Thursday, November 15, 2007

Good news is no news

More interesting research from Erasmus University Rotterdam, with econometrics professor Dick van Dijk presenting new work on the impact of news events on stock prices (broadly the area I covered in my dissertation).

van Dijk studied short-term price movements on the New York stock exchange in response to unexpected interest rate announcements. He found an interesting asymmetry: good news (ie, a rate cut) leads to a response which depends on the weight of the news (the amount by which interest rates are cut; bad news (a rate increase) creates a response that does not reflect the magnitude of the change. As theory predicts, expected rate change announcements create no significant response.

By tracking price movements on a minute-by-minute basis, van Dijk also identifies the speed with which prices can move in response to unexpected news: an unexpected interest rate adjustment of 0.25% leads to a return of more than 1% within five minutes.


Tuesday, November 13, 2007

Mark of distinction

Just received word from Sheffield Uni - my dissertation on a possible clean energy bubble, as outlined below, got a First Class grade. Which means I get the MA in Economics and Finance with Distinction. Which is nice.

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Friday, November 09, 2007

'Climate hoax' advocates hoaxed

News, via Reuters, of an entertaining hoax on a certain group of conspiracy theorists -
A hoax scientific study pointing to ocean bacteria as the overwhelming cause of global warming fooled some sceptics on Thursday who doubt growing evidence that human activities are to blame.
Laden with scientific jargon and published online in the previously unknown "Journal of Geoclimatic Studies" based in Japan, the report suggested the findings could be "the death of manmade global warming theory".
Sceptics jumped on the report. A British scientist e-mailed the report to 2,000 colleagues before spotting it was a spoof. Another from the US called it a "blockbuster".

A wee bit of investigation finds that the supposed journal site is registered to one David Thorpe, who comics geeks of a certain age will remember as the creator of Doc Chaos, and is now apparently an environmental journalist.

Nice work, AuThorpe! Though next time it might be an idea to use an anonymous site registration service to help keep the joke going a little longer. Still, it seems to have put the wind up the wingnuts anyway.

UPDATE, Friday pm: Thorpe's acknowledged his involvement, but says he didn't write it himself:
I did not write the content of the site. Someone else did. I designed the site because I was asked to by someone who knew I would be sympathetic to the joke. I appreciate it looks as though I wrote it. I even wish I had written it, because it's very funny. But I didn't.
Fair play.

UPDATE, Monday 12/11: Thorpe's written an extensive and elegant blog post about the reasons for and response to the hoax:
What the hoax showed is that there are many people willing to jump on anything that supports their argument, whether it's true or not.
What we wanted to emphasise is that it's necessary to achieve scientific validity using the peer-review model. Proper climate science makes every attempt to do this, and is a constantly evolving and self-refining process, as all science is.
So, when commentator posted on my blog - sarcastically - "....And we do all have to go with the "scientific consensus" don't we?" - I can only say, if we haven't got the scientific consensus then what have we got?

Meanwhile, Nature snares an interview with the still-anonymous author of the fake paper:
Its purpose was to expose the credulity and scientific illiteracy of many of the people who call themselves climate sceptics. While dismissive of the work of the great majority of climate scientists, they will believe almost anything if it lends support to their position. Their approach to climate science is the opposite of scepticism.

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Monday, November 05, 2007

Pluralist economics review

Here's a useful new site/newsletter thing - the Pluralist Economics Review, promising 'the best of free-access economics'. It's a collection of links to unorthodox economics papers, articles, news stories and blogs. The site's run by Edward Fullbrook, editor of the Post-Autistic Economics Review, which has been referenced here many times before.