April 22, 2009
student projects in SI544
Another semester is almost over - yay!
There were quite a few fun mini-projects in my stats class - from debunking Mac and PC stereotypes, to work/life balance (it's not as hard as you think), to showing that NBA allstars earn their votes with good play.
Check them out here.
April 08, 2009
my first paper on financial networks
This project was really fun. I got to collaborate with Andrei Kirilenko, Celso Brunetti, Jeff Harris (+ Paul Tsyhura,) at the CFTC (Commodity Futures Trading Commission) on the properties of time series of network metrics on automatically matched brokers trading futures contracts. Way fun. I had never seriously done time series analysis, and admittedly that big fat recently purchased book on the econometrics of financial time series is still sitting around largely unread. But I digress... What's really neat is that you can see the flow of information into the market reflected in the network variables. The methods we developed can hopefully be used in the future to detect market manipulation and such.
Available as a preprint: "On the informational properties of trading networks"