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January 16, 2014

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Nice post

It is possible to use Dionysus (which is much faster) from R
Instructions are here:

http://www.stat.cmu.edu/~flecci/research/index.html

How soon will Vegas have odds that using TDA will enable someone like Li to make something like his copula to blow up what's left of the world's economy?

I, too, was in grad school (Econ) in the mid '70s, and the result was the capture of the field by the micro/math faction, which all served to support the distributional shift (mess) we have today. Math and data are fine tools, but only reliable when the underlying system obeys Mother Nature's rules (i.e., Newton/Einstein/Heisenberg), which are immutable (although we didn't always know, for sure, what they were). Finance math/stat/quant analysis is victim to humans changing the rules at a whim. Oft times, it is these analyses which manifest the rule change. They ain't no Brownian Motion in human endeavors.

Great links. Excellent introduction to an extremely difficult topic that seems to offer much. Well done, do more.

Awesome post. Didn't know about the phom package. Will use it in a project I have in mind.

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