Win-Vector Blog

New paper: A Discrete Model Gauging Market Efficiency PDF

We highly recommend reading the PDF version, but please find below a HTML translation of the paper.

We follow up on some interesting work from the literature and explore some conditions that allow large predatory traders to dominate markets.

Read more…

Related posts:

1. What does the Market Think?
2. Is Search Advertising a Market for Lemons?
3. It is not all the quants’ fault.
4. How Market Designs Set Prices
5. Betting Best-Of Series

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.

Read more…

Related posts:

1. What does the Market Think?
2. Something I don’t get about business and bailouts
3. Is Search Advertising a Market for Lemons?
4. A Quick Appreciation of the Sharpe Ratio
5. Your credit card as the supercomputer