Paul's Blog

The New Empress’s Clothes

I apologize in advance for this mini blog. But you all now expect me to get things off my chest, and I do like to tell it how I see it. Nevertheless this still pains […]

Paul's Blog

Control Reversal

There’s a well known phenomenon in aerodynamics in which a plane’s flight controls appear to do the opposite of what is intended. This can happen at high speed, for example. (I have a vague memory […]

Paul's Blog

Copulas and Cults

Felix Salmon has written an interesting piece on the copula model. Naturally the model does not come out well. He quotes me, accurately, as disapproving, to put it mildly, of models that depend on correlations […]

Paul's Blog

In Praise of Ponzi

Well not really, of course. But there are some people quietly sitting pretty… As it becomes generally accepted that the economy of the west is a giant Ponzi scheme, one should reflect on its positive […]

Paul's Blog

Financial Modelers’ Manifesto

The Financial Modelers’ Manifesto Preface A spectre is haunting Markets – the spectre of illiquidity, frozen credit, and the failure of financial models. Beginning with the 2007 collapse in subprime mortgages, financial markets have shifted […]