Andrew Cooke | Contents | Latest | RSS | Previous | Next

C[omp]ute

Welcome to my blog, which was once a mailing list of the same name and is still generated by mail. Please reply via the "comment" links.

Always interested in offers/projects/new ideas. Eclectic experience in fields like: numerical computing; Python web; Java enterprise; functional languages; GPGPU; SQL databases; etc. Based in Santiago, Chile; telecommute worldwide. CV; email.

Personal Projects

Choochoo Training Diary

Last 100 entries

[Computing] Okular and Postscript in OpenSuse; There's a fix!; [Computing] Fail2Ban on OpenSuse Leap 15.3 (NFTables); [Cycling, Computing] Power Calculation and Brakes; [Hardware, Computing] Amazing Pockit Computer; Bullying; How I Am - 3 Years Post Accident, 8+ Years With MS; Collaboration request; [USA Politics] In America's Uncivil War Republicans Are The Aggressors; [Programming] Selenium and Python; Better Walking Data; [Bike] How Fast Before Walking More Efficient Than Cycling?; [COVID] Coronavirus And Cycling; [Programming] Docker on OpenSuse; Cadence v Speed; [Bike] Gearing For Real Cyclists; [Programming] React plotting - visx; [Programming] React Leaflet; AliExpress Independent Sellers; Applebaum - Twilight of Democracy; [Politics] Back + US Elections; [Programming,Exercise] Simple Timer Script; [News] 2019: The year revolt went global; [Politics] The world's most-surveilled cities; [Bike] Hope Freehub; [Restaurant] Mama Chau's (Chinese, Providencia); [Politics] Brexit Podcast; [Diary] Pneumonia; [Politics] Britain's Reichstag Fire moment; install cairo; [Programming] GCC Sanitizer Flags; [GPU, Programming] Per-Thread Program Counters; My Bike Accident - Looking Back One Year; [Python] Geographic heights are incredibly easy!; [Cooking] Cookie Recipe; Efficient, Simple, Directed Maximisation of Noisy Function; And for argparse; Bash Completion in Python; [Computing] Configuring Github Jekyll Locally; [Maths, Link] The Napkin Project; You can Masquerade in Firewalld; [Bike] Servicing Budget (Spring) Forks; [Crypto] CIA Internet Comms Failure; [Python] Cute Rate Limiting API; [Causality] Judea Pearl Lecture; [Security, Computing] Chinese Hardware Hack Of Supermicro Boards; SQLAlchemy Joined Table Inheritance and Delete Cascade; [Translation] The Club; [Computing] Super Potato Bruh; [Computing] Extending Jupyter; Further HRM Details; [Computing, Bike] Activities in ch2; [Books, Link] Modern Japanese Lit; What ended up there; [Link, Book] Logic Book; Update - Garmin Express / Connect; Garmin Forerunner 35 v 230; [Link, Politics, Internet] Government Trolls; [Link, Politics] Why identity politics benefits the right more than the left; SSH Forwarding; A Specification For Repeating Events; A Fight for the Soul of Science; [Science, Book, Link] Lost In Math; OpenSuse Leap 15 Network Fixes; Update; [Book] Galileo's Middle Finger; [Bike] Chinese Carbon Rims; [Bike] Servicing Shimano XT Front Hub HB-M8010; [Bike] Aliexpress Cycling Tops; [Computing] Change to ssh handling of multiple identities?; [Bike] Endura Hummvee Lite II; [Computing] Marble Based Logic; [Link, Politics] Sanity Check For Nuclear Launch; [Link, Science] Entropy and Life; [Link, Bike] Cheap Cycling Jerseys; [Link, Music] Music To Steal 2017; [Link, Future] Simulated Brain Drives Robot; [Link, Computing] Learned Index Structures; Solo Air Equalization; Update: Higher Pressures; Psychology; [Bike] Exercise And Fuel; Continental Race King 2.2; Removing Lowers; Mnesiacs; [Maths, Link] Dividing By Zero; [Book, Review] Ray Monk - Ludwig Wittgenstein: The Duty Of Genius; [Link, Bike, Computing] Evolving Lacing Patterns; [Jam] Strawberry and Orange Jam; [Chile, Privacy] Biometric Check During Mail Delivery; [Link, Chile, Spanish] Article on the Chilean Drought; [Bike] Extended Gear Ratios, Shimano XT M8000 (24/36 Chainring); [Link, Politics, USA] The Future Of American Democracy; Mass Hysteria; [Review, Books, Links] Kazuo Ishiguro - Never Let Me Go; [Link, Books] David Mitchell's Favourite Japanese Fiction; [Link, Bike] Rear Suspension Geometry; [Link, Cycling, Art] Strava Artwork; [Link, Computing] Useful gcc flags; [Link] Voynich Manuscript Decoded; [Bike] Notes on Servicing Suspension Forks

© 2006-2017 Andrew Cooke (site) / post authors (content).

Transparency Key

From: "andrew cooke" <andrew@...>

Date: Wed, 11 Feb 2009 18:09:31 -0300 (CLST)

http://www.cfapubs.org/doi/pdf/10.2469/faj.v65.n1.4

(PDF, quite simple).

Background:

http://optionarmageddon.ml-implode.com/2009/02/10/markowitz-on-asset-transparency/

http://ftalphaville.ft.com/blog/2009/02/11/52350/marking-to-markowitz

Good discussion at FT (and some random stuff, afaict).

"Gaussian copula derived correlation numbers" refers to how correlated
distributions are handled.  The first google hit for that term is apaper
that says in its abstract: "Gaussian copula is by far the most popular
copula used in the financial industry in default dependency
modeling. However, it has a major drawback — it does not exhibit tail
dependence,
a very important property for copula. The essence of tail dependence is
the interdependence when extreme events occur, say, defaults of corporate
bonds."

(Don't skip that last sentence above)

Andrew

Simpler Version of Above

From: "andrew cooke" <andrew@...>

Date: Sun, 15 Feb 2009 11:01:30 -0300 (CLST)

An easier-to-read article on the "Gaussian copula" etc:
http://www.nytimes.com/2009/01/04/magazine/04risk-t.html?_r=1

Andrew

Comment on this post