finance

Mentioned near the end, Reuters picked up our ECN launch last week: http://www.reuters.com/article/2012/05/09/finance-crowdfunding-idUSL5E8G50RB20120509

Gather 'round, R-users, forecasters, algo traders, and financial analysts.  The R in Finance conference is this Friday and Saturday, May 11 & 12, in Chicago.  All your favorite buzzwords, from algo trading, to data scientist, to big data, will be there---with talks given by the top experts in the R landscape.  Jeff Ryan's pre-conference session on processing full-market data looks particularly solid.

This is a project I'm pleased to have worked on with the Loft Finance team: http://europecrowdfunding.org/ The European Crowdfunding Network launched last week.  Its mission is to provide the groundwork for founding a European-wide Crowdfunding Association for funding startups and small businesses---using the power of P2P to get new ventures up and running.

There is a fantastic analysis using the Lending Club datastore to investigate and visualize the marketplace Lending Club blogged over at Dataspora.  As I've mentioned before, I'm intrigued with P2P finance as an emerging industry, and if we're lucky, as an alternative asset class.  As an emerging industry, we're seeing a number of different competitors rapidly enter and exit the industry, and regulations that fit it like a hand-me-down sweater, a little too big, clearly made for the problems of a different industry: the financial older brother they most resemble, but are distinct from.

For several months now, I've been putting together an automated econometric forecasting platform.  Using a simple ARIMA model, I've created a forecast for stock sectors to inform my own short-term option trades.  Despite being a statistical model, rather than a foundational one about informationally poor stocks, I found it useful for my purposes---though I make no promises about yours---and developed this infrastructure in order to share it online.  Even if you're not interested in stock market movements, the further utility of the platform is as a demonstration of the capabilities of reports automation: this platform runs an analysis every day, makes forecasts, charts, typesets instructions and accompanying advertizements, and publishes them to PDF and in an animated gallery online.  This is an analysis that once automated, never again needs human intervention.  That's a powerful thing, especially in how it frees this human to solve new problems.

Here it is: http://www.designandanalytics.com/ARIMA-Sectors  And here is where to sign up for the newsletter providing coverage.

Working on a project on asset allocation right now, and discovered two excellent references.  The first is a solid guide and introduction to implementing the Black-Litterman model: http://www.blacklitterman.org/. This reference provides useful implementations in both Excel and Matlab, as well as a discussion of the inputs.  The discussion of the controversial and elusive Tao term is particularly helpful.

I'm optimistic about the efficiency gains coming from direct P2P entering the finance market, and with some skeptical reservation believe that this is where finance is heading generally---disintermediation can be a beautiful thing for market efficiency and participatory transparency.  As a survey: sites like Lendingclub and Prosper have gone far already in establishing the market for P2P credit.  Kiva and Grameen have done impressive things for P2P donation and microcredit models, and Kickstarter has been exceptional in artistic donation services.  Rather than waiting for banking institutions to evaluate the profitability of their ideas or causes, individuals are gaining increasing access to funding the opportunities they support, on terms they define themselves.