The Mathematical Investor blog has moved to

Thanks for reading the articles on this blog.

It is our pleasure to announce that the Mathematical Investor blog now has its own domain, appropriately named Existing posts (back to 1 January 2016) on this blog have been copied to the new blog, and beginning on 11 August 2017, all future posts will be posted to the new blog.

We look forward to seeing you at soon!

MAFFIA paper receives the “Silver Bullet” award

We have learned that two of our MAFFIA group (Bailey and Lopez de Prado), together with Jonathan Borwein (posthumously) and Amir Salehipour, were awarded the “Silver Bullet” award (from the “Dash of Insight” group) for our article “Evaluation and ranking of market forecasters.”

See the entry for 5/20/2017 HERE.

(Only Bailey’s name was listed at the above URL, but all authors should be equally credited.)

Our preprint manuscript is available HERE.

Mathematics and economics: A reality check

One of us (Marcos Lopez de Prado) has published the article Mathematics and economics: A reality check in the Journal of Portfolio Management. The article is open-access — there is no fee for viewing or downloading.

Lopez de Prado argues that while economics is arguably one the most mathematical of the social sciences, the mathematical methods of economists may not be up to the task of modeling the complexity of the social institutions and the business/finance world. Outdated and inappropriate statistical methods are of particular concern, with economists and econometricians often drawing very dubious conclusions from the available data.


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The Mathematical Investor named one of Top 100 Math Blogs

The Mathematical Investor was recently named one of the Top 100 Math Blogs for students and teachers of mathematics, by Feedspot. The full list of the top 100 math blogs can be found HERE. We were awarded this “badge”:

Three of the all-time top ten SSRN Econometrics:Math papers are from the MAFFIA

The Social Science Research Network’s Econometrics: Mathematical Methods and Programming eJournal distributes working and accepted paper abstracts in the area of mathematical methods applied to econometrics. The journal maintains a list of the All Time Top Ten Papers of the journal, based on total download counts from the journal’s SSRN website from January 2, 1997 through the current date. The current top ten list is shown below, together with download counts as of June 3, 2015. These are selected out of a current total of 4,201 papers.

We note with some measure of satisfaction that three papers from this list,

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Bailey and Borwein give talks on integrity and reproducibility in mathematical finance

On 12 July 2014, David H. Bailey and Jonathan M. Borwein (two of the bloggers on this site) presented the talk Scientific Integrity in Mathematical Finance at the Workshop on Optimization, Nonlinear Analysis, Randomness and Risk, held at the Centre for Computer-Assisted Research Mathematics and its Applications (CARMA), University of Newcastle, Australia. The viewgraphs for the talk are available here.

In this talk, Bailey and Borwein summarize research outlined in their paper (co-authored with Marcos Lopez de Prado and Qiji Jim Zhu), Pseudo-mathematics and financial charlatanism: The effects of backtest overfitting on out-of-sample performance. The talk also includes a series

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New York Times features story on James Simons

On 7 July 2014, the New York Times ran a feature story on James H. Simons, the well-known geometer, hedge fund founder, billionaire and philanthropist. Here are some of the fascinating facts uncovered in the Times story and elsewhere:

Simons was born in 1938 in Newton, Massachusetts, the son of a shoe factory owner. Simons graduated from the Massachusetts Institute of Technology in three years, then received his Ph.D. in mathematics from U.C. Berkeley in three more years, finishing at the age of 23. Simons worked on cryptographic mathematics at the Institute for Defense Analyses in Princeton, New Jersey, but

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