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All Blog Posts Tagged 'stochastic' (2)

An Ornstein-Uhlenbeck model for pandemics. (pip install pandemic)

This is a longer form followup to my post describing the open source pandemic package on PyPI (with Python code also available on Github). You can use the code to simulate millions of people moving about in two dimensions, crossing paths and, unfortunately, getting sick.

This video illustrates the dynamic with a toy sized town of fifty people. Watch how transmission takes place. You might even discern commuting and households.…

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Added by Peter Cotton on April 13, 2020 at 12:00pm — No Comments

A generalized stochastic calculus

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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Added by David Harris on December 10, 2018 at 2:00pm — No Comments

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