Posted on Categories Expository Writing, FinanceTags , , , , 1 Comment on What does the Market Think?

What does the Market Think?

What does the market think about IBM’s proposed acquisition of Sun? Continue reading What does the Market Think?

Posted on Categories Expository Writing, Finance, OpinionTags , , , ,

It is not all the quants’ fault.

There is plenty of blame to go around from the current global financial crisis. But, I would like to point out that it is not “all the quants’ fault.” We are all now, unfortunately, sitting in the middle of a high quality (and extremely expensive) lesson in financial mathematics. I would hate for some of the truly important points to be lost to paying too much attention to some of the shiny details.

Continue reading It is not all the quants’ fault.

Posted on Categories Expository Writing, MathematicsTags , ,

Volunteers in Large Clubs: The Theorist’s View

I have just posted a new write-up: Volunteers in Large Clubs: The Theorist’s View. This paper describes some interesting issues in organizing volunteers in a large club and tries to show (without math) how a theoretical computer scientist attacks such problems. Continue reading Volunteers in Large Clubs: The Theorist’s View

Posted on Categories Applications, Expository Writing, FinanceTags , ,

A Quick Appreciation of the Sharpe Ratio

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

Posted on Categories Expository Writing, Mathematics, OpinionTags

What is Mathematics, Really?

I recently had one of those “practitioner’s epiphanies” that I
really feel captures the core of the issue and quickly explains a lot
about mathematics.

My current definition is:

Mathematics is the minimal environment to preserve ideas.

Continue reading What is Mathematics, Really?

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YAYGDA (Yet Another Yahoo Google Deal Article)

Information week describes the current “Yahoo/Google deal” as being one that would “allow Yahoo to place Google ads on its site and collect the revenue.” But in reality it is a deal that will allow Google to sell Yahoo the rope to hang itself. To the theorist’s eye the deal looks like a doomsday machine designed along the lines of a simple game called a “stag hunt.” Continue reading YAYGDA (Yet Another Yahoo Google Deal Article)

Posted on Categories Expository WritingTags , , 1 Comment on How Market Designs Set Prices

How Market Designs Set Prices

Hal Varian (Chief Economist, Google) recently shared a concise article with the title “How auctions set ad prices”. The article is a clear exposition of how ad prices determine the sorting order of bidders for online advertising. However, the tone of the article is not quite compatible with how it feels from the outside. Continue reading How Market Designs Set Prices

Posted on Categories Applications, Expository Writing, Finance, Mathematics, Quantitative FinanceTags ,

Betting Best-Of Series

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

Posted on Categories Applications, Expository Writing, Mathematics, Quantitative Finance, StatisticsTags , , , ,

New Paper

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