Asset Pricing [9a : Regime Switching] | Alpha Hive ::

Asset Pricing [9a : Regime Switching] | Alpha Hive provides an overview of the HMM.  There are reproductions of a paper by Kirtzman et al in the Financial Analysts journal.  That is gated.

"One point of departure between my and QP’s post relates to the library/package used to estimate the hidden markov model. While QP used the RHmm package, I can only use the depmixS4 package (RHmm seems to be incompatible with newer versions of R…at least for me). As far as I can tell,the depmixS4 package does not support forecasting which means that I will probably not be able to take a gander at the out-of-sample issues alluded to above"

The starting point for this is the discussion on stack exchange.

Why does the volatility smile flatten as maturities increase? - Quantitative Finance Stack Exchange

Why does the volatility smile flatten as maturities increase? - Quantitative Finance Stack Exchange: "First, I can't find a purely "financial" explanation for this.

Also the only mathematical explanation I've found so far was using the large deviations theory, which is quite complex.

Is there a rather simple mathematical explanation ?

Thanks !"



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Mr. Spearman or how to explore changes in trends

Mr. Spearman or how to explore changes in trends discusses the evolution of baby names, identifying break points and the use of the spearman coefficient:

"So what I need is a way of measuring how similar two ranked lists are… And good news! this metric exists and is provided by the Spearman’s Correlation Coefficient for Ranks (SCCR) -BTW, the Kendall correlation coefficient does the job as well-.
For each year, I computed the SCCR value with all other years split by gender. I created a scattered plot where the size and the transparency of each point is determined by the SCCR value. Intuitively if we have a look at the diagonal, bigger opaque points together form a cluster where the trend persists and places with almost no color in this diagonal represent trend interruption."

There should be a way to apply this to the MPC voting.  The order could be the dove to hawk and the change in personnel would be the equivalent to new members of the committee.

How a lone hacker shredded the myth of crowdsourcing — Backchannel — Medium

How a lone hacker shredded the myth of crowdsourcing — Backchannel — Medium: "Luckily for platforms like Wikipedia or Amazon’s Mechanical Turk, the prospect for longer-term crowdsourcing projects are not so bleak. Game theorists have found that systems where individuals can build up a good reputation, are (probably) not as prone to devastating attacks from within."



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