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David Harris's blog post was featured

Tool induced arbitrage opportunities, also, how to cut cakes.

How should an estimator be chosen?  The academic training of economists and finance professionals has traditionally favored the minimum variance unbiased estimator (MVUE).  Sometimes, the maximum likelihood estimator (MLE) is chosen.  From time to time, the method of moments (MOM) or the generalized method of moments (GMM) is used.  Because of its subjective nature, Bayesian methods are rarely used. The problem with this hierarchy is that it is preference-based and ignores the axiomatic…See More
Thursday
Anthony Fiedler liked David Harris's blog post If not mean-variance finance, then what?
Jul 24
David Harris posted a blog post

If not mean-variance finance, then what?

I want to apologize to my small audience for being so long in waiting to post a blog post.  My goal had been one per week, but life intervened in the meantime.  While I have tried to be productive, the blog post fell by the wayside.  I did write a couple of short stories, I must confess.  I wrote How to Engage in Counterespionage Operations Against Ghosts because I grew up watching Sherlock Holmes movies and the Twilight Zone.  I wrote a small set of short stories about the first day of the…See More
Jul 18
David Harris's blog post was featured

If not mean-variance finance, then what?

I want to apologize to my small audience for being so long in waiting to post a blog post.  My goal had been one per week, but life intervened in the meantime.  While I have tried to be productive, the blog post fell by the wayside.  I did write a couple of short stories, I must confess.  I wrote How to Engage in Counterespionage Operations Against Ghosts because I grew up watching Sherlock Holmes movies and the Twilight Zone.  I wrote a small set of short stories about the first day of the…See More
Jul 18

Profile Information

Short Bio
Economist that works with distributions that lack a first moment for implementations in things such as the stock market.
Field of Expertise
Business Analytics, Other
Professional Status
Consultant
Years of Experience:
20
Your Job Title:
Consultant
How did you find out about DataScienceCentral?
LinkedIn
Interests:
Contributing, Networking, Finding a new position, New venture

David Harris's Blog

Tool induced arbitrage opportunities, also, how to cut cakes.

Posted on November 5, 2019 at 8:30pm 0 Comments

How should an estimator be chosen?  The academic training of economists and finance professionals has traditionally favored the minimum variance unbiased estimator (MVUE).  Sometimes, the maximum likelihood estimator (MLE) is chosen.  From time to time, the method of moments (MOM) or the generalized method of moments (GMM) is used.  Because of its subjective nature, Bayesian methods are rarely used.

 

The problem with this hierarchy is that it is preference-based and ignores…

Continue

If not mean-variance finance, then what?

Posted on July 16, 2019 at 12:45pm 0 Comments

I want to apologize to my small audience for being so long in waiting to post a blog post.  My goal had been one per week, but life intervened in the meantime.  While I have tried to be productive, the blog post fell by the wayside. 

 

I did write a couple of short stories, I must confess.  I wrote How to Engage in Counterespionage Operations Against Ghosts because I grew up watching Sherlock Holmes movies and the Twilight Zone.  I wrote a small set of short stories…

Continue

Data Science, Common Stocks and V&V

Posted on December 27, 2018 at 7:32pm 0 Comments

I thought I would follow on my first blog posting with a follow-up on a claim in the post that going returns followed a truncated Cauchy distribution in three ways.  The first way was to describe a proof and empirical evidence to support it in a population study.  The second was to discuss the consequences by performing simulations so that financial modelers using things such as the Fama-French, CAPM or APT would understand the full consequences of that decision.  The third was to discuss…

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A generalized stochastic calculus

Posted on December 10, 2018 at 2:00pm 0 Comments

In 1963 Benoit Mandelbrot published an article called “The Variation of Certain Speculative Prices.”  It is a response to the forming theory that would become Modern Portfolio Theory.  Oversimplified, Mandelbrot’s argument could be summarized as “if this is your theory, then this cannot be your data, and this is your data.”  This issue has haunted models such as Black-Scholes, the CAPM, the APT and Fama-French.  None of them have survived validation tests.  Indeed, a good argument can be…

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