Twofish's Blog

August 14, 2006

Publish or perish….

Filed under: academia, china, quantitative finance, quantlib, wikipedia — twofish @ 12:43 pm

Did finally get some useful stuff done over the weekend. Mostly cleaning up my R scripts (the infix feature of R is cool). I now have something resembling a project plan for publication in the rest of the year. I already have a paper written about combining R and SWIG, which I submitted to the Chinese Financial Association. If they are soliciting papers for their conference in October, I can present it there, but if they aren’t I’d like to get a rejection letter so that I can submit it elsewhere. I *should* have tried submitting it to FEA ‘2006, but the deadline was right in the review period for TCFA. I’m also trying to get some guidance as to which journal to submit it to. The closest thing I can find may be CACM.

As soon as I get notice that the paper has been rejected for TCFA, then I’ll post it online, and get some informal peer review, and suggestions on what to do with it. Combining R, SWIG, and quantlib was a non-trivial programming effort, and I’d like to get an extra line in my CV for doing it.
The next paper I’m going to write will be in September. On August 30, the first Shanghai warrant will expire and it should be straightforward to use Carr and Wu (1998) to establish that there is a jump process, and I should be able to coorrelate prices with regulatory changes (or show that those regulatory changes were irrelevant). This should take about a month or two, which gives me time to figure out how to model the jump processes on Shanghai warrants. The curious thing is that I seem to be the only person in the world that has ever graphed the Black-Scholes implied volatility for these things, and the curves I am getting are *VERY* interesting. I’ll post some graphs here in about a week or so.

Going into next year, I can try my hand at some more theoretical stuff. What I can put in to QuantLib is a Fourier-transform PIDE levy process engine. The point of doing this is so that I can calculate some theoretical implied volatility surfaces and get a feel for how the dynamics works, and then try to figure out some of the underlying rules. This is what theoretical numerical physicists do all the time, but this pattern is *very* different from the way that mathematicians do it, and the most of the papers on Levy processes are written from a mathematician perspective (because there are no easy ways for calculating and visualizing implied volatility surfaces for Levy processes).

There are some “wildcards.”  I would like to publish a paper on the provincial distribution of astronomers in China to see if you see traces of 18th century evidential school philosophy.  There also another paper that needs to be written about why management people see China in a different way than finance types.  However, both of those require cooperation from a co-author.  I have specific people in mind, but I need to get them interested enough.  If that happens, then the papers I talked about get pushed to next year.

That ought to get me at least one paper in 2007, and by that time, there should be enough weird and new stuff that I’ll be able to publish on something else. The goal for me is at least one respectable paper each year, and that should be a lot easier once I get enough useful stuff published in conferences to start getting co-authors.
The hard part I’ve found involves modulating the stress.   I’m actually trying to live the life of a tenure-track junior faculty, but I don’t have any external forces that are pushing me to publish.  I do have some massive internal ones.  On the one hand, I’m not going to get fired if I don’t publish papers, but on the other hand, I don’t have any clear definitions of what “success” or “failure” entails.

As far as career, that is currently being decided by forces outside my control.  It will all work out alright.

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1 Comment »

  1. If there are arbitrage possibilites on the shanghai derivatives market, why don’t you just exploit them, make millions and be over with it?

    No more worries

    Comment by sigma — August 14, 2006 @ 4:14 pm


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