finance
pontiff | June 20, 2008One of the most amusing things about writing a blog is that people you've never met form an impression about you from your blabberings, and then, often, when they actually meet you they are astounded that you aren't "an old grumpy guy" or whatever image they had in their mind. So, in order to confuse you even more, here are some things which I've been reading and thinking about and doing while not working on efficient quantum algorithms for the hidden subgroup problem.
Spanish Treasury to Exclude Italian Government Bonds. Could this be an indication of problems ahead for the Euro?…
pontiff | June 6, 2008I'll admit it: I like reading George Soros' books. I mean, here's a guy whose made a godzillion dollars in the financial markets, has been behind political destabilizations/stabilizations worldwide, taken on a U.S. president (can you guess which one?), and yet, in spite of this, can write a book in which he talks his own brand of....philosophy and how it relates to life, the universe, and the current financial crisis. Whah?
As you might have guessed I just finished reading one such book: the rushed to market The New Paradigm for Financial Markets: The Credit Crash of 2008 and What It Means…
pontiff | April 29, 2008Via Alea, a new entry into the best title ever competition: "Option Model Calibration Using a Bacterial Foraging Optimization Algorithm" by J. Dang, A. Brabazon, M. O'Neill, and D. Edelman. That right, using an algorithm inspired by trying to mimic E. coli foraging, one hopes to calibrate a volatility option pricing model. No word yet, however, on whether bacteria will be able to spot CDOs with a large exposure to subprime mortgage bonds.
pontiff | January 9, 2008Can markets predict elections? Alea summarizes last night's primary results: Ooops! From my perspective, I find the ideas of markets predicting future events fascinating, if for no other reason than my original motivation for studying physics was tied up deeply in questions about predicting the future.
I believe that, fundamentally, we cannot predict the future. Why? Not necessarily because of quantum theory (did I surprise you there?) and not because of arguments based on chaos theory (and I worked at the Santa Fe Institute ;) ), but because of the locality of physics. In a world with…
pontiff | December 2, 2007Books off the queue and lodge securely somewhere behind my eyes: "A Mathematician's Apology" by G.H. Hardy and "A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation" by Richard Bookstaber
A Mathematician's Apology by G.H. Hardy (with a foreword by C.P. Snow)
I was really looking forward to reading this classic, since mathematicians certainly have a lot to apologize for. Sadly Hardy instead writes a fairly depressing defense of mathematics from a fairly dogmatic view of the subject. Of course, he has every right to this view (unlike me, who barely…
pontiff | November 21, 2007Books recently removed from the queue. "Mathematicians in Love" by Rudy Rucker, "An Engine, Not a Camera: How Financial Models Shape Markets" by Donald Mackenzie, "Financial Calculus : An Introduction to Derivative Pricing" by Martin Baxter and Andrew Rennie. "109 East Palace: Robert Oppenheimer and the Secret City of Los Alamos" by Jennet Conant.
Mathematicians in Love by Rudy Rucker
Best described as a cross between a Philip K. Dick novel, Thomas Pynchon's Vineland, and A New Kind of Science by Stephen Wolfram, but not nearly as good as the first two. The story of a surfer mathematician…