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February 2012 Blog Posts (38)

Estimating Operational Risk Capital: the Challenges of Truncation, the Hazards of MLE, and the Promise of Robust Statistics

J.D. Opdyke and Alex Cavallo

In operational risk measurement, the estimation of severity distribution parameters is the main driver of capital estimates, yet this remains a non-trivial challenge for many reasons.  Maximum likelihood estimation (MLE) does not adequately meet this challenge because of its well-documented non-robustness to modest violations of idealized textbook model assumptions, specifically that the data are independent and identically distributed (i.i.d.), which is…

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Added by J.D. Opdyke on February 10, 2012 at 3:56pm — No Comments

Monitoring Financial Stability in a Complex World

Monitoring Financial Stability in a Complex World



Mark D. Flood Allan

Office of Financial Research

I. Mendelowitz

Committee to Establish the Office of Financial Research

William Nichols 

National Institute of Finance



Version 10 / January 19, 2012



Copyright 2012, M. Flood, A. Mendelowitz and W. Nichols

Abstract



We offer a tour d’horizon of the data management issues facing…

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Added by John A Morrison on February 9, 2012 at 10:54pm — No Comments

Australian website allows you to sell your financial spreadsheet template

We recently launched Vumero - a marketplace for Finance and Financial Modeling expertise - www.vumero.com…

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Added by Vincent Granville on February 9, 2012 at 7:30pm — No Comments

1010data Positioned in the Challengers Quadrant in Leading Analyst Firm's Magic Quadrant for Data Warehouse Database Management Systems



1010data Positioned in the Challengers Quadrant in Leading Analyst Firm's Magic Quadrant for Data Warehouse Database Management Systems…

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Added by Vincent Granville on February 9, 2012 at 7:00pm — No Comments

Pentaho Cited as a Big Data Strong Performer by Independent Research Firm

Pentaho’s Kettle data integration product cited for ‘richest functionality and most extensive integration with open source Apache Hadoop’

 

Orlando, Fla. – February 8, 2012 – Delivering the …

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Added by Vincent Granville on February 9, 2012 at 6:56pm — No Comments

Sports Analytics – Featured Case Studies at PAW – March 4-10, San Francisco

Check out these sessions featuring sports analytics at …

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Added by Vincent Granville on February 9, 2012 at 6:30pm — No Comments

Interview with Drew Rockwell, CEO of Lavastorm

1. Short Bio

I started my career in the communications industry, where I spent 20 years with a Tier 1 carrier in probably 15 different jobs across the entire organization: Marketing, Advertising, Product Management, Operations, Sales, General Management, Strategy and Business Development. I basically…

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Added by Vincent Granville on February 9, 2012 at 4:00pm — No Comments

Request For Proposal: Financial Market Analysis Algorithms

Hello- 



I am contacting you to make you aware of NineSigma Request, RFP# 67977, "Financial Market Analysis Algorithms."

NineSigma, representing a multi-billion dollar IT company, invites proposals…

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Added by Vincent Granville on February 9, 2012 at 3:30pm — No Comments

One million web sites scored by Compete.com: how does Compete eliminate bias, blend multiple data sources and standardize unique counts?

Bigger, more diverse, more actionable online data

Since we started Compete, we have been continuously updating the quality and consistency of our data. With clickstream data available since 2002, and 10 terabytes of new data arriving monthly, we have amassed and organized hundreds of terabytes of daily consumer digital…

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Added by Vincent Granville on February 9, 2012 at 3:00pm — 1 Comment

Lecture Notes in Empirical Finance

Lecture Notes in Empirical Finance (PhD)


Paul Söderlind

3 January 2012

http://home.datacomm.ch/paulsoderlind/Courses/OldCourses/EmpFinPhDAll.pdf

Added by John A Morrison on February 9, 2012 at 1:10am — No Comments

Bayesian Outlier Detection with Dirichlet Process Mixtures

Matthew S. Shotwell and Elizabeth H. Slate

Abstract.

We introduce a Bayesian inference mechanism for outlier detection using the augmented Dirichlet process mixture. Outliers are detected by forming a maximum a posteriori (MAP) estimate of the data partition. Observations that comprise small or singleton clusters in the estimated partition are considered outliers. We offer a novel interpretation of the Dirichlet process precision parameter, and…

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Added by John A Morrison on February 9, 2012 at 12:37am — 1 Comment

Garch Models of Dynamic Volatility and Correlation

GARCH MODELS OF DYNAMIC VOLATILITY AND CORRELATION


David S. Matteson and David Ruppert

(I like this ! )

http://www.stat.cornell.edu/~matteson/papers/GARCH_tutorial.pdf

Added by John A Morrison on February 9, 2012 at 12:30am — No Comments

Monte Carlo Evaluation of Consistency and Normality of Dichotomous Logistic and Multinomial Logistic Regression Models

Naima Shifa & Mamunur Rashid

Abstract



The dichotomous logistic regression model is one of the popular mathematical models for the analysis of binary data with applications in physical, biomedical, and behavioral sciences, among others. The feature of this model is to quantify the effects of several explanatory variables on one dichotomous outcome variable. Multinomial logistic regression model, on the other hand, handles the categorical dependent…

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Added by John A Morrison on February 9, 2012 at 12:00am — No Comments

Jaffna University International Research Conference(JUICE)-2012

JUICE-2012 seeks original papers for this conference to be presented in the following tracks, which are indicative and nurture the interests of the conference:
    • Agriculture
    • Applied Sciences and Technology
    • Commerce and Management
    • Education
    • Health and Medical Sciences
    • Humanities and Fine Arts
    • Information Sciences and Technology
    • Pure Sciences
    • Social…
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Added by Balasundaram Nimalathasan on February 6, 2012 at 8:09am — No Comments

Is my car spying on me? | Orato.com

There is a little computer in your car that records information that you would not have imagined. It knows the speed you're racing down the highway, it knows whether or not you're pounding on the gas or the brakes, it knows if you're wearing a seatbelt, and so much more.

The memory is stored in this little information box, safe and sound, until you get into an accident. Very similar to the black boxes on airplanes, this box holds some very important data about a driver's…

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Added by Vincent Granville on February 4, 2012 at 4:59pm — No Comments

What Data Mining Can and Can't Do | CIO Insight

Peter Fader, professor of marketing atUniversity of Pennsylvania's Wharton School, is the ultimate marketing quant—a world-class, award-winning expert on using behavioral data in sales forecasting and customer relationship management. He's perhaps best known for his July 2000 …

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Added by Vincent Granville on February 3, 2012 at 7:56pm — No Comments

Who Are The Top 20 Influencers in Big Data? | Forbes

We are in the top 20 list :-)

A month back I used Traackr to look at influencers in mobile (look out for an upcoming piece on Kred if you are…

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Added by Vincent Granville on February 3, 2012 at 6:30pm — No Comments

DataScienceCentral.com Announces Content Partnership with Visual.ly to Expand Big Data Ecosystem

The online hub for big data practitioners also adds industry thought leader, Richard Snee, as advisor and guest editor…

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Added by Vincent Granville on February 1, 2012 at 10:51am — No Comments

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