Monte Carlo’s Place in Bioscience

The increasing number of mentions of Monte Carlo simulation in the popular press usually refer to its use in the realm of finance–for such applications as determining value-at-risk, reserve estimation, and credit risk management–because this is where quantitative analysis hits us directly in the pocketbook and where the technique is relatively easy to explain.  But …

The Great Moderation and Tail Risk

The so-called Great Moderation, the economic period that began in the late 1980s and ended with the financial crisis of 2007, was characterized by less volatility and more stability and predictability in the financial markets. I recently saw commentary that identified one of the causes of the economy’s’ plunge from moderation to recession as "Monte …

Prediction Markets

Although they’ve been around for the last 20 years or so, prediction markets have begun to make news for their application in business operations. Heralded early on in books like James Surowiecki’s The Wisdom of Crowds, prediction markets are a fascinating alternative to traditional forecasting methods, such Monte Carlo simulation, which extrapolate future events from …

A Little Limelight

Limelight–and by this I mean positively glowing publicity– shines only occasionally on quantitative analysis, and rarely on Monte Carlo simulation.  But there was, 6 years ago, Michael Lewis’s Moneyball, which established a place for statistical analysis in major league baseball.  Now there is Relativity Media, LLC, currently one of the heaviest hitting movie production companies …