around us. We could probably use some technological assistance. We may need to find a way of re-organising ourselves into an in-group that may not have an out-group. We need leaders whom do not seek to dominate other leaders - I think this is currently an impossibility.
Our own natural propensity to fawn over royalty, super-hero's and power continually leads us to collectively select leaders whom continue to seek to dominate and re-enforce the very power and status that generates inequality that in turns leads to violent conflict. The irony of the positive feed-back is the tragedy of our times. How do we cut this Gordian Knot?
Of course elites naturally fear (through their evolutionary derived need to dominate other leaders) anything that may require less control, or a weakened ability to accrue wealth and power relative to other comparable leaders - however; the key point (for me) from Mike Martins book - the most effective current strategy to level inequality has historically been violent conflict. This is the tragedy. Elites typically lose their wealth and power and new elites emerge through violent conflicts.
This is the for me the key warning of the book; that we do need a new way of thinking about finance, economics and democracy as informed by better knowledge of our-selves as humans in collective. Human elites and human leaders seem evolved to favour centralisation, hierarchy and relative wealth accrual at all-cost, to fear loss of status and power above everything else - while history seems to favour decentralisation, diversity, fairness in trade, open societies with rule of law, transparency, accountability, open and equal education, health-care and a respect for difference, as ways to reduce violent conflict and help individuals have a sense of belonging and status. This is a remarkably simple insight that the book seems to provide. This is not about ideology it is about human nature.
If we could simply moderate our leaders petty evolved need to dominate other leaders and provide more people with a sense of status and belonging we would probably avoid much of the violence that plague our current world - so making the world safer, richer and better resourced and fairer for ourselves and others. It really suggests that there is a way of breaking the cycle of inequality and violence that we remain locked into due to the positive feed-backs from our own evolved nature.
Tim Gebbie 2018
I found this book by Mike Martin to be a compelling warning against underestimating the importance and impact of top-down causation; here derived from the in-group versus out-group dynamics driven by our evolutionary propensity to seek status and belonging in our in-group, and for leaders to seek to dominate other leaders (apparently leading to a relatively fixed rate-of-conflict over recorded history).
As the in-group gets larger the relative number of deaths in conflicts seems to go down; while elite vs. elite, leader vs. leader conflict derived from our evolved drive to dominate other leaders drives us into further conflict at a relatively constant rate.
That this is all driven by inequality that decimates the in-group sense of belonging and relative status, as elites and leaders claw resources away from the in-group members in their desperate desire to dominate other leaders. The in-groups violently fracture and leaders violently clash with each other in highly personalised attempts to dominate each other in ways derived from our stone-age ancestors evolutionary adaptations.
For me, this really resonated with the idea of hierarchical causality in financial economics; where bottom-up agent-based models have a poverty of not yet being able to effectively account for top-down causation and its affect on individual agent strategies and dynamics - that we may need to generalise the idea of agents (with complex adaptive and purposeful behaviours) to classes of computational components along the lines of some sort of actor type model to better model purposeful system components that have both top-down and bottom-up causation linkages. For me hierarchical causality is a phenomenological fact that needs to be accounted for in real-world models.
It may also be that the only way forward is to augment leadership decisions in the corporate and political sphere with artificial intelligence in order to ameliorate and moderate our stone-age derived biases. We remain relatively effective at making fair decisions (though fairness does not equate with the economic notion of rationality) at the level of small groups, our immediate communities; but seem to fail miserably when our in-group scaled to the size of nation states with the advent of printing, and now is failing as the in-group can globalise, with the advent of the internet, online ordering and globalisation in general.
We appear not to be "fit-for purpose" as leaders in the age of globalisation. Our evolutionary adaptations have not caught up with rapid technological changes around us. We could probably use some technological assistance. We may need to find a way of re-organising ourselves into an in-group that may not have an out-group. We need leaders whom do not seek to dominate other leaders - I think this is currently an impossibility.
Our own natural propensity to fawn over royalty, super-hero's and power continually leads us to collectively select leaders whom continue to seek to dominate and re-enforce the very power and status that generates inequality that in turns leads to violent conflict. The irony of the positive feed-back is the tragedy of our times. How do we cut this Gordian Knot?
