Ben Bernanke is blogging. (For some reason I find that funny: former Federal Reserve chairmen— they’re just like us!) In March, he started a blog at the Brookings Institution website. Several of the early posts are about explaining (and defending) the Fed’s low interest rates. He includes a response by Larry Summers to a post about “secular stagnation.” I think it would be interesting to see more different viewpoints on the blog.
Like many mathematicians, I have some of the tools to understand finance and economics, but I’m naive about both subjects. After reading some of Bernanke’s blog, I wanted to look at some math blogs that focus on finance. I’ve had the Mathematical Investor in my feed for a while. It’s written by David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado, and Qiji Jim Zhu and is a result of their “growing concern with the usage of less-than-fully rigorous mathematical and statistical methodologies in the financial/investment world.”
Recent posts have been about the 2010 “flash crash,” conflicted financial advice, and an assessment of 2014 market predictions. The authors are especially concerned about “backtest overfitting,” which is basically the error of making investment decisions that are based too heavily on historical data; one of their posts announces an online tool that demonstrates the problem.
I poked around for some other financial math blogs and stumbled on Fermat’s Last Spreadsheet, a blog that hasn’t been updated in a while but has posts on coding, normal subgroups, and poker in addition to the main focus on fixed-income trading. Fermat’s Last Spreadsheet also introduced me to Magic, Maths and Money by Timothy Johnson of Heriot-Watt University. He concentrates on moral/ethical aspects of finance and the recent financial crisis.
Do you have any recommendations for financial math blogs?