This lecture follows on from last week's rant about Zombie models in finance. Lecture notes are here. Having looked briefly at EMH, APT, CAPM, and Black Scholes, it now makes sense to look at real world data and how we might go about learning from it in some way. We'll be using Mathematica demonstrations and some real financial data to try and make sense of the maths. As with last week, there will be lots of drawing in this lecture, so please come prepared (and caffeinated). The lecture draws on this paper with Dr Fergal O'Brien, it's a little technical, but you'll get the idea after the lecture. Click on the Mathematica demonstration below to get an idea of the stuff we'll be looking at.
