One of the main characteristics of the last few years is the increasing availability of statistical information on many aspects of individual decisions and participation to economic and financial life. This has become a boon to statisticians as the basis of data-based inference, estimation of models and forecasting has been, since the advent of statistical tools that more data (more evidence) is better than less data.
Firms that harness the potential of large datasets are more at ease to evaluate the relevance of their policy decisions, the risks they incur and their consequences.
Yet, this is not so simple, an argument showing how increasing data availability does not lead to better statistical decision making can be traced to the work of Benoît Mandelbrot (e.g....
Les réseaux sociaux nous ciblent de façon toujours plus pointue et ne nous font parvenir que les informations qui nous conforteront dans nos propres opinions. Des moyens pour lutter contre simplifications et désinformation existent.
Mon intervention aujourd'hui sur France Info ("un jour une question" par Emmanuel Davidenkoff, en réécoute ici) porte sur l'effet Joseph.
Il s'agit d'un phénomène de persistance sur de très longues périodes, de tendances de long terme qu'on appelle "Longue Memoire". Le nom "effet Joseph" a été proposé par Benoît Mandelbrot, le père des factales, car aux phénomènes de longue mémoire sont associés des mouvemements Browniens fractionnaires. Joseph était un esclave hébreu qui a interprété le rêve de Pharaon de sept vaches grasses chassées par sept vaches maigres: ce rêve correspondait à sept années de récoltes fastes suivies de sept années de disette. Il est lié à la périodicité de long terme des crues du Nil (car les crues permettaient d'enrichir les berge...
Over a decade ago, James Martin, the highest-selling author of books on computing and related technology gave £60 millions to the University of Oxford to set up a School for the 21st Century.
James Martin had written over 104 textbooks than any other person – 104, many of which have been seminal in their field. The revenue from his books and associated lectures and videos provided the funds for establishing the Oxford Martin School at Oxford University.
In 2007, he wrote "The Meaning of the 21st Century" which aims to address the technological, political, ethical, economic, social, and environmental issues of our times.
Now the Martin School is a quite a unique project that brings together researchers, policymakers, practitioner...
On September 25, Frédérique Bec from Théma (University of Cergy-Pontoise), Anders Rahbek (University of Copenhagen) and myself organized a workshop in our ESSEC campus in La Défense.
Among the presenters, who were mostly working on theoretical models for time series, Jesus Gonzalo (Universidad Carlos III, Madrid) showed us some interesting results based on a series of daily temperature recordings in a station in Oxfordshire, UK.
The interesting feature of this temperature series is that it is consistent: measurements have been performed using a similar technique since the 18th Century. This is great as often, studies on long term temperatures face issues dealing with data compatibility over time.
One of the conclusion of Jesus Gonzalo's work (joint with Lola...
I have now arrived in Aix-en-Provence for the 16th Oxmetrics user conference which gathers econometricians who work with or develop this software. I'm quite excited to know the new developments of autometrics, which is a great algorithm for econometrics in the presence of large datasets!
Today, Neil Ericsson showed us how he could read the minds of the Governors of the Federal Reserve, Siem Jan Koopman on how to handle mixed frequency datasets in a novel way. Felix Pretis used the Step indicator saturation (SIS) technique to assess time-varying predictive accuracy. James Reade had an intesting application on Twitter and the so-called biggotgate by the UK Prime Minister.
Isaac Asimov, one of the masters of Anticipation, aka Sci-Fi, invented the concept of Psychohistory in his novel FOUNDATION (1951). Well, I believe what psychohistory is really describing is (macro)econometrics when it works perfectly, if it ever does.
Indeed, if I quote wikipedia's description of psychohistory, it relies on the following axioms:
Psychohistory depends on the idea that, while one cannot foresee the actions of a particular individual, the laws of statistics as applied to large groups of people could predict the general flow of future events. [...]
Asimov applied this concept to the population of his fictional Galactic Empire, which numbered a quintillion. The character responsible for the science's creation, Hari Seldon, established two axioms:...
Here is a post that I wrote for ESSEC Knowledge in October 2014. It is still up to date!
When Claude Allegre published his book L’imposture climatique (The Climatic Fraud) in 2010, he questioned mankind’s role in global warming. Today, few scientists would doubt that man has played a major role in climate change. It might seam obvious: since the industrial revolution, we have produced huge amounts of gases. Meanwhile, global temperatures have risen.
That said, over the last fifteen years, the rise in temperatures appears to have slowed or paused. This is little known to the general public – we sometimes call it a global warming hiatus. Several explanations have been proposed for this slowdown: it could be due to a cyclical reduction in solar activity or an i...
The NBER Summer Institute has started again and economists from around the world are now congregating in Boston to discuss their recent work. I wrote last year on the topics that people were interested in. Greece is clearly at the center of discussions and we had today a very intesting interaction with the Governor of the Bank of Japan. There will be a special session on the Greek crisis on Thursday and I'm looking forward to it.
I mostly go to the Econometrics and Forecasting group whose presentations started this morning with in particular Marcelo Medeiros from PUC-Rio on Adaptive Lasso, an interesting method for big data applications. Giorgio Primiceri from Northwestern also presented an interested approach to Bayesian Priors for deterministic terms in VA...