Nice article about the rise of Python in quantitative finance. Apparently the SEC has put forward a proposal that requires most asset-backed securities issuers to file a Python computer program to model and document the flow of funds (or waterfall) provisions associated with the transaction.
Needless to say, continuing to improve my Python capabilities is at the top of my list of things to do over the next term...
Tuesday, January 11, 2011
Do economists need a code of conduct?...
Yes. If you are taking money from an organization whose goals or agenda might influence your research then this should be disclosed...
Will Web 2.0 kill "Homo-Economicus"...
The following is a very quickly written, poorly formulated post that hopefully contains a few nuggets of insight that I can develop later...
I would like to point to a couple of recent posts shared by Brad Delong. These posts on Google, Facebook, and the future of certain aspects of Web 2.0, have a major theme in common: they focus on the utility of social networks in optimizing not just search results but an individual's entire Internet experience. Facebook, it seems, believes that this idea has the potential to revolutionize, not only the internet, but non-internet industries as well...
Perhaps I am wrong, but these companies (i.e., Google, Facebook, and other Web 2.0 companies) seem to be making a huge amount of money by developing technologies based around a theory of human behavior that is fundamentally at odds with neoclassical "homo-economicus" economic theory. Web 2.0 technologies are based around the idea that individuals care about what other people care about, that individuals exist within a social structure, and that this social structure influences individuals' preferences and thus their decision making. These technologies are facilitating a type of decentralized social/collective decision making...
I would like to point to a couple of recent posts shared by Brad Delong. These posts on Google, Facebook, and the future of certain aspects of Web 2.0, have a major theme in common: they focus on the utility of social networks in optimizing not just search results but an individual's entire Internet experience. Facebook, it seems, believes that this idea has the potential to revolutionize, not only the internet, but non-internet industries as well...
Perhaps I am wrong, but these companies (i.e., Google, Facebook, and other Web 2.0 companies) seem to be making a huge amount of money by developing technologies based around a theory of human behavior that is fundamentally at odds with neoclassical "homo-economicus" economic theory. Web 2.0 technologies are based around the idea that individuals care about what other people care about, that individuals exist within a social structure, and that this social structure influences individuals' preferences and thus their decision making. These technologies are facilitating a type of decentralized social/collective decision making...
What is current in price theory...
I second this call from Robert Vienneau. Where can one find the canonical statement of a current theory of prices?
Some of friends of mine are keen to form a price theory discussion group when I get back to Edinburgh, and I suspect that they are going to focus on more mainstream (i.e., Arrow-Debreu style) price theory. I would like to contribute something as an alternative...but what?
Some of friends of mine are keen to form a price theory discussion group when I get back to Edinburgh, and I suspect that they are going to focus on more mainstream (i.e., Arrow-Debreu style) price theory. I would like to contribute something as an alternative...but what?
Sunday, January 9, 2011
Content Clustering in Econ Blogs...
Below is a dendrogram that I created using after applying a hierarchical clustering algorithm to the recent content of a set of economics blogs. I used average linkage hierarchical clustering to compare blogs based on the correlation of the vectors of word counts used in their most recent blog posts (i.e., blogs that used the same words lots of times will be listed as "similar" with this implementation).
The blog content was obtained by scraping the RSS feeds of blogs listed in the Gongol directory (plus a few others that I read that weren't listed therein). Because I scraped the RSS feeds, I am only comparing blogs by the content of their most recent post (and not the total history of posts). The fact that this clustering is obtained using only the most recent blog posts means that you can't really interpret much from the dendrogram. However if I built a database to store blog content and then re-ran this analysis everyday for a lengthy period of time you would hope that the clustering would settle down and become stable.
There are many ways that this methodology could be improved upon and if I have some time I may pursue them a bit further...
I have posted a .jpeg...unfortunately it is unreadable. You will need to download it and open it in a viewer if you want to see where your favorite economics blog ended up. I ended up close to Greg Mankiw...which was unexpected!
The blog content was obtained by scraping the RSS feeds of blogs listed in the Gongol directory (plus a few others that I read that weren't listed therein). Because I scraped the RSS feeds, I am only comparing blogs by the content of their most recent post (and not the total history of posts). The fact that this clustering is obtained using only the most recent blog posts means that you can't really interpret much from the dendrogram. However if I built a database to store blog content and then re-ran this analysis everyday for a lengthy period of time you would hope that the clustering would settle down and become stable.
There are many ways that this methodology could be improved upon and if I have some time I may pursue them a bit further...
I have posted a .jpeg...unfortunately it is unreadable. You will need to download it and open it in a viewer if you want to see where your favorite economics blog ended up. I ended up close to Greg Mankiw...which was unexpected!
Monday, January 3, 2011
My latest distraction arrived today...
My copy of Programming Collective Intelligence: Building Smart Web 2.0 Applications
arrived in the mail today. I am fairly confident (more so after reading that Cosma Shalizi et al have recently received a grant from INET to apply these techniques to validate macroeconomic forecasting models) that the programming techniques taught in this book will be useful to me as a macroeconomist.
I am particularly interested in the techniques borrowed from statistical and machine learning theory (support-vector machines, genetic algorithms, genetic programming, etc).
arrived in the mail today. I am fairly confident (more so after reading that Cosma Shalizi et al have recently received a grant from INET to apply these techniques to validate macroeconomic forecasting models) that the programming techniques taught in this book will be useful to me as a macroeconomist.I am particularly interested in the techniques borrowed from statistical and machine learning theory (support-vector machines, genetic algorithms, genetic programming, etc).
Sunday, January 2, 2011
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