Homogeneous Poisson process (HPP) is easy to simulate in R as there are standard functions built in to the language. Simulating Non-Homogeneous Poisson process(NHPP) take a little bit of effort. There are many algorithms out there and I guess the best amongst them is based on “thinning”. The math behind thinning is explained in the paper,”Simulation of NonHomogeneous Poisson Process by Thinning”. The paper, while explaining the method, also gives a laundry list of methods that can be used to simulate NHPP.

Via Barrons The world has a way of making what was once controversial safe for consumption. For evidence, look no further than Lou Reed’s upcoming induction into the Rock and Roll Hall of Fame. The same holds true for Virtu Financial, which successfully completed its initial public offering last week. That Virtu (ticker: VIRT) is now a publicly traded company is a marvel, considering the failure of its first attempt about a year ago.

Via The Moral Bucket List If you live for external achievement, years pass and the deepest parts of you go unexplored and unstructured. You lack a moral vocabulary. It is easy to slip into a self-satisfied moral mediocrity. You grade yourself on a forgiving curve. You figure as long as you are not obviously hurting anybody and people seem to like you, you must be O.K. But you live with an unconscious boredom, separated from the deepest meaning of life and the highest moral joys.

The paper written by Thierry Ane and Helyette Geman, titled, “Order Flow, Transaction Clock, and Normality of Asset Returns” explores the concept of changing the “calendar time” of the asset return process to recover normality. The idea that, “Calendar time might not be an appropriate measure of time in the financial markets”, has been explored in the past. Mandelbrot in 1963 published a paper that introduced a class of stable processes that could recover normality.

A document containing brief summary of the book Takeaway : This book is a beautiful book that describes the math behind queueing systems. One learns a ton of math tools from this book, that can be used to analyze any system that has a queueing structure within it. The author presents the material in a highly enthusiastic tone with superb clarity. Thoroughly enjoyed going through the book.