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A Quick Appreciation of the Sharpe Ratio

The current state of the global financial markets has gotten more people than usual worrying about the technical aspects of finance. One method for reasoning about investment returns and risk is a tool called the Sharpe Ratio. It is well worth reviewing this measure and seeing how, if used properly, […]

Betting Best-Of Series

Betting Best of Series is a new expository paper describing the mathematics involved in betting on something like the United States’ Major League Baseball World Series. It isn’t so much about baseball as about demonstrating some of the really great ideas from mathematical finance in a simplified setting. This sort […]

Is Search Advertising a Market for Lemons?

author: John Mount, 5-13-2008 Anand Rajaraman recently wrote a very thought-provoking entry on his Datawocky blog. He asks “Is Search Advertising a Giffen Good?” As he explains a Giffen Good is a sort of economic doomsday machine that some segment of consumers are forced to buy more of an inferior […]

Paper on stock trading

author: John Mount I have finally written up and released a paper in PDF: Automatic Generation and Testing of Trades describing a lot of the statistics and optimization methods used when I was technical trading on a Banc of America Securities proprietary program trading desk.  It was a very exciting […]