Of course elites naturally fear (through their evolutionary derived need to dominate other leaders) anything that may require less control, or a weakened ability to accrue wealth and power relative to other comparable leaders - however; the key point (for me) from Mike Martins book - the most effective current strategy to level inequality has historically been violent conflict. This is the tragedy. Elites typically lose their wealth and power and new elites emerge through violent conflicts.
This is the for me the key warning of the book; that we do need a new way of thinking about finance, economics and democracy as informed by better knowledge of our-selves as humans in collective. Human elites and human leaders seem evolved to favour centralisation, hierarchy and relative wealth accrual at all-cost, to fear loss of status and power above everything else - while history seems to favour decentralisation, diversity, fairness in trade, open societies with rule of law, transparency, accountability, open and equal education, health-care and a respect for difference, as ways to reduce violent conflict and help individuals have a sense of belonging and status. This is a remarkably simple insight that the book seems to provide. This is not about ideology it is about human nature.
If we could simply moderate our leaders petty evolved need to dominate other leaders and provide more people with a sense of status and belonging we would probably avoid much of the violence that plague our current world - so making the world safer, richer and better resourced and fairer for ourselves and others. It really suggests that there is a way of breaking the cycle of inequality and violence that we remain locked into due to the positive feed-backs from our own evolved nature.
Tim Gebbie 2018
Tuesday, July 4, 2017
Saturday, April 8, 2017
Back to the public-vs-private debt debate
Back to the public-vs-private debt debate for beleaguered SA parastatals:
"This scenario would mirror the events of 1985 when then President PW Botha delivered his crazed Rubicon Speech which caused a $13 billion default. The foreign debt/GDP ratio hit 40%. Today it is nearly 50%. Botha was compelled to impose exchange controls."
[http://www.wits.ac.za/news/latest-news/in-their-own-words/2017/2017-04/downgrade-is-a-wake-up-call-for-sa-to-revisit-key-economic-policies.html]
Then there are perspectives from bigger markets:
https://www.youtube.com/watch?v=Dm2pnZ76i-Y
Sunday, April 2, 2017
Which ZARandlord are you ?
http://www.wits.ac.za/news/latest-news/research-news/2017/2017-03/reduced-jse-fees-have-a-cost.html
and
https://phys.org/news/2017-04-fast-technology-driven-unintended-consequences.html
Reduced JSE fees have a cost
- See more at: http://www.wits.ac.za/news/latest-news/research-news/2017/2017-03/reduced-jse-fees-have-a-cost.html#sthash.ySSCCpU0.dpuf
and
https://phys.org/news/2017-04-fast-technology-driven-unintended-consequences.html
Reduced JSE fees have a cost
Regulatory changes aimed at encouraging very fast, technology-driven trading on the JSE may have some unintended consequences.
Global markets have undergone several transformations since the repeal of the Glass-Steagall act in 1999. This enabled US-based global investment banks to trade on behalf their own proprietary interests, as well as the interests of their customers.
While the JSE is technically an older, medium sized market by capitalisation in the global network, its electronic trading platform in Johannesburg and fee model are relatively new.
In September 2013 the JSE overhauled its transaction billing system to eliminate the minimum fee of 4.00 ZAR per trade (excl. VAT), allowing fees to comprise a significantly smaller part of single-transaction commissions. At least one anticipated benefit was to make algorithmic buying and selling of large orders feasible by facilitating strategies of smaller, less obvious trades.
In addition to this, the exchange’s matching system [computer hardware and software], was brought back from London to South Africa and a new co-location service on the JSE’s premises, for investors to house their computerised trading systems, were announced.
“These regulatory changes were aimed at encouraging very fast, technology-driven trading on the JSE,” says Prof Diane Wilcox of the QuERI Lab Research group in the School of Computer Science and Applied Mathematics at the University of the Witwatersrand. “In developed markets, minimal transaction costs per trade make the processing of trillions of orders per day possible. Like any large-scale, safety-critical system, an electronic trading platform is vulnerable to process error and 'viruses'. For markets, the latter can include trading strategies which abuse technological advantage to extract risk-free profit or manipulate prices. If a market enables too many predatory trading algorithms then capital is leaked away from optimal investment and information contained in prices becomes less reliable."
