Spring 2022

SEM217: Ricardo Fernholz, Claremont McKenna College

Tuesday, February 1st @ 11:00-12:30 PM (ONLINE)

The Universality of Zipf's Law

Ricardo Fernholz, Claremont McKenna College

Abstract: A set of data with positive values follows a Pareto distribution if the log–log plot of value versus rank is approximately a straight line. A Pareto distribution satisfies Zipf's law if the log–log plot has a slope of −1. Since many types of ranked data follow Zipf's law, it is considered a form of universality. We show that time-dependent systems with growth and variance parameters that...

SEM217: Cancelled

Tuesday, February 22th @ 11:00-12:30 PM

SEM217: Cancelled

Tuesday, February 15th @ 11:00-12:30 PM (ONLINE)

SEM217: David Bailey, UC Davis

Tuesday, January 25th @ 11:00-12:30 PM (ONLINE)

"Why financial research is prone to false statistical discoveries"

David H Bailey, Lawrence Berkeley National Lab (retired) and University of California, Davis

Abstract: It is a sad fact that few investment funds, models or strategies actually beat the overall market averages over, say, a 10-year window. Even in academic research work, care must be taken to avoid statistical pitfalls,...