Monday, February 23, 2015

Tennis Graphic Version 2

The tennis graphic is coming along; here's version 2 static. Thanks for the earlier comments on version 1 (more emailed than posted, you technophobes). Same Federer-Monfils example below. We now simply show points-from-set, set-by-set. (Sorry I had to shrink it to fit the blog format; you can blow it up using Ctrl+ in your browser.) I am exceptionally grateful to our talented "tennis team," especially Bas Bergmans, Modibo Camara, Joonyup Park, and Ken Teoh.


(Compare Version 1, here, which instead tracked points-from-match, set-by-set, with shading to convey intra-set developments.)

Monday, February 16, 2015

Heroic Econometrics Teachers: Tom Rothenberg and Dennis Sargan

I'm not sure why this popped into my head just now.

There have been many fine graduate econometrics teachers/mentors; their armies of well-trained students now populate top universities.  But two seem to me to have transcended the rest, achieving an almost mystical status: Tom Rothenberg and Denis Sargan. They trained many dozens of students on both sides of the Atlantic, and more generally they influenced the perspectives and careers of many thousands. (See, for example, the Rothenberg tribute volume edited by two fine Rothenberg students, Don Andrews and Jim Stock, and the Sargan bio by two fine Sargan students, David Hendry and Peter Phillips.)  How did Rothenberg and Sargan do it?  What was their secret?  Surely an ethic of selfless giving played a huge role.

An interesting and puzzling thing (to me at least) is that, perhaps amazingly in our small academic world, I never met Tom or Denis.  My loss, for sure.

Wednesday, February 11, 2015

Forecasts From Financial Markets

I'm thinking about broad approaches ("general principles" below) for getting various kinds of forecasts from various kinds of forward-looking financial markets (under assumptions, of course, that typically include risk neutrality).   Did I miss anything important?  (Remember, I'm looking for general principles that can be applied broadly, not specific instances.)

General Principles

1. Point Forecasts From Forward Markets

2. Point Forecasts From Futures Markets

3. Density Forecasts From Options Markets (Using Sets of Options)

4. Event Probability Forecasts From Digital Options Markets

5. Density Forecasts From From Digital Options Markets (Using Sets of Digital Options)


Monday, February 2, 2015

Bi-Weekly Complex Systems Seminar

For those near the University of Pennsylvania, the Complex Systems Seminar Series is sponsored by the Bassett Lab and is held on the 1st and 3rd Friday of each month at noon in 337 Towne Hall.

The seminar series seeks to bring speakers from a variety of disciplines who engage in complex systems research to share their work in a interdisciplinary environment.  I suspect that most of the seminars will be in biological/physical systems, but the point for readers of this blog, of course, is that there's plenty of room for importing their good ideas into economics and finance.

Even if you're not near Penn, you still might want the abstracts emailed to you; contact SarahMuldoon to be added to the list.

Sunday, January 25, 2015

Nassim Taleb Graphic

This arrived a couple weeks ago from Nassim Taleb. Regardless of where your view falls on the black swan spectrum, I hope you'll like the graphic. One hallmark of a good graphic is that it repays careful study, as with a good map (which is a good graphic). Nassim's Genealogy certainly passes that test. I found myself thinking about its contents and assertions for a long time. (You can blow it up in your browser by clicking on it. That should do the trick, but if it's still not big enough, start hitting ctrl+.)   



Monday, January 19, 2015

Haavelmo and Causal Modeling

Speaking of causal modeling, as we were in a recent postEconometric Theory is doing a special issue on Haavelmo. (This is not new information, but hey, I'm usually slow to notice things, and perhaps you are too.) Should be a fine issue, with many fascinating papers, including Heckman-Pinto. I list some of them below, from ET's "First View" page.

HAAVELMO’S CONTRIBUTIONS TO SIMULTANEOUS-EQUATIONS ESTIMATION