Archive for August, 2006
August 30, 2006 at 6:57 pm · Filed under Uncategorized
Third wavefunction points out that graduate exams are actually tests that you conform to certain social standards.:
- Does the candidate require sleep?…
- Does the candidate have any responsibilities outside of her career that can’t be put aside for three days straight? (e.g. taking care of a child or other relative, other household responsibilities)
- Does the candidate have someone who will take care of her, bringing her food and washing the dishes, tolerating her completely ignoring him and starting to smell from lack of hygiene?
- Does the candidate require food on a regular basis, or to administer medicine, or anything else that will take time away from work?
August 28, 2006 at 7:08 pm · Filed under Uncategorized
Over the last two weeks I’ve been trying to save my academic career. Not from the Academy itself, who seem reasonably friendly (in aggregate) and willing to bear some of my incessant skeptical eyebrow-raising. But rather from the forces of Life: the increasing pressure to be making an actual living, the development of troubling family health matters, my ridiculous belief that I should be working no more than 40 hours a week on homework and teaching obligations, my inevitable interest in things that are Not Part Of The Thesis.
From me, in other words.
The Life Academic is not a thing you can do in parallel with… well, anything at all. You’re a fool if you think you can have a family and a house and a Paying Job and graduate school all at once. You might be able to swing it, but the odds are stacked against you. Even professors need nannies and honorariums.
So in order to stave off the next wave of attack from the direction of Real Life, I’ve been trying to Rethink It All. This involves reactivating my social network, which has been languishing while I’ve been in-country at the U, and calling in some social capital chits, and generally having Lots of Lunches. Meeting with friends, and colleagues, and people who might have money I could scrounge, and in the meantime trying to build a new consultancy with colleagues scattered quite literally (and surprisingly evenly) around the world. And so in person and online I talk with everybody, and try to get enthused about the Big Thesis-y Picture and explore alternative stuff and new ways of thinking, and making a sufficient living, and making the world a better place.
For me. And other people, sure, but for my family and me above all else.
So lots of talking. Name-dropping. You know the person who has come up most often in this?
You would think it might be some famous person or hublike social networky fellow, somebody we (my social network) All Know. Mark. Or Cosma. Or Howard Rheingold. Or some University person (which University is after all the Biggest Log in my Logjam of Life) like my academic advisor or the Dean of the School of Information (why she and SI are involved in the network is harder to explain here than elide) or maybe Stu Kauffman, my old academic advisor from Another Life.
You’d think that.
The person who has come up more often than any other in my innumerable exhausting conversations of the last two weeks?
John Dewey.
Michael Cohen (who is an old colleague-of-colleagues, and who I chatted with the other day about a joint Ph.D. degree in my IOE Department and the School of Information) said he was exploring Dewey’s surprisingly unremarked role in theories of organizations—a role supplanted to some extent by Herb Simon when he came along. Dewey and his stress of the importance of habits in individual and group behavior came up several times.
Erik Schultes (who is an old friend from the Santa Fe Institute and classmate at the 1991 Complex Systems Summer School) is now a filmmaker here in Michigan trying to make an ambitious project documenting the Octopus via modern networks theory, and as we walked away from each other he asked us where Dewey’s house is. Down the street, as it happens.
Cosma mentions Dewey, or maybe I mention Dewey to Cosma, and says he’d like to attend more to the great man’s work.
And finally, a constant. Sitting on the game table under the windowsill in the dining room, a stack of local Ann Arbor newspapers from the 19th Century. I salvaged them months ago, in hopes of digitizing them, but the technology for newspaper scanning is pretty shabby these days. In the topmost volume, of the Ann Arbor Democrat, an amusing satirical article about some events we will probably never understand. Some local kerfluffle, some bawdy mob, some drunken student prank. And who do they mention by name? They say “The Administration”, but they name “Professor Dewey.”
Perhaps, given a run like this, so should we all. Mention him. Read him. Surprisingly, very few of his works have made it into Project Gutenberg by way of Distributed Proofreaders.
I think I’ll do what I can to fix that in the coming days.
August 27, 2006 at 12:05 pm · Filed under Uncategorized
Actually, not demographics so much as cultural dynamics.
How has it come to pass that I can name two or three handfuls of people in my cohort (35-45) who started off as lab molecular biologists in the early 90s, and ended up saying “fuck this,” and wandering off into some other line of work?
