New Article on a Review of Multifractals in Finance by L. Calvet and A. Fisher

Posted 16 May 2013 — by Charles Martineau
Category Finance, Fractals, Research

Last sum­mer I had the plea­sure to assist my adviser Prof. Adlai Fisher and his buddy and co-author Prof. Lau­rent Cal­vet at HEC Paris to do some research assis­tance on their new paper to be pub­lished in the Con­tem­po­rary Math­e­mat­ics titled Extreme Risk and Frac­tal Reg­u­lar­ity in Finance.  Their paper is a review of mul­ti­frac­tals in finance with an updated com­po­nent of two of their pre­vi­ous papers: (1) Mul­ti­frac­tal­ity in Asset Returns; and (2) How to Fore­cast Long Run Volatility.

I plan for the begin­ning of the sum­mer to put online the codes to repli­cate these papers. There seems to be more and more inter­est in frac­tals in finance… take a look at an inter­est­ing forth­com­ing paper in the Jour­nal of Finan­cial Econo­met­rics by Chen, Diebold, and Schorfheide titled A Markov-switching mul­ti­frac­tal inter-trade dura­tion model, with appli­ca­tion to US equi­ties.

TedxNewWallStreet — HFT Video

Posted 28 Apr 2013 — by Charles Martineau
Category High-frequency Trading, Microstructure

A “new” video on HFT that I missed…Very good!

 

TotalView ITCH 4.1. SAS code

Posted 31 Dec 2012 — by Charles Martineau
Category Research

I am cur­rently work­ing with the data­base TotalView ITCH (ver­sion 4.1) of NASDAQ. I updated the pre­vi­ous SAS code that was avail­able here for TotalView ITCH 4.0.

New SAS code avail­able here: itch_4.1_format for TotalView ITCH 4.10 (as of Jan 2013). Enjoy.

New productivity app: Omniwriter

Posted 31 Dec 2012 — by Charles Martineau
Category Productivity, Research

I am some­what late on this but by pure ran­dom­ness I found an amaz­ing and sim­ple appli­ca­tion for Mac (also avail. for iPhone and iPad) called Omni­writer. Omni­writer is a sim­ple text edi­tor that allows you to be totally focused when it comes to writ­ing. It is hard to really explain what this appli­ca­tion is all about. In one sen­tence, I would say that Omni­writer is what writ­ing would be like in heaven. I’ll let the video below really demon­strate what Omni­writer is all about:

 

Intro­duc­ing OmmWriter Dāna from hs&co on Vimeo.

Documentary on the Flash Crash and High-Frequency Trading

Posted 27 Dec 2012 — by Charles Martineau
Category High-frequency Trading, Microstructure

Thanks to Nanex, I found a new doc­u­men­tary on the Flash Crash of 2010 and high-frequency trad­ing. Really good.

Saving Economics from the Economists — Ronald Coase

Posted 21 Nov 2012 — by Charles Martineau
Category Economics

Great new arti­cle in HBR by Ronald Coase title “Sav­ing Eco­nom­ics from the Economists”

The main point of the article?…“The tools used by econ­o­mists to ana­lyze busi­ness firms are too abstract and spec­u­la­tive to offer any guid­ance to entre­pre­neurs and man­agers in their con­stant strug­gle to bring novel prod­ucts to con­sumers at low cost.”

That says it all.

21st Century Learning

Posted 16 Nov 2012 — by Charles Martineau
Category Uncategorized

I wished school was like this when I was younger…

TED Graphics

Posted 07 Nov 2012 — by Charles Martineau
Category TED


TED Talks Infographic
Source: OnlineClasses.org

Story telling…make me care

Posted 29 Sep 2012 — by Charles Martineau
Category Uncategorized

if only there was more story telling in aca­d­e­mic presentations…not easy to incor­po­rate in a typ­i­cal aca­d­e­mic pre­sen­ta­tion but…its feasible

How to Build an Economic Model in Your Spare Time by Hal R. Varian.… yes I know…I am late

Posted 09 Jul 2012 — by Charles Martineau
Category Presentations, Research

Yes­ter­day my friend urged me to read How to Build an Eco­nomic Model in Your Spare Time by Hal R. Var­ian — econ. prof at Berke­ley. Soooo refresh­ing! To make this short, its another amaz­ing guide on help­ing econ­o­mist and any researchers on how to gen­er­ate great research ideas and pro­duce great work. But there is some­thing that I read in there that you will not usu­ally hear in academia:

There are three parts to a sem­i­nar: the intro­duc­tion, the con­tent, and the conclusion. My advice about intro­duc­tions is sim­ple: don’t have one. I have seen many sem­i­nars ruined by long, pre­ten­tious, con­tent­less intro­duc­tions. My advise: say a few sen­tences about the big pic­ture and then get down to busi­ness: show them what you’ve got and why it’s impor­tant. The pri­mary rea­son to get down to busi­ness right away is that your audi­ence will only remem­ber about twenty min­utes of your talk and that is usu­ally the first twenty min­utes. So make sure that you get some use­ful infor­ma­tion into that first twenty minutes.

Amen.

Most of the sem­i­nars I attend its always the same god damn thing… if the pre­sen­ter takes too much time before jump­ing in the meat of his or her research, peo­ple start to ask a lot of ques­tions and the audi­ence lose track right away and won­ders why there is some­one if front of them… I usu­ally start dreaming : )