Most fresh graduates from business schools and mathematical finance programs quickly awake to a shocking realization: Very little of what they learned during their studies is applied in the real world. There is a disconnect between the academics and practitioners of finance. Very few practitioners get involved in academic activity, and some academics consider practical experience as beneath them, something that would pollute their credentials.
It is a fascinating state of affairs, without much parallel in other disciplines. Most physicists and many mathematicians regularly get involved in solid applied mathematical projects, often working in laboratories side by side with
Continue reading The Two Towers of Finance
For many years, educators in the U.S. have been able to do little more than cry at the disappointing test scores. For example, in the 2011 Trends in International Mathematics and Science Study (TIMSS), which tests mathematics and science, U.S. eighth graders ranked 11th in mathematics and 10th in science. While not disastrous, these scores are not very impressive for a nation that claims to be the world’s preeminent force in science and technology.
By comparison, Australian eighth graders ranked 19th in mathematics and 12th place in science. In Europe, Ireland, Belgium, Finland, England and Russia did fairly well in
Continue reading Massachusetts leads the way in science and math education
Sloppy science
The world of economics was shaken two weeks ago with the report that a key paper and accompanying book in the field of macroeconomics (which have been cited by Paul Ryan and by other politicians internationally in their calls for austerity and debt reduction) is in error, the result of a faulty Excel spreadsheet and other mistakes, all of which could have been found had the authors simply been more open with their data.
Yet, experimental error and lack of reproducibility have dogged scientific research for decades. Recall the case of Nrays (supposedly a new form of radiation)
Continue reading Fraud, foolishness and error in scientific research
Harvard faculty Carmen Reinhart and Kenneth Rogoff are two of the most respected and influential academic economists active today.
On April 16, 2013, doctoral student Thomas Herndon and professors Michael Ash and Robert Pollin, at the Political Economy Research Institute at the University of Massachusetts Amherst, released the results of their analysis of two 2010 papers by Reinhard and Rogoff, papers that also provided much of the grist for their 2011 best seller Next Time Is Different. The ReinhartRogoff papers had analyzed economic growth rates spanning nearly two centuries, in numerous different nations, and concluded that when the ratio of
Continue reading Reliability, reproducibility and the ReinhartRogoff error
It has been conventional wisdom that computing is the “third leg” of the stool of modern science, complementing theory and experiment. But that metaphor is no longer accurate. Instead, computing now pervades all of science, including theory and experiment. Nowadays massive computation is required just to reduce and analyze experimental data, and simulations and computational explorations are employed in fields as diverse as climate modeling and research mathematics.
Unfortunately, the culture of scientific computing has not kept pace with its rapidly ascending preeminence in the broad domain of scientific research. In experimental research work, researchers are taught early the importance
Continue reading Reproducible science in the computer age
This blog is operated by:
David H. Bailey, recently retired from the Lawrence Berkeley National Lab; also affiliated with the University of California, Davis: DHB website. Jonathan M. Borwein, Laureate Professor and Director, Priority Research Centre for ComputerAssisted Research Mathematics and its Applications (CARMA), University of Newcastle, Newcastle, Australia: JMB website. Marcos Lopez de Prado, Senior Managing Director, Guggenheim Partners: MLDP website. Qiji Jim Zhu, Professor of Mathematics, Western Michigan University: QJZ website.
This blog, and the associated Website, are devoted to research in financial mathematics, computational aspects of financial mathematics, and the larger realm of computing, science and society.
Continue reading Welcome to the Mathematical Investor blog!