And at the same time, I can name two or three handfuls of people younger than that, who are not lab molecular biologists but who now want to become one, or at least “get in on this bioengineering and structural/systems biology stuff?”
But the question is not why there are two groups. The question is, assuming they represent a sample of a larger cultural dynamical process, will this accelerate the attrition of the generation of faculty who created the first group, and who are unaware of the second group?
Please?
August 24, 2006 at 5:03 pm · Filed under Uncategorized
Just what crossed my desk this morning. No recommendation for, nor argument against; just sayin’ I’m lookin’ at ‘em.
Abstract: We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based criterion to evaluate volatility forecasts. Our main result is that the statistical and economic value of volatility forecasts based on real-time data is comparable to the value of forecasts based on revised macroeconomic data.
Abstract: This paper studies the behaviour of Internet prices. It compares price rigidities on the Internet and in traditional brick-and-mortar stores and provides a cross-country perspective. The data set covers a broad range of items typically sold over the Internet.It includes more than 5 million daily price quotes downloaded from price comparison web sites in France, Germany, Italy, the UK and the US. The following results emerge from our analysis. First, and contrary to the recent findings for common CPI data, Internet prices in the EU countries do not change less often than online prices in the US. Second, prices on the Internet are not necessarily more flexible than prices in traditional brick-and-mortar stores. Third, there is substantial heterogeneity in the frequency of price change across shop types and product categories. Fourth, the average price change on the Internet is relatively large, but smaller than the respective values reported for CPI data. Finally, panel logit estimates suggest that the likelihood of observing a price change is a function of both state- and time-dependent factors.
Abstract: This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share are more likely to file for bankruptcy, be delisted, or receive a D rating. When predicting failure at longer horizons, the most persistent firm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more significant. Our model captures much of the time variation in the aggregate failure rate. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles but are particularly strong in smaller stocks. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress.
Abstract: A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of Autoregressive Conditional Duration GARCH models and the realized volatility to forecast future volatilities on irregularly spaced data. We also compare the out sample performances of ACD GARCH models with the realized volatility method. We propose a procedure to take into account the time deformation and show how to use these models for computing daily VaR.
Abstract: Rational herd behavior and informationally efficient security prices have long been considered to be mutually exclusive but for exceptional cases. In this paper we describe conditions on the underlying information structure that are necessary and sufficient for informational herding. Employing a standard sequential security trading model, we argue that people may be subject to herding if and only if there is sufficient amount of noise and, loosely, their information leads them to believe that extreme outcomes are more likely than moderate ones. We then show that herding has a significant effect on prices: prices can move substantially during herding and they become more volatile than if there were no herding. Furthermore, herding can be persistent and can affect the process of learning. We also characterize conditions for contrarian behavior. Our analysis suggests that herding (and contrarian behavior) may be more pervasive than was originally thought. Hence, the paper provides a new perspective on herding in financial markets with efficient prices.
Abstract: What factors determine how well consumers make their actual choices with regard to financial products? This paper empirically evaluates two different choices consumers make when buying deferred annuities. One choice concerns the type of insurance policy, the other concerns the choice of insurance provider. For both choices we will analyse what factors explain the quality of the choice made. In particular, we will investigate the role of financial advice in the decision making process. By combining Dutch consumer survey data and data on quotations by Dutch life insurance companies, we obtain the following results. First, respondents who buy their policy directly from an insurer attain a significantly better match between their risk preferences and the type of policy chosen than respondents who purchase their policy through an insurance broker. Second, respondents who buy their policy through an insurance broker obtain a significantly lower pay-out than respondents who purchased their policy directly from an insurance company. These results raise doubts about the functioning of both the market for financial advice and the market for life insurances.
Abstract: Since the underlying of the weather derivatives is not a traded asset, these contracts cannot be evaluated by the traditional financial theory. Cao and Wei (2004) price them by using the consumption-based asset pricing model of Lucas (1978) and by assuming different values for the constant relative risk aversion coefficient. Instead of taking this coefficient as given, we suggest in this paper to estimate it by using the consumption data and the quotations of one of the most transacted weather contracts which is the New York weather futures on the Chicago Mercantile Exchange (CME). We will apply the well-known generalized method of moments (GMM) introduced by Hansen (1982) to estimate it as well as the simulated method of moments (SMM) attributed to Lee and Ingram (1991) and Duffie and Singleton (1993). This last method is studied since we think that it can give satisfactory results in the case of the weather derivatives for which the prices are simulated. We find that the estimated coefficient from the SMM approach must have improbably high values in order to have the calculated weather futures prices matching the observations. This finding is in accordance with the results of the prior works which have shown the empirical failures of the consumption-based asset pricing model.
