scripts - How to make my system delete all the files in a certain directory older than a certain time while keeping the directory structure intact? - Ask Ubuntu

scripts - How to make my system delete all the files in a certain directory older than a certain time while keeping the directory structure intact? - Ask Ubuntu: "have a directory on my machine, think of it as my own sort of tmp directory, but it's in my ~ directory. And I want to make it so that my system every 3 hours deletes all the files in (though keeping any directory structure intact, but still deleting all the files in all the levels of the directories recursively) that directory which are older than a da"



Lot of good information about automating repetitive tasks.,



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Models of the minimum wage (for what they’re worth) | Jared Bernstein | On the Economy

Excellent overview: Jared Bernstein Blod

"Thee recent minimum wage debates among the various campaigns are pretty disconnected from a model of how the damn thing actually works in the real world. In part, that’s a function of campaigns not doing nuance, but it’s also because there is no model that economists agree on as per why the empirical results on minimum wage increases are so different from the predictions of the classical model."

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Crowdfunding or Crowdphishing? by Robert J. Shiller - Project Syndicate

Crowdfunding or Crowdphishing? by Robert J. Shiller - Project Syndicate: "NEW HAVEN – If one were seeking a perfect example of why it’s so hard to make financial markets work well, one would not have to look further than the difficulties and controversies surrounding crowdfunding in the United States. After deliberating for more than three years, the US Securities and Exchange Commission (SEC) last month issued a final rule that will allow true crowdfunding; and yet the new regulatory framework still falls far short of what’s needed to boost crowdfunding worldwide."



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Three centuries of macroeconomic data | Bank of England

Three centuries of macroeconomic data | Bank of England: "The three centuries dataset was originally constructed for the purposes of writing the 2010 Q4 Quarterly Bulletin article The UK recession in context — what do three centuries of data tell us?.  It was updated and expanded for the launch of the One Bank Research Agenda in February 2015 and the latest edition of the spreadsheet (version 2.2) has now been updated to 2014."



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Showcase of beautiful typography done in TeX

big list - Showcase of beautiful typography done in TeX & friends - TeX - LaTeX Stack Exchange: "If you were asked to show examples of beautifully typeset documents in TeX & friends, what would you suggest? Preferably documents available online (I'm aware I could go to a bookstore and find many such documents called 'books'). Extra bonus for documents whose LaTeX source is available."



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Short and long presentations in one beamer document - TeX - LaTeX Stack Exchange

Short and long presentations in one beamer document - TeX - LaTeX Stack Exchange: "I look for a sensible way to keep different versions of the same talk in one beamer file: e.g., 15 min and 1 hour versions, where some content is common, but some is not. Is there a nice way to toggle between versions?"



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portfolio management - Which algorithms do robo-advisors use? - Quantitative Finance Stack Exchange

A good overview of the quantitative fund management.



portfolio management - Which algorithms do robo-advisors use? - Quantitative Finance Stack Exchange: "Wealthfront modifies historic asset-class returns with current market implied expected returns (Black-Litterman) as well as with the in-house views of Chief Investment Officer Burton Malkiel’s team. In addition, Wealthfront sets minimum and maximum weights for each asset type. The resulting portfolio has an unmistakable Malkiel flavor to it, with an emerging market allocation that reflects his interest in China."



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How humans can wrest control of the markets back from computers - FT.com

How humans can wrest control of the markets back from computers - FT.com: "Yes, you read that right: according to CFTC researchers, on three dozen occasions prices for West Texas Intermediate crude have gyrated so dramatically that they have been defined as flash crashes. This means prices swung 200 basis points in less than an hour, before recovering at least 75 basis points."



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How does rehypothecation cause systemic risk? - Quantitative Finance Stack Exchange

How does rehypothecation cause systemic risk? - Quantitative Finance Stack Exchange: This is all about the re-used of repos.

"Re-hypothecation occurs when banks or broker-dealers re-use the collateral posted by clients such as hedge funds to back the broker's own trades and borrowing."

This is an interesting story to add to the general trading game. It is also interesting for the regulation of finance post-crisis.

How NOT to Wipe Out with Momentum

How NOT to Wipe Out with Momentum:

"The crashes periodically experienced in a momentum strategy can be significant, as Figure 2 shows. The relentless upward climb of prices depicted in Figure 1 disguises (thanks to the log-scale of the chart) the sudden and abrupt drawdowns that a momentum investor must live with. These drawdowns usually occur following periods of heightened volatility, typically a function of a crisis event. Since 1927, drawdowns have generally been under 20%, but the granddaddy of all drawdowns was the 74% plunge in prices in the aftermath of the Great Depression. In the last 15 years, the U.S. equity market has been visited with two major negative momentum events: the first, a 31% drawdown after the tech bubble burst in 2000, and the second, a 57% drawdown, in the wake of the 2008 global financial crisis. "

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Hayek, The Use of Knowledge in Society | Library of Economics and Liberty

Hayek, The Use of Knowledge in Society:



The dispersion of knowledge and the use of the market.

"It is a curious fact that this sort of knowledge should today be generally regarded with a kind of contempt and that anyone who by such knowledge gains an advantage over somebody better equipped with theoretical or technical knowledge is thought to have acted almost disreputably. To gain an advantage from better knowledge of facilities of communication or transport is sometimes regarded as almost dishonest, although it is quite as important that society make use of the best opportunities in this respect as in using the latest scientific discoveries."