Wilcox and her colleagues, Prof Tim Gebbie and graduate students Mr Michael Harvey and Dr Dieter Hendricks, presented their research on unintended consequences of the regulatory changes at the JSE in a recent paper on deviations in price impact.
For sustainability, market makers need to ensure market quality to attract and protect investment, and hence, the price-formation process. To this end, various measurements can be monitored. In 2003, a team of physicists reported on an investigation in the journal Nature, which applied advanced dimensional analysis to large volumes of data from the New York Stock Exchange. They uncovered evidence for a new demand- supply relationship which related price-change to volume of transaction.
“Persistent deviations in price impact and other market quality estimators can be symptomatic of the presence of disruptive arbitrage,” say Wilcox. “Thus, tracking such measurements is similar to monitoring the health of a patient or high-performance athlete. Significant changes in expected levels can be used to halt trading under extreme conditions.”
“Major market participants, who now rely on mathematical algorithms rather than human traders, have acquired more computing power and software development to stay competitive, but these costs are still passed on to the consumer ,” says Gebbie.
The work of the QuERILab team reports on the occurrence of an anomaly in the price impacts of small transaction volumes for financial stocks. It was found that the price impact corresponding to smaller volume trades was greater than expected, relative to prior estimates for stocks comprising the FINI index. Such deviations can have significant implications for risk management. The research shows how a decrease in direct transaction costs resulted in an unexpected increase in indirect costs through price impact.
“Our investigation is aimed at improving the understanding market microstructure. This refers to the combination of regulation and expected properties of data recorded in a high-precision electronic order book of different types of orders and transactions which match buyers and sellers ,” says Wilcox.
“Empirical studies of price formation suggest that regulatory changes, particularly those encouraging varieties of technology-driven races associated with speed of trading and increased volume, may have unintended consequences for costs to end-users, such as pension funds, by introducing novel risks within markets or increasing market fragility. ”
Some stakeholders support the view that competition between more local stock exchanges offers insurance against these new risks, while others advocate for more regulation in public interest.
An inevitable part of the “arms race” at stock markets around the world is an increased need for skilled risk measurement and management in financial markets. Where previously traders coped with astute, quick calculations on noisy trading floors, the transformation to electronic order books brought a shift in the required quantitative skills for understanding price formation.
“The application of high performance computing to analyze large volumes of historical data and respond to new information to make trade decisions within milliseconds [0.001 of a second] or microseconds [0.000001 of a second], has caused a massive disruption in the industry,” says Gebbie.
“It is a bit like what Uber has done to parts of global taxi industry, but in the trading world. Experienced traders, who needed business savvy and some asymmetric access to market information – perhaps based on social networks and skill accumulated over many years, have been and are being replaced by scientists and engineers, who combine analytic skill and knowledge of the technological developments in markets to optimise allocation of capital,” says Gebbie.
About the research
The research was based on the analysis of terabytes of transaction data, sourced from Thomson-Reuters, and has been funded by the National Research Foundation as part of a broader research project, aimed at better understanding financial markets.
The QuERI Lab research group supports research-driven teaching in the Computational Finance BSc Honours courses within the School of Computer Science and Applied Mathematics at WITS University. Find the research paper online here.
Thursday, February 9, 2017
(Interesting Books) Why Nations Fail (2013) Acemogly & Robinson
A thought provoking read highlighting why "trade-test innovation" is at the heart of economic
success when states are "inclusive" rather than "extractive". That an organized and centralize state may be a critical component for economic success but that the centralization must avoid the path to extractive economics by an elite, and balance the need for centralization against interests of societies members. That the incentives created by inclusive organization seem to generate the associated trade-test innovation necessary for the creative destruction that has historically delivered economic growth. Creative destruction that perpetually threatens the controls by the elites of any organized and centralized state, but through trade and innovation creates the opportunities for a better and more prosperous life for those in broader society.
