Posts tagged 'modelling'

ExcelFu: as attractively cheap as it is deadly

Lisa joined FT Alphaville in September 2011 after a tour of duty through the guts of the financial industry, having worked as an analyst at a bank and for a financial data company.

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| Apr 26 13:56 | Comment |

…it was just someone using Excel on a laptop who was highlighting cells for a formula and released his index finger from the left-clicky button of his mouse too soon.

Writes Irish stand-up comedian Colm O’Regan for BBC Magazine, in his piece about “The mysterious powers of Microsoft Excel”. As you will likely have guessed, his article was inspired by spreadsheet blunders in Reinhart and Rogoff’s 2010 Growth in a Time of Debt paper. Read more

Smoke, stats, and sashaying away

Joseph joined FT Alphaville way back in March 2010. He likes all the politically and legally fiddly bits of finance. He also likes credit, rates, global macro, tail risk, and all that stuff. (You should email him story ideas. He’ll take anything.)

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| Mar 13 15:45 | Comment |

Statistical modelling. It goes everywhere.

The Monkey Cage points us to this 2004 paper on strategic voting in papal elections (there was still no sign of white smoke at pixel time on Wednesday): Read more

Copula culture

Joseph joined FT Alphaville way back in March 2010. He likes all the politically and legally fiddly bits of finance. He also likes credit, rates, global macro, tail risk, and all that stuff. (You should email him story ideas. He’ll take anything.)

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| Jun 13 2012 21:07 | Comment |

OK – Lisa’s the modelling maven and she’s promised a longer post on this paper tomorrow…

“‘The Formula That Killed Wall Street’? The Gaussian Copula and the Material Cultures of Modelling” is a recommended read (H/T Tracy Alloway). It’s not really about anything killing Wall Street — more a combination of economic sociology and an oral history stretching back to January 2007. The authors even got in touch with David X. Li. Read more

Downgrading a eurozone sovereign: you know the drill

Joseph joined FT Alphaville way back in March 2010. He likes all the politically and legally fiddly bits of finance. He also likes credit, rates, global macro, tail risk, and all that stuff. (You should email him story ideas. He’ll take anything.)

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| Apr 27 2012 08:19 | Comment |

We liked the reaction of Societe Generale’s Sebastien Galy to S&P’s two-notch Spain rating cut:

1. A belated recognition of reality, this typically leads to some competition amongst rating agencies to capture headlines. Read more

The No Free Deliciousness Principle

| Oct 14 2011 19:00 | Comment |

Guest post by Emanuel Derman

Foods with equal deliciousness should sell for equal prices per ounce. Read more

Commodities VaRy extreme right now

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| May 06 2011 11:14 | Comment |

Hark — the standard deviation devils sing (again).

As Reuters columnist John Kemp pointed out yesterday, recent swings in the commodities complex have produced some impressive probabilities figures. The kind you can wheel out in dinner party conversation. For instance, front-month Brent crude futures sank almost $12 per barrel (or over 9 per cent) on Thursday, leading the market down from over $120 at the start of the day to under $110. Read more

A very special collapse in world trade

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Mar 28 2011 10:05 | Comment |

How big the fall in world trade in 2008/2009?

THIS big: Read more

Haldane sips at market-based, simplified CoCo

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Mar 24 2011 09:20 | Comment |

To understand Andrew Haldane’s latest — all you have to do is glance at these charts.

One is regulatory bank capital, the other is a market-based signal of bank solvency: Read more

High frequency traders do ‘risk’ better

Izabella Kaminska joined FT Alphaville in October 2008. Before that she worked as a producer at CNBC, a natural gas reporter at Platts and an associate editor of BP's internal magazine.

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| Sep 08 2010 09:15 | Comment |

Perhaps it’s not too astounding a finding…

But a Federal Reserve staff working paper by Dobrislav P. Dobrev and Pawel J. Szerszen has found that using historical high frequency data to forecast equity returns is far more effective than using general daily or monthly data. Read more