Newsletter: The Dispersion Index - A new measure of risk
A complement to the VIX.
Topic
Newsletter
A collection of 15 issues
Newsletter: Crossing the Threshold - Classifying the Market State
Turning time series into classifiers using ROC analysis.
Newsletter: On Non-Periodic Cycles for Market Analysis
Detecting and measuring non-periodic cycles is crucial.
Newsletter: Financial Instability-A Question of Leverage
How do we distinguish between good and bad leverage? Previously unpublished research.
Newsletter: Choosing Binary Classification Factors
Using the on-off switch for market risks.
Newsletter: The Fractal Market Hypothesis, the Infinite Variance Syndrome and the Nature of Risk
Markowitz and Mandelbrot were both right. Previously unpublished research.
Newsletter: Is the bond market going wayback?
A recent article in the Wall Street Journal suggested that it might be a good time to discuss the Inflation Level Regime Indicator (ILRI) and what it means for bond yields. In that article the author says that the "rule of thumb was that 10-year Treasury yields should be
Newsletter: El Nino and Commodities
The El Nino Southern Oscillator appears to affect the demand for oil and the supply of grains.
Newsletter: Fuzzy Sets and AI - Measuring Market Uncertainty
As complexity rises, precise statements lose meaning and meaningful statements lose precision. - The Law of Incompatibility, Lofti Zadeh
In this month’s newsletter, I’m discussing the use of fuzzy set principals embedded in the Market Climatology model. Fuzzy sets are a sub-set of artificial intelligence (AI) that mimics
Newsletter: Murphy's Law Meets Hyman Minsky
As Gilda Radner said, "It's always something."