Why Nations Fail (2013) ACEMOGLU AND ROBINSON
Summary
success when states are "inclusive" rather than "extractive". That an organized and centralize state may be a critical component for economic success but that the centralization must avoid the path to extractive economics by an elite, and balance the need for centralization against interests of societies members. That the incentives created by inclusive organization seem to generate the associated trade-test innovation necessary for the creative destruction that has historically delivered economic growth. Creative destruction that perpetually threatens the controls by the elites of any organized and centralized state, but through trade and innovation creates the opportunities for a better and more prosperous life for those in broader society.
Why Nations Fail (2013) ACEMOGLU AND ROBINSON
Summary
" ... Why Nations Fail answers the question that has stumped the
experts for centuries: Why are some nations rich and others poor, divided by
wealth and poverty, health and sickness, food and famine?
Is it culture, the weather, geography? Perhaps ignorance of
what the right policies are?
Simply, no. None of these factors is either definitive or
destiny. Otherwise, how to explain why Botswana has become one of the
fastest-growing countries in the world, while other African nations, such as
Zimbabwe, the Congo, and Sierra Leone, are mired in poverty and violence? ..."
SAFA 2017 Talk : 18-20 January 2017 Cape Town, South Africa
Title:
Learning zero-cost portfolio selection with pattern matching for intraday
trading
Speaker:
Tim Gebbie
Authors:
Tim Gebbie, Fayyaaz Loonat
Abstract:
We consider and extend an adversarial agent-based learning approach to the
situation of zero-cost portfolio selection in the domain of quantitative
trading. The algorithms are directly compared to standard NYSE test cases from
prior literature. The learning algorithm is used to select parameters for
agents (or experts) generated by pattern matching past dynamics using a simple
nearest-neighbour search algorithm. We demonstrate that patterns in financial
time-series on the JSE can be systematically exploited in collective, but that
this does not imply predictability of the individual asset time-series
themselves. We show that these types of machine learning algorithms are well
suited for intra-day quantitative trading.
http://www.exbo.co.za/REG/dynamic_forms/generated_forms/safa_2017_register.php
http://uct-cmc.co.za/conferences/southern-african-finance-association-safa-conference/
Monday, November 28, 2016
Can Agent-Based Models Probe Market Microstructure? Donovan Platt, Tim Gebbie (2016) arXiv.org
https://arxiv.org/abs/1611.08510
Can Agent-Based Models Probe Market Microstructure?
Can Agent-Based Models Probe Market Microstructure?
(Submitted on 25 Nov 2016)
Abstract: We extend prior evidence that naively using intraday agent-based models that involve realistic order-matching processes for modeling continuous-time double auction markets seems to fail to be able to provide a robust link between data and many model parameters, even when these models are able to reproduce a number of well-known stylized facts of return time series. We demonstrate that while the parameters of intraday agent-based models rooted in market microstructure can be meaningfully calibrated, those exclusively related to agent behaviors and incentives remain problematic. This could simply be a failure of the calibration techniques used but we argue that the observed parameter degeneracies are most likely a consequence of the realistic matching processes employed in these models. This suggests that alternative approaches to linking data, phenomenology and market structure may be necessary and that the stylized fact-centric validation of intraday agent-based models is insufficient, and warns that increased mechanistic complexity of agent-based market models may lead to flawed insights.
Sunday, November 27, 2016
On regime change and hierarchical causation
60 years ago in Nov 1956, a small island economy took the first giant steps towards balanced education, health and significant reduction of local inequality, adaptively addressing economic sustainability thereafter. The Granma news cover from 1986 challenges perspectives with respect to the quantification of emergence. RIP Prof Castro.
Thursday, November 17, 2016
A transdiciplinary discourse on finance and economics
Policy dead-end: Central Banks’ continued use of DSGE Models
From Andre Breedt's Op-Ed 15/11/2016 POLITHEOR :
" ...The DSGE model has been the workhorse of central banks since the early 1980’s and has suffered from abundant and scathing critique: Olivier Blanchard argues that DSGE models are “seriously flawed” and Paul Romer – a doyen of the neo-classical economic fraternity – accuses these macroeconomic models of “attribute[ing] fluctuations in aggregate variables to imaginary causal forces that are not influenced by the action that any person takes”. ..."