August 24, 2006 at 4:50 pm · Filed under Project
Say I write a post. This one.
The plugin (which may suffer from CPU and storage issues, but screw that) compiles a trigram-based linguistic vector of the post. That is, it counts how many there are of every 3-letter substring in the entire text. It also notes the length of the post. Or maybe it creates some other sort of computationally linguistic indexing key, like a Statistically Improbably dohickey, or a discrete wavelet alphabetotron. One of those.
The plugin then takes this trigram frequency vector (or whatever), and scans the entire corpus of Project Gutenberg text files for the most similar passages of the same length.
So in the end, you get a link like “Public-domain eTexts which may be interesting,” and it links to the eText, with a same-length passage.
Maybe a few processing and storage considerations. Like I said. But offline processing would work….
August 24, 2006 at 2:34 pm · Filed under Uncategorized
Trying out a bit of Web 2.0 Slurrification:
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[via Amar's Blog]
August 24, 2006 at 12:46 pm · Filed under Uncategorized
So I’m trying to coordinate Google Calendar coupled with iCal to manage appointments and ticklers for ToDos. So far it seems nice, though I wish I had a MacOS client for Google Calendar.
The other day I was entering the Google calendar item for the Wolfram Technical Conference, and something happened. I don’t know, maybe I was called away from the computer, but as far as I know I clicked to create the event, and then walked away and possibly closed my computer and broke the link, and when I came back I didn’t see it on the calendar so I made a new one.
When I synced my iCal subscription, there was a half-hour Wolfram activity, staring me in the face from the middle of that day’s schedule. “Hunh,” say I. Go back online to Google, no sign of it. Look at the Agenda view, no item with that name on any day. Search? Nope.
I refresh my iCal sub, and there it is. Moved a bit.
I dismiss it, and move along with life. It’ll scroll off, come Saturday, and I can just leave it there.
Ah ha ha, no such luck. This morning I realized it: It’s always stuck at the time I refresh my subscription. So somewhere in the calendar XML file is this weird partial abortion of an event, haunting my days. Like a magic To Do that I don’t really want, and can never shake.
Mysterious. Strangely, possibly useful, if it could be replicated. But who knows how to do that?
Do they have a To Do item in Google Calendar???
Update: I squished the bug, somehow. I used the Advanced Search to find all mentions of “Wolfram”, saw an odd appointment on October 1, and deleted it. But forgot to look carefully at the details of how it had been set up to induce the magical Always! Now! behavior. Consider it a mysterious challenge, since by their admission Google Calendar is unable to alert you more than a week before an even….
August 24, 2006 at 11:54 am · Filed under Uncategorized
BioCurious sends along a wonderful paper on Penguin Power.
August 24, 2006 at 11:52 am · Filed under Uncategorized
I’m increasingly taken with the portions of Robert Frenay’s Pulse: The Coming Age of Systems and Machines Inspired by Living Things. Not least because I’ve run several engineering workshops and symposia on it, and even less because he thumps all the soapboxes I’ve been standing on for 15 years.
I’m not sure I’ve met Robert, but I doubt it; most of what he’s recounted so far I’ve pieced together on my own. I suspect we’ll meet soon enough, though.
Link there. Go read what he has to say.
Buzz this one; it will pay off in reciprocity for you. Because, reading me, I know you should read him.
August 24, 2006 at 9:56 am · Filed under Uncategorized
By “iconoclasm” I’m referring to the Reformation Iconoclasm, the tumultuous period in the 16th Century when protestants destroyed Catholic artwork in northern Europe. The stricture invoked was the Biblical admonition against graven images, but the cultural act revolved around the symbols of cultural self-definition.
The dynamics of discussion between the Michigan Women’s Music Festival and transgendered women who want to attend but are excluded reminds me strongly of that approach. It’s interesting to note that in their press releases on the matter, the MWMF describes itself as being for “womyn-born womyn”, and not for “transgendered women”.
Usefyl old “e”. Helps to tell folks apart.
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