{"id":1209,"date":"2015-05-20T14:04:20","date_gmt":"2015-05-20T19:04:20","guid":{"rendered":"http:\/\/blogs.ams.org\/blogonmathblogs\/?p=1209"},"modified":"2015-05-20T14:04:20","modified_gmt":"2015-05-20T19:04:20","slug":"math-finance-blogs","status":"publish","type":"post","link":"https:\/\/blogs.ams.org\/blogonmathblogs\/2015\/05\/20\/math-finance-blogs\/","title":{"rendered":"Money, Money, Money"},"content":{"rendered":"

Ben Bernanke is blogging<\/a><\/span>. (For some reason I find that funny: former Federal Reserve chairmen\u2014 they\u2019re just like us!) In March, he started a blog at the Brookings Institution<\/span><\/a> website. Several\u00a0of the early posts are about explaining (and defending) the Fed\u2019s<\/a> low<\/a> interest<\/a> rates<\/a>. He includes a response by Larry Summers<\/span><\/a> to a post about \u201csecular stagnation<\/span><\/a>.\u201d I think it would be interesting to see more different viewpoints on the blog.<\/span><\/p>\n

\"Money.<\/a>

Money. Image: Nick Eres, via flickr.<\/p><\/div>\n

Like many mathematicians, I have some of the tools to understand finance and economics, but I\u2019m naive about both subjects. After reading some of Bernanke\u2019s blog, I wanted to look at some math blogs that focus on finance. I\u2019ve had the Mathematical Investor<\/span><\/a> in my feed for a while. It\u2019s written by David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado, and Qiji Jim Zhu and is a result of their \u201cgrowing concern with the usage of less-than-fully rigorous mathematical and statistical methodologies in the financial\/investment world.\u201d<\/span><\/p>\n

Recent posts have been about the 2010 \u201cflash crash<\/span><\/a>,\u201d conflicted financial advice<\/span><\/a>, and an assessment of 2014 market predictions<\/span><\/a>. The authors are especially concerned about \u201cbacktest overfitting,\u201d 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<\/span><\/a>.<\/span><\/p>\n

Cathy O\u2019Neil<\/a><\/span> is my other main source of blog posts about finance, and I\u2019m eagerly awaiting Weapons of Math Destruction<\/span><\/a>, her forthcoming book about big data and the dangers it poses to democracy.<\/span><\/p>\n

I poked around for some other financial math blogs and stumbled on Fermat\u2019s Last Spreadsheet<\/span><\/a>, a blog that hasn\u2019t been updated in a while but has posts on coding<\/span><\/a>, normal subgroups<\/span><\/a>, and poker<\/span><\/a> in addition to the main focus on fixed-income trading<\/span><\/a>. Fermat\u2019s Last Spreadsheet also introduced me to Magic, Maths and Money<\/span><\/a>\u00a0by Timothy Johnson<\/a> of Heriot-Watt University.\u00a0He concentrates\u00a0on moral\/ethical aspects of finance<\/span><\/a> and the recent financial crisis<\/span><\/a>.<\/span><\/p>\n

Do you have any recommendations for financial math blogs?<\/span><\/p>\n

<\/div>","protected":false},"excerpt":{"rendered":"

Ben Bernanke is blogging. (For some reason I find that funny: former Federal Reserve chairmen\u2014 they\u2019re just like us!) In March, he started a blog at the Brookings Institution website. Several\u00a0of the early posts are about explaining (and defending) the … Continue reading →<\/span><\/a><\/p>\n

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