... A basic proposal is to increase collaboration between the core orthodoxy of economics and ancillary fields such as econophysics, and move towards a discourse of multi or interdisciplinary coordination. ... "
http://politheor.net/policy-dead-end-central-banks-continued-use-of-dsge-models/
From Andre Breedt's Op-Ed 15/11/2016 POLITHEOR :
" ...The DSGE model has been the workhorse of central banks since the early 1980’s and has suffered from abundant and scathing critique: Olivier Blanchard argues that DSGE models are “seriously flawed” and Paul Romer – a doyen of the neo-classical economic fraternity – accuses these macroeconomic models of “attribute[ing] fluctuations in aggregate variables to imaginary causal forces that are not influenced by the action that any person takes”. ..."
... A basic proposal is to increase collaboration between the core orthodoxy of economics and ancillary fields such as econophysics, and move towards a discourse of multi or interdisciplinary coordination. ... "
http://politheor.net/policy-dead-end-central-banks-continued-use-of-dsge-models/
Towards curing tunnel vision with ABMs
http://www.bloomberg.com/news/articles/2016-11-10/haldane-says-thinking-outside-the-box-can-fix-economics
Here are some extracts from the article citing Haldane's recent remarks:
“One of the potential failings of the economics profession is that it may have borrowed too little from other disciplines -- a methodological mono-culture,” he said in a speechon Thursday in Cambridge, England.
.....
Contrasting ABM models with traditional micro-founded economic ones, Haldane said the big picture usually looks very different from the small one.
“Aggregating from the microscopic to the macroscopic is very unlikely to give sensible insights into real world behavior, for the same reason the behavior of a single neuron is uninformative about the threat of nuclear winter.”
Bon voyage to Dieter
The 2016 team celebrated Dieter's invaluable contributions (2012-2016) at Wits with lunch before his next research position at Oxford. Not an ending, but cheers to many more new beginnings.
Some humour: C. Rhodes is attributed to saying "Wherever you turn your eye — except in science — an Oxford man is at the top of the tree."
 |
| Dieter Hendricks graduated on 7 Dec 2016 and has taken up a research fellowship in UK. Missing from this pic are Mike Harvey and Fayaaz Loonat, who offered up many hours towards research and pedagogic resources in 2016 as well! Seasons greetings and best wishes for 2017! |
Friday, September 9, 2016
Humanyze tackles a cyborg startup perspective
“Imagine if all your traders were required to wear wristwatches that monitor their physiology, and you had a dashboard that tells you in real time who is freaking out.” —Andrew Lo, MIT professor of finance
http://www.bloomberg.com/news/articles/2016-09-01/wall-street-s-next-frontier-is-hacking-into-emotions-of-traders
http://www.bloomberg.com/news/articles/2016-09-01/wall-street-s-next-frontier-is-hacking-into-emotions-of-traders
Friday, August 19, 2016
Misscomputing culture
(is 'holism' consistent with 'humanism'?) Here is a review of some dimensions to the long-term living legacy of labour laws, not least with respect to trade and the establishment of markets:
The invisible hands: women in Marikana
Asanda Benya
[Review of African Political Economy, Volume 42, 2015 - Issue 146]
Abstract: When we think of Marikana we think of the infamous event that took place on 16 August 2012, leading to the death of 34 striking miners. Scholarly analysis takes this further than the event to broader labour–capital relations. While useful, the examination of Marikana through this lens tends to privilege the production sphere and lends itself mainly to the exploration of the workplace; the workers, their employers and the union. In this article, the author argues that exclusive reliance on this lens is inadequate and inevitably results in many silences, one of which is the silencing of the reproduction sphere and, by extension, women. To fully understand Marikana the event, one has to understand Marikana the location, and hence realities and conditions on the ground. Such an analysis of Marikana is not only useful because it sheds light on the reproduction space, but also because it allows us to look at women who are usually ignored when talking about mines.
