REPOST (now in HTML in addition to the original PDF).
This paper demonstrates and explains some of the basic techniques used in data mining. It also serves as an example of some of the kinds of analyses and projects Win Vector LLC engages in. Continue reading A Demonstration of Data Mining
We explore some of the ideas from the seminal paper “The Data-Enrichment Method” ( Henry R Lewis, Operations Research (1957) vol. 5 (4) pp. 1-5). The paper explains a technique of improving the quality of statistical inference by increasing the effective size of the data-set. This is called “Data-Enrichment.”
Now more than ever we must be familiar with the consequences of these important techniques. Especially if we don’t know if we might already be a victim of them.
Continue reading The Data Enrichment Method
The current state of the global financial markets has gotten more people than usual worrying about the technical aspects of finance. One method for reasoning about investment returns and risk is a tool called the Sharpe Ratio. It is well worth reviewing this measure and seeing how, if used properly, it doesn’t favor any of the mistakes that underly our current financial crisis. Continue reading A Quick Appreciation of the Sharpe Ratio
Betting Best of Series is a new expository paper describing the mathematics involved in betting on something like the United States’ Major League Baseball World Series. It isn’t so much about baseball as about demonstrating some of the really great ideas from mathematical finance in a simplified setting. This sort analysis is the “secret sauce” in a lot of financial models and I trying to share the thrilling feeling of working with these techniques in an elementary essay (with diagrams). Continue reading Betting Best-Of Series
author: John Mount
I have finally written up and released a paper in PDF: Automatic Generation and Testing of Trades describing a lot of the statistics and optimization methods used when I was technical trading on a Banc of America Securities proprietary program trading desk. It was a very exciting time.
Continue reading Paper on stock trading
author: John Mount
Nina and I just finished up our analysis of some of the statistical difficulties encountered by users of Google AdSense. It came out a bit long- but we found the right statistical reference to prove that there are real barriers to understanding in this market. The paper is most legible in PDF, but we also include an HTML version so the blog entry can be skimmed.
Continue reading New Paper