Friday, April 10, 2009

UW is why the world's economy collapsed?

http://www.wired.com/techbiz/it/magazine/17-03/wp_quant?currentPage=all

Woow! this is a good article that gives an insight to the problem in a different way
"In the mid-'80s, Wall Street turned to the quants—brainy financial engineers—to invent new ways to boost profits. Their methods for minting money worked brilliantly... until one of them devastated the global economy

David X. Li is a quantitative analyst and a qualified actuary who pioneered the use of Gaussian copula models for the pricing of collateralized debt obligations (CDOs).[1][2]

Li grew up in rural China in the 1960s.[1] He received a master's degree in economics from Nankai University before leaving China to earn an MBA from Laval University in Quebec.[1] He then received a master's in actuarial science and a PhD in statistics from the University of Waterloo in Ontario.[1] His financial career began in 1997 at Canadian Imperial Bank of Commerce.[1] In 2004 he moved to Barclays Capitalwhere he worked on rebuilding its quantitative analytics team.[1]

In 2000, while working at JPMorgan Chase, Li published a paper in The Journal of Fixed Income titled "On Default Correlation: A Copula Function Approach."[2] This was the first appearance of the Gaussian copula which quickly became a tool for financial institutions to correlate associations between multiple securities.[1] This allowed for CDOs to be accurately priced for a wide range of investments that were previously too complex to price, such as mortgages. However in the aftermath of the Global financial crisis of 2008–2009 the model has been seen as fundamentally flawed and a "recipe for disaster".[1] According to Nassim Nicholas Taleb, "People got very excited about the Gaussian copula because of its mathematical elegance, but the thing never worked. Co-association between securities is not measurable using correlation," because past history can never prepare you for that one day when everything goes south. "Anything that relies on correlation is charlatanism."[1] Li himself always understood the limitation of his model, in 2005 saying "Very few people understand the essence of the model."[3] Kai Gilkes of the credit research firm CreditSights says "Li can't be blamed", although he invented the model, it was the bankers who misinterpreted it.[1]

In 2008 Li moved to Bejing where he works for China International Capital Corporation as head of the risk-management department"

Wednesday, March 25, 2009

Related papers to my work

Hi,
I'm continuing to work on my paper "Change Dependencies in Software Systems". Lot of hard work to be done. I have read the following papers to see if other people worked on the same approach:

[1] Parallel Changes: Detecting Semantic Interferences, G. Lorenzo Thione, Dewayne E. Perry, COMPSAC '05: Proceedings of the 29th Annual International Computer Software and Applications Conference (COMPSAC'05) Volume 1 - Volume 01.

[2] An empirical study of software developers' management of dependencies and changes, Cleidson R. B. de Souza, David F. Redmiles, May 2008, ICSE '08: Proceedings of the 30th international conference on Software engineering.

[3] Predicting Change Propagation in Software Systems, Ahmed E. Hassan and Richard C. Holt, Proceedings of the 20th IEEE International Conference on Software Maintenance (ICSM’04)

[4] What is the long-term impact of changes? Irina Ioana Brudaru, Andreas Zeller,  Proceedings of the 2008 international workshop on Recommendation systems for software engineering , Pages 30-32 : 2008.

[5] X. Ren, F. Shah, F. Tip, B. G. Ryder, and O. Chesley, Chianti: a tool for change impact analysis of java programs, SIGPLAN Not., 39(10):432-448, 2004.

Thursday, March 5, 2009

A unified theory of software evolution

This is a good article summrizes the history of research of software evolution

Wednesday, February 25, 2009

Changes done to indent the source code? How I identified them?

I used heuristics to identify the indented source codes from CVS. I said for example, if there is a big change committed by a developer without changing any comments or functions, this change might have been done to indent the source code. This gave me better results than just considering very big changes as done to indent the source code.

Saturday, February 14, 2009

ICSM 2009

ICSM 2009 will be held in Edmonton, Alberta. It's been a very good conference in software maintenance in the recent years. 
The main issues the conferece is discussing are about software maintenance. Although, I'm planning to publich my paper in MSR. This conference is a great event to attend.

Here are some important dates:

  • March 27, 2009: Abstracts due
  • April 3, 2009: Research papers due
  • April 24, 2009: All other submissions due
  • May 22, 2009: Notifications sent to authors
  • June 26, 2009: Camera-ready papers due
  • Wednesday, January 28, 2009

    Thesis plan..

    Hi all....
    I'm trying to work on my thesis. Here are some outlines about it:

    Thesis plan: My current plan for the thesis is based on my work of Change Dependencies. Here are some ideas for extension:

    1-Can we predict future changes or bugs based on information or change dependencies?

    2-Can we understand the dependencies between different modules of a system through its evolution? Can we do the same work we do on modules or files instead of entities? Is that useful? (note we have intra- and inter- module dependencies in that cases)

    3-Can we understand how may buggy changes done on a period based on efforts done to fix them later?