http://www.tandfonline.com/doi/full/10.1080/03056244.2015.1087394
The invisible hands: women in Marikana
Asanda Benya
[Review of African Political Economy, Volume 42, 2015 - Issue 146]
Abstract: When we think of Marikana we think of the infamous event that took place on 16 August 2012, leading to the death of 34 striking miners. Scholarly analysis takes this further than the event to broader labour–capital relations. While useful, the examination of Marikana through this lens tends to privilege the production sphere and lends itself mainly to the exploration of the workplace; the workers, their employers and the union. In this article, the author argues that exclusive reliance on this lens is inadequate and inevitably results in many silences, one of which is the silencing of the reproduction sphere and, by extension, women. To fully understand Marikana the event, one has to understand Marikana the location, and hence realities and conditions on the ground. Such an analysis of Marikana is not only useful because it sheds light on the reproduction space, but also because it allows us to look at women who are usually ignored when talking about mines.
http://www.tandfonline.com/doi/full/10.1080/03056244.2015.1087394
Wednesday, August 17, 2016
Lean online?
https://www.sciencedaily.com/releases/2016/08/160816085029.htm
Cognitive offloading: How the Internet is increasingly taking over human memory
...
- Our increasing reliance on the Internet and the ease of access to the vast resource available online is affecting our thought processes for problem solving, recall and learning. In a new article, researchers have found that 'cognitive offloading', or the tendency to rely on things like the Internet as an aide-mémoire, increases after each use.
Sunday, August 7, 2016
The Trouble with Mathematics and Statistics in Economics - D McCloskey History of Economic Ideas XIII (3,2005): 85-102
Extracts from the essay:
The Trouble with Mathematics and Statistics in Economics
D McCloskey History of Economic Ideas XIII (3,2005): 85-102
http://www.deirdremccloskey.com/articles/stats/stats.php
...
"A real science, or any intelligent inquiry into the world, whether the study of earthquakes or the study of poetry, economics or physics, history or anthropology, art history or organic chemistry, a systematic inquiry into one's lover or a systematic inquiry into the Italian language, must do two things. If it only does one of them it is not an inquiry into the world. It may be good in some other way, but not in the double way that we associate with good science or other good inquiries into the world, such as a detective solving a case.
...
"The theorists don't have to operate in this existence-theorem way. They could instead—some do—use mathematics to develop functional forms into which the world's data can be plugged. It is the difference between abstract general equilibrium—a field of economics which practically everyone now agrees was a complete waste of time and talent—and computable general equilibrium, which has nothing whatever to do with the existence theorems and has everything to do with picking sensible numbers and simulating."
The Trouble with Mathematics and Statistics in Economics
D McCloskey History of Economic Ideas XIII (3,2005): 85-102
http://www.deirdremccloskey.com/articles/stats/stats.php
...
"A real science, or any intelligent inquiry into the world, whether the study of earthquakes or the study of poetry, economics or physics, history or anthropology, art history or organic chemistry, a systematic inquiry into one's lover or a systematic inquiry into the Italian language, must do two things. If it only does one of them it is not an inquiry into the world. It may be good in some other way, but not in the double way that we associate with good science or other good inquiries into the world, such as a detective solving a case.
I am sure you will agree: An inquiry into the world must think and it must look. It must theorize and must observe. Formalize and record. Both. That's obvious and elementary. Not everyone involved in a collective intelligent inquiry into the world need do both: the detective can assign his dim-witted assistant to just observe. But the inquiry as a whole must reflect and must listen. Both. Of course."
...
"So pure mathematics, pure philosophy, the pure writing of pure fictions, the pure painting of pictures, the pure composing of sonatas are all, when done well or at least interestingly, admirable activities. I have to keep saying "pure" because of course it is entirely possible—indeed commonplace for novelists, say, to take a scientific view of their subjects (Balzac, Zola, Sinclair Lewis, the post-War Italian realists, among many others are well known for their self-conscious practice of a scientific literature; Roman satire is another case; or Golden Age Dutch painting). Likewise scientists use elements of pure narration (in evolutionary biology and economic history) or elements of pure mathematics (in physics and economics) to make scientific arguments."
...
"The theorists don't have to operate in this existence-theorem way. They could instead—some do—use mathematics to develop functional forms into which the world's data can be plugged. It is the difference between abstract general equilibrium—a field of economics which practically everyone now agrees was a complete waste of time and talent—and computable general equilibrium, which has nothing whatever to do with the existence theorems and has everything to do with picking sensible numbers and simulating."
Wednesday, August 3, 2016
Frauden appels?
