There’s a great article here on estimating correlations and means when you have missing data in your datasets. It uses the Expectation Maximisation algorithm to calculate the missing values, and what is interesting is how much the implied correlation changes after applying EM.
Clinton Chee has posted a list of factors he thinks is important when analyzing Bio-Tech stocks. This list is summarized below:
The New York Times has a great interactive graphic on How the Giants of Finance Shrunk, then Grew, Under the Financial Crisis. It’s really interesting seeing how, if the Market Capitalization of each firm is represented as an area, the each firm shrinks massively during the financial crisis, and now how the firms are rebounding.
A post over at the New York Times is arguing that one of the main causes of the financial crisis was inadequate quantitative models – models that tended to understate risk because they failed to provide a realistic model of the way the world works – neither incorporating risks such as a failure of liquidity, [...]
A while ago, I created a Mathematica plot comparing the Great Depression, the Tech Crash and the Oil Crisis with the current financial crisis. This analysis was inspired by a chart I saw last year comparing these recessions with our current situation. Anyway, I thought it was worth bringing the chart up-to-date. [Edit] The original [...]
I just popped down to the Lehman building here at Canary Wharf to see what was going on. There were a few people standing outside, and news crews filming – but overall it seemed pretty quiet.
Some interesting papers have come out on the “Credit Crunch”. Leveraged Losses: Lessons from the Mortgage Market MeltdownThis paper provides a good overview of the financial market turmoil occurring since August 2007, and discusses how the crisis might impact other areas of the economy. A Black Swan in the Money Market This paper examines the [...]
Here are some more financial blogs that seem good: The Aleph Blog – Investment strategies and advice (seems pretty US-centric) The Epicurean Deal Maker – Sarchastic, sardonic and humerous insight into Wall Street Going Private – The Sardonic Memoirs of a Private Equity Professional – This is an absolutely hilarious blog about the world of [...]
This past week has been facinating in the financial markets. After a long slide downwards, the markets tumbled at the beginning of the week, and now they are bouncing back upwards. Initially the market dive looked like it was triggered by worries over the problems with the Monoline Insurers. The Fed responded by cutting interest [...]
Here are some financial blogs I like: Robert Peston at the BBC AlphaVille from the FT Calculated Risk Econbrowser I’m getting more and more information from blogs and forums these days, so I want to try and get as many diverse and informative sources as I can.