Publications by Edwin Grappin
ProbaPerception: Introduction
Hello (New World!), My name is Edwin, I’m a 22 year-old French student in applied mathematics. In particular, I study probability, statistics and risk theory. We learn interesting things but there is still one question I feel stupid about: Is statistics, actually, useful? I mean not theoretically but in the real life. Many friends of mine aske...
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Who is the most complete athlete? – An insight with the Mahalanobis distance (sport & data analysis)
The Olympic Games have finished a couple of days ago. Two entire weeks of complete devotion for sport. Unfortunately I hadn’t got any ticket but I didn’t fail to watch many games on TV and internet. I was looking at decathlon men competition and I was very impressed by the general quality of these athletes. They have to be able to do everythi...
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The fear-index: is the VIX efficient to be warned about high volatility? (Finance & Systematic Processus)
The VIX (volatility index) is a financial index which measures the expectation of the volatility of the stock market index S&P 500 (SPX). The higher is the value of the VIX the higher are the expectations of important variations in the S&P 500 during the next month. Since volatility is a measure of risk in a portfolio, managers tend to flee away ...
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Spatial segregation in cities – An explanation by a neural network model (Demographics & neural network)
As you will certainly see later on this blog, I am extremely interested in neural networks. My reference book is “Networks, crowds and markets: reasoning about a highly connected world” by David Easley and Jon Kleinberg who are professors at Cornell University.What is a network? A network is a representation of the interconnections between o...
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How does my computer know what language I am using? – An approach of statistical learning (Language, Computer Science)
I am currently doing an internship in England. Therefore, I keep alternating between French and English in my different emails and other forms of communication on the Internet. I have been surprised to see that some websites are able to recognize when I use French or when I use English. For example, Facebook automatically proposes me to translate...
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A post about greater blogs
I’m very glad if you use or at least read sometimes my blog. However, I’d like to give you a list of wonderful blogs which are useful if you are interested in applied mathematics and programming for simulation.My favorite one is written by Arthur Charpentier, a French mathematician. His blog is called Freakonometrics and is a wond...
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The movement of a drunk guy – Random Walk and exponential regression
I was in a party last night and a guy was totally drunk. Not just the guy who had a few drinks and speaks a bit too loud, but the one who is not very likely to remember what he has done during his night, but who is rather very likely to suffer from a huge headache today. The guy was literally randomly walking. One step on the left, an...
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Estimation of the number PI – A Monte Carlo simulation
How to estimate PI when we only have R and the formula for the surface of a circle (Surface = PI * r * r)?The estimation of this number has been one of the greatest challenge in the history of mathematics. PI is the ratio between a circle’s circumference and diameter. The first estimation I have heard about has been done by an Egyptian 3700 yea...
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The consequence of merging insurance companies – Risk simulation and probability of ruin
The merge of two insurance companies enables to curb the probability of ruin by sharing the risk and the capital of the two companies. For example, we can consider two insurance companies, A and B. A is a well known insurance company with a big capital and is dealing with a risk with a low variance. We will assume that the global risk...
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Generate stock option prices – How to simulate a Brownian motion
The Brownian motion is certainly the most famous stochastic process (a random variable evolving in the time). It has been the first way to model a stock option price (Louis Bachelier’s thesis in 1900).The reason why is easy to understand, a Brownian motion is graphically very similar to the historical price of a stock option.A Brown...
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