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January 7, 2006
An unusual collaboration between a mathematician, a cardiologist and a real estate broker has produced www.mathestate.com, an interactive web site that offers risk managers tools previously available only to the most sophisticated analysts employed by the world’s largest financial institutions.The general subject this internet application covers is heavy tails, an area of active research in financial markets. One way to represent heavy tail data is using stable distributions. Last November the Bundesbank held a conference to showcase recent work in the field.
In 1999 global financial markets suffered a near meltdown described in a book by a WSJ reporter. Some believe that this and other (Barings Bank, Orange County, etc) expensive financial mistakes could be avoided by employing analysis that more accurately models large fluctuations in prices.
For more information e-mail rjb@imojim.com.
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Roger J. Brown
PO Box 1146
Alpine CA 91903-1146
rjb21@imojim.com