Thomas Bayes Engraving
Didier Darcet
3 May 2018

The Bayesian Surprize

Macroeconomic data is often insufficient to properly anticipate market risks. The reason lies not in the quality of the data but on publication lags: one, two, sometimes three months and more to account for revisions. The solution adopted by TrackMacro required the help of the English mathematician Thomas Bayes, who discovered the formal approach to the evolution of beliefs 250 years ago. The May Quant Corner note details the Bayesian approach, at the heart of AI programming, finance modelling and neurosciences today.