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The 'Flash Boys' Exchange Is Growing Up - Bloomberg View

The 'Flash Boys' Exchange Is Growing Up: HFT and market delays.

"On the other hand it does feel a little weird to protect quotes that you can't instantly trade against. If a market delayed orders by 10 minutes, instead of 350 microseconds, it would be sort of unfair to force investors to trade there rather than take an apparently inferior but immediately available price elsewhere. And this is something that the SEC has actually thought about. The order protection rule is Rule 611 of Regulation NMS, which requires a trading center "to prevent trade-throughs on that trading center of protected quotations." Those terms are defined in Rule 600; the meaning for our purpose is that an exchange can't execute a trade at a price lower than the best bid (or higher than the best offer) of any displayed "automated quotation" on another exchange. An "automated quotation" is one displayed on an exchange that "immediately and automatically" responds to incoming orders. And the SEC, in adopting Regulation NMS, had this to say about that requirement:"

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Information Transfer Economics: The emergent representative agent

Information Transfer Economics: The emergent representative agent.

 "This maximum entropy view reproduces the basics of the utility maximization model without the utility. In fact, utility can be seen as emergent [2]. And since utility, a real number, can be used to describe the solutions (equilibria) we see in the maximum entropy view we see that transitivity (or GARP, both equivalent to real number utility) is an emergent property of the emergent representative agent. This is important: transitivity is explicitly not true of the individual agents -- they have random consumption baskets that they have revealed they prefer! Their preferences are not transitive -- they aren't even stable! Agent 9000 prefers A to B one day and B to A another."

The representative agent is not real but a composite of all the diverse individuals in the economy and therefore the behaviour of the representative agent is emergent.

On-line lenders

FT looks at on-line lenders and the tendency to seek institutional funds and to make money only from the intermediation. 

Take Lending Club, for instance. In the second quarter, it had revenues of $96m, of which $86m came from transaction fees. Strip those out and you would have almost nothing to pay the company’s $100m in expenses. Were it to slow or stop lending, the losses would quickly pile up.

Though this is worrying for Lending Club and the investors, it is not such a systematic issue as it does not leave bad loans and a weakened financial institution.  It suggests that an adjustment would be clean and swift. 

European banks: loss recognition — FT.com

European banks: loss recognition — FT.com:  Lex looks at the new accounting provision for loans.

 "Bad loans are made in good times. And the International Accounting Standards Board wants banks’ expected credit losses to be recognised far sooner than they were in the crisis. Today’s practice is to make an initial provision when a loan payment is missed. IFRS 9, which takes effect in 2018, will force banks to make one when a loan is first granted, and top it up if risks mount. Standardised reporting should improve comparisons between banks, the thinking goes."

The aim seems to be to make provision in the good times;  the more loans made, the higher the provision. This aims to reduce the amount of cyclicality in bank earnings.

Python Data Analysis Library — pandas: Python Data Analysis Library

Python Data Analysis Library — pandas: Python Data Analysis Library: "pandas is an open source, BSD-licensed library providing high-performance, easy-to-use data structures and data analysis tools for the Python programming language"



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Macroeconomic models and estimation

Angry Bear asks, How Many Equations Should There be in Macroeconomic Models ? in an assessment of the relative merits of Cowles Commission, VAR and DSGE models.  

"This post is long. The punchline is that I think that a promising approach would be to combine CC models with a pseudo prior that a good model is not too far from a standard DSGE model. This is the sort of thing done with high dimensional VARs using the so called Minnesota prior."

Part of the rational expectations, macroeconomic debate.

Book extract: ‘The Silo Effect’, by Gillian Tett - FT.com

Book extract: ‘The Silo Effect’, by Gillian Tett - FT.com:

 "First, they were organising the company into discrete project teams, dedicated groups to perform tasks. A company such as Facebook needs silos, in the sense of specialist departments and teams, simply to get its work done. Project groups were needed for focus and accountability. But the second aim of Bootcamp was to overlay those project teams with another set of informal social ties not defined by the formal department boundaries. This, it was hoped, would prevent the project teams from hardening into rigid, inward-looking groups and ensure that employees felt a sense of affiliation with the entire company, not just their tiny group. “Boot camp [can foster] cross-team communication and prevent the silos that so commonly spring up in growing engineering organisations,” Boz said. Facebook was both creating the preconditions for silos and instilling systems to break down those silos."

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CPB World Trade Monitor June 2015

CPB World Trade Monitor reports "The volume of world trade expanded 2.0% in June 2015, following a 1.3% decline in May (initial estimate: -1.2%). This is shown by the CPB World Trade Monitor."



This is an excellent resource for exercises in digging into data.  What do the data show?  How are they measured?  What theories can be used to understand more about the data here?

A Tale of Two Liquidities - Bloomberg View

A Tale of Two Liquidities - Bloomberg View: "Now in some ways this is a weird thing to say. Traditionally, what we talk about when we talk about "liquidity" is something like "a market's ability to facilitate the purchase/sale of an asset without causing a change in the asset's price." If bond prices aren't changing much, despite all the sound and fury in the equity markets, then that seems like a sign that liquidity is unusually good."



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