Just a little graph for thought: I went and looked at the distributions of the difference between the empirical and theoretical short term (3-month) interest rate curves from this post when separated into positive and negative differences. I'll suggestively put it up next to the KL divergence graph from this post ...
Hmm ...
This has been a really interesting series of posts. Thank you Jason!
ReplyDeleteAlso, I tried to comment on your "Back to the abstract" post twice to wish your blog happy birthday, and both time nothing happened when I pushed "publish" except that my comment disappeared. I expected that might happen here, but no.
ReplyDeleteAlso in my disappeared comment, I asked "So you are the developer of information transfer economics then? I feel like I'm in on the ground floor!"
:D
Not sure what happened -- those comments don't appear in the comment inbox or the spam folder. Maybe they'll show up in the future. But thanks!
DeleteAnd yes, I came up with the application of information transfer framework developed by Fielitz and Borchardt to economics ... originally it was just supply and demand stuff, but then came this random post from playing with the data.