“The irreversibility of time” by TowersWatson.

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Tim Hodgson sent us the work he did with his team at TowersWatson, extracting basic concepts and lessons for the investment industry from our work in non-ergodic economics. Read more →

“Partial ensemble averages in geometric Brownian motion” submitted.

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In this paper Ole Peters and Bill Klein clarify two important issues in geometric Brownian motion. They show analytically, using extreme-value theory, that the time-average growth rate for a finite ensemble is the same as Read more →

LML appoints trustees.

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In its first board meeting LML has today appointed the following three trustees: Jan-Peter Onstwedder, Oliver Schuppart, and Duncan Kennedy. We congratulate the trustees and thank them for accepting their nominations. Read more →

LML is incorporated.

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We’re celebrating today because we exist! LML is now a charitable company registered in England and Wales with the Company Number 8202599. The next step will be to obtain approval from the Charity Commission. Read more →

“The numbers man” by Eric van den Berg.

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Eric van den Berg, of Lloyd’s List explores Alex Adamou’s work in the shipping industry. As chief quant at VesselsValue, Alex developed mathematical models to price large ships. Read more →

“Shaking the foundations” by Michael Mauboussin.

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Following numerous discussions with Ole Peters, dating back to 2007 Michael Mauboussin, chief investment strategist at Legg Mason Capital Management, did a formal interview with Ole, pushing the limits of Read more →

“A crack in the foundations” by Rick Bookstaber.

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Once a year the Santa Fe Institute holds its risk meeting. This is hosted by Morgan Stanley at their New York headquarters. Ole Peters presented his work here, and Rick was very interested in the errors in Read more →