Weekender reads: trading- and