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…

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…

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

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 …

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…

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…

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…

Lecture Notes in Empirical Finance (PhD)

Paul Söderlind

3 January 2012

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

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…

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

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…

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…

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 …

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…