Introduction[1. Note: The results in this post stem from joint work I am conducting with Anmol Bhandari for our paper "Model Selection Using the Term Structure of Risk". In this paper, we characterize the maximum Sharpe ratio allowed by an asset … [Continue reading]
Plotting Geographic Densities in R
I show how (here) to create a heat map of the intensity of home purchases from 2000 to 2008 in Los Angeles County, CA using a random sample of 5000observations from the county deeds records. I build off of the code created by David Kahle for Hadley … [Continue reading]
How to Geocode Addresses Using the Yahoo! PlaceFinder API
This post contains a link (here) to a python program which geocodes a large number of addresses using the Yahoo! PlaceFinder API. This program manages both the use of the API IDs as well as which files have been completed. The code can also be easily … [Continue reading]
Random Effects Decomposition
Motivation I work through the error components econometric model outlined in Amemiya (1985). I use Hayashi (2000) as a reference text. I work through this example because I use this model in my working paper with Chris Mayer on bubble identification … [Continue reading]
Recurrence in 1D, 2D and 3D Brownian Motion
Introduction I show that Brownian motion is recurrent for dimensions $d=1$ and $d=2$ but transient for dimensions $d \geq 3$. Below, I give the technical definition of a recurrent stochastic process: Definition: (Recurrent Stochastic Process) Let … [Continue reading]