Quick presentation of drawdowns and the necessity to use logarithms for returns.
Month: December 2021
[YouTube] Path dependence in 3 minutes
Explaining path dependence and maximum drawdown. I made a mistake in terminology. What I called max drawdown is a local or “window drawdown” or “peak to the subsequent valley”. The real max drawdown is the one that goes from the peak to 80.
[Twitter] Maximum Ignorance Probability, with Application to Surgery’s Error Rates
A maximum entropy alternative to Bayesian methods for the estimation of independent Bernouilli sums.