The Stochastic Blog of a Quant

Stochastic processes with jumps with R

2007-10-24T07:24:00.000-07:00

Martin Keller-Ressel is a member of the Research Unit of Financial and Actuarial Mathematic at the prestigious TU Vienna. He is providing very useful information about modeling stochastic processes with jumps and Levy processes. He also provides R code to download, calculate and plot option smiles with only one line of R code (example: plot.smile(yahoo.getAllOptions("IBM"))).

If you are an R programmer you need to visit this great website. It is available at the following address:
http://www.fam.tuwien.ac.at/~mkeller

Experimental demonstration of the tomatotopic organization in the Soprano

2007-08-13T08:57:00.000-07:00

Coming back from holidays with new ideas of research and articles! That's great! But before starting writing an article about a new concept on financial analysis of asset prices that would need powerfull quants and a teraflop computer to calculate a stable equilibrium... I take some time to read the article 'Experimental demonstration of the tomatotopic organization in the Soprano'.

You don't know about this brillant paper? No, this is surely not April 1st, but hereunder some piece of choice...

As observed at the turn of the century by Marks & Spencer (1899), who first named the ``yelling reaction'' (YR), the striking effects of tomato throwing on Sopranoes have been extensively described...

...Experiments were carried out on 107 female healthy Sopranoes (Cantatrix sopranica L.) furnished by the Conservatoire national de Musique, and weighing 94-124 kg (mean weight: 101 kg). Halothane anesthesia was utilized during the course of tracheotomy, fixation in the Horsley-Clarke, and major operative procedures...

...Tomatoes (Tomato rungisia vulgaris) were thrown by an automatic tomatothrower (Wait & See, 1972) monitored by an all-purpose laboratory computer (DID/92/85/P/331) operated on-line...

... It has been shown above that tomato throwing provokes, along with a few other motor, visual, vegetative and behavioral reactions, neuronal responses in 3 distinctive brain areas: the nucleus anterior reticular thalami, pars lateralis (NARTpl), the anterior portion of the tractus leguminosus (apTL) and the dorsal part of the so-called musical sulcus (scMS). As pointed out by Chou & Lai (1929 b), Lai & Chou (1931 a, b) and Unsofort & Tchetera (1972),...

More information about the article is available at:
http://pauillac.inria.fr/~xleroy/stuff/tomato/tomato.html

This article comes from the book 'Cantatrix Sopranica' written by George Perec.

Letters to a young...

2007-06-27T06:41:00.000-07:00

You don’t know what to do this summer? Go to your bookstore and buy two books: D. Hofstadter ‘I am a strange loop’ and Ian Stewart ‘Letters to a Young Mathematician’.

This is not the first book of Ian Stewart and this one is very different from ‘Does God Play Dice? The New Mathematics of Chaos’ (1997).

Under a title that comes from the literature and the great Rainer Maria Rilke (‘Letter to a young poet’), this time, Ian Stewart is writing a following to ‘A mathematician’s apology’, written by G.H. Hardy in 1940.

Hardy said in his book that he was ‘interested in mathematics only as a creative art’, but the things are different for Ian Stewart. He is surely also interested in art, but I think that the mathematical game itself is more important for him than the art of mathematics. Mathematics and logic are a recreation for him and his great sense of humor always make the reading of his books very pleasant.

Do you want to know how to pack many tennis balls together in a film? in a bundle or in a row? Read this great book and you will find the meaning of 56 as a new magic tennis ball number!

I Am a Strange Loop by Douglas R. Hofstadter

2007-06-11T08:06:00.000-07:00

Douglas R. Hofstadter, the author of the famous "Gödel, Escher, Bach" has just published a new book about mind: "I Am a Strange Loop".

Who I am?

To try to answer this question, Douglas does not use the exact self-referencing Jean-Paul Sartres interpration of "myself" that "I am the mediator between me and myself" but he uses the similar idea of a loop. The illustration on the cover of his book shows a film of Douglas hands in front of a TV that display what is in front of the camera... the TV screen and the Douglas’ hands. The result is a beautiful picture of his hands that is self contained and resembles a fractal snail or a Julia set.

Douglas Hofsdadter lost his wife a few years ago when she was only 43. Why does he wants to talk about this tragic event in a book about mind? Because after this tragic event, he started a correspondance with his friend Daniel Dennet, who is also a highly respected researcher and the co-author of books about mind and consciousness. He finaly came to the conclusion that mind was distributed over many minds and that his wife Carol was still living, as a loop, in his consciousness.

This quick and awkward summary of what Douglas Hofstadter explains in his book is far from the brillant prose of the author. I highly recommend the reading of the whole book for everyone interested in mind, artificial intelligence and philosophy.

PerformanceAnalytics: risk and portfolio analysis for R

2007-05-28T05:50:00.000-07:00

PerformanceAnalytics, written by Peter Carl and Brian G. Peterson, is an R package for portfolio analysis and risk measurement.

Many functions that were usually available in different packs are now available in this new one. It provides many functions and tools for the calculation of returns (monthly, annual, cumulated, rolling performances…), for capital asset pricing models (CAPM), various ratios frequently used in finance (Kurtosis, Skweness, Omega, Kelly, Sharpe, Sortino, Treynor), powerfull rank correlation functions, advanced value at risk measures (historical VaR, traditionnal parametric RiskMetrics VaR, modified Cornish-Fisher expansion) and many tables and charts facilities very valuable for portfolio analysis.

I highly recommend this great pack that is maintained by B. G. Peterson and is available on:

http://braverock.com/brian/R/PerformanceAnalytics/html/PerformanceAnalytics-package.html

Statistical Analysis in C++ using StatPatternRecognition

2007-05-23T07:57:00.000-07:00

Ilya Narsky from the Caltech (California Institute of Technology) has made available a powerfull C++ advanced statistical library on sourceforge: StatPatternRecognition.

This pack was initally created for modern analysis of high energy physics (HEP) using C++ and it provides algorithms for classification of multivariate data: discriminant analysis, decision trees, bump hunting, random forests, neural networks etc.

R 2.5 is available

2007-05-23T06:29:00.000-07:00

A new major revision of the wonderfull R freeware is available for both Windows, Linux and MacOS ont the R project website.

This software is a free version of the S statistical programing language and is becoming very popular in the statistical researchers community. Consequently, a very large number of packages is available and allows to do standards statistical analysis but also powerfull data mining, 2D and 3D graphs and allows direct and easy ODBC connections to Microsoft Excel, Microsoft Access and MySQL databases.

The version 2.5 is available for download since April 24 on http://lib.stat.cmu.edu/R/CRAN.