Statistics

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Deep Neural Nets for Volatility Dynamics

June 11, 2018
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There doesn't seem to be much need for nonparametric nonlinear modeling in empirical macro and finance. Not that lots of smart people haven't tried. The two key nonlinearities (volatility dynamics and regime switching) just seem to be remarkably well h...

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Deep Neural Nets for Volatility Dynamics

June 11, 2018
By

There doesn't seem to be much need for nonparametric nonlinear modeling in empirical macro and finance. Not that lots of smart people haven't tried. The two key nonlinearities (volatility dynamics and regime switching) just seem to be remarkably well h...

Read more »

Books to Read While the Algae Grow in Your Fur, March 2017

June 9, 2018
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Attention conservation notice: I have no taste. Check Wendig, Invasive Mind candy technothriller, drawing on obviously-loving research into ants. Fun enough, but takes its own oracular pronouncements about The Future a bit too seriously. Alice Dr...

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Bayesian hierarchical modelling with Rainier

June 9, 2018
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Bayesian hierarchical modelling with Rainier

Introduction In the previous post I gave a brief introduction to Rainier, a new HMC-based probabilistic programming library/DSL for Scala. In that post I assumed that people were using the latest source version of the library. Since then, version 0.1.1 of the library has been released, so in this post I will demonstrate use of … Continue reading Bayesian hierarchical modelling with Rainier

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Books to Read While the Algae Grow in Your Fur, April 2017

June 9, 2018
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Attention conservation notice: I have no taste. Jean d'Ormesson, The Glory of the Empire: A Novel, a History (translated by Barbara Bray) This must be one of the strangest and most brilliant of alternate histories, covering thousands of years in th...

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Machines Learning Finance

June 7, 2018
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FRB Atlanta recently hosted a meeting on "Machines Learning Finance". Kind of an ominous, threatening (Orwellian?) title, but there were lots of (non-threatening...) pieces. I found the surveys by Ryan Adams and John Cunningham particularly entertainin...

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Machines Learning Finance

June 7, 2018
By

FRB Atlanta recently hosted a meeting on "Machines Learning Finance". Kind of an ominous, threatening (Orwellian?) title, but there were lots of (non-threatening...) pieces. I found the surveys by Ryan Adams and John Cunningham particularly entertainin...

Read more »

Books to Read While the Algae Grow in Your Fur, May 2017

June 7, 2018
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Attention conservation notice: I have no taste. Karin Slaughter, Cop Town and The Kept Woman Mind candy mysteries. Cop Town is a historical mystery, set in the distant and alien past of early 1970s Atlanta. The Kept Woman is the latest thriller i...

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Books to Read While the Algae Grow in Your Fur, June 2017

June 7, 2018
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Attention conservation notice: I have no taste. Peter Frase, Four Futures: Life After Capitalism An expansion of his essay of the same name. This short book is very much worth reading if you like my blog at all. (Unless you're only here because y...

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The Series of Unsurprising Results in Economics (SURE)

June 6, 2018
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The Series of Unsurprising Results in Economics (SURE)

Andrea Menclover of the University of Canterbury (New Zealand) has recently founded the SURE Journal, whose aims and scope are as follows:'The Series of Unsurprising Results in Economics (SURE) is an e-journal of high-quality research with “unsurpris...

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