While Stiglitz may not agree with Steve Keen on the nature of debt, here he takes aim at Apple:
http://www.bloomberg.com/news/articles/2016-07-28/stiglitz-calls-apple-s-profit-reporting-in-ireland-a-fraud
[dlw]
Monday, July 11, 2016
Workshop on Financial and Actuarial Mathematics July, 11-15th, 2016 AIMS Senegal
Thank you to the local organizers at AIMS-Senegal for bringing together a range of perspectives on risk analysis and modelling.
AIMS-Senegal & SWMA Workshop on
Financial and Actuarial Mathematics
July, 11-15th, 2016
AIMS Senegal, Mbour, Senegal
The workshop will
bring together established researchers, young faculty, and advanced graduate
students working on Financial and Actuarial Mathematics. The workshop will also
highlight the advanced and new scientific work done one those areas. This will be
a first workshop organized by the Senegalese Women in mathematics
association(which is AWMA's National Chapter),
in collaboration with AIMS-Senegal. The workshop program will
include four minicourses, presentations and an afternoon students's poster
presentation.
AWMA (African Women in Mathematics Association) is an international network organizing meetings, summer schools and debating gender issues in science and education. On July 08-09th 2016, the first AWMA/West African Regional forum will also be hosted at AIMS-Senegal.
AWMA (African Women in Mathematics Association) is an international network organizing meetings, summer schools and debating gender issues in science and education. On July 08-09th 2016, the first AWMA/West African Regional forum will also be hosted at AIMS-Senegal.
Scientific Committee
Diane Wilcox, Univ. Witwatersrand, Ronnie Becker, AIMS-South Africa, Victor Nistor, Univ. Lorraine, France., Stéphane Girard, INRIA, France Papa Ngom, Univ. Cheikh Anta Diop de Dakar(UCAD) Idrissa Ly, Univ. Cheikh Anta Diop de Dakar(UCAD) Diaraf Seck,Univ. Cheikh Anta Diop de Dakar(UCAD) Aliou Diop, Univ. Gaston Berger de Saint Louis(UGB) Organizers Aissa Wade , Penn State et AIMS-Senegal Mouhamed M. Fall, AIMS-Senegal Sophie Dabo, Univ. de Lille, INRIA-MODAL-SIMERGE Fagueye Ndiaye, Univ. Cheikh Anta Diop de Dakar(UCAD) Bernadette Faye, Univ. Cheikh Anta Diop de Dakar(UCAD) |
Confirmed Lecturers
Diane Wilcox, Univ. Witwatersrand, Christian Francq, Univ. Lille, CREST, Paris Olivier Menoukeu Pamen, Univ. of Liverpool. Akim Adekpedjou, Univ. of Missouri Sciences and Technology. Confirmed Speakers Idrissa Ly, Univ. Cheikh Anta Diop de Dakar(UCAD) Diaraf Seck, Univ. Cheikh Anta Diop de Dakar(UCAD) El Hadji Déme, Univ. Gaston Berger Saint Louis. |
Wednesday, June 8, 2016
The Problem of Calibrating a Simple Agent-Based Model of High-Frequency Trading
The Problem of Calibrating a Simple Agent-Based Model of High-Frequency Trading
(Submitted on 5 Jun 2016)
Agent-based models, particularly those applied to financial markets, demonstrate the ability to produce realistic, simulated system dynamics, comparable to those observed in empirical investigations. Despite this, they remain fairly difficult to calibrate due to their tendency to be computationally expensive, even with recent advances in technology. For this reason, financial agent-based models are frequently validated by demonstrating an ability to reproduce well-known log return time series and central limit order book stylized facts, as opposed to being rigorously calibrated to transaction data. We thus apply an established financial agent-based model calibration framework to a simple model of high- and low-frequency trader interaction and demonstrate possible inadequacies of a stylized fact-centric approach to model validation. We further argue for the centrality of calibration to the validation of financial agent-based models and possible pitfalls of current approaches to financial agent-based modeling.
Monday, May 23, 2016
Live long and think mathematically
http://www.nytimes.com/2016/04/25/opinion/the-mathematicians-90th-birthday-party.html?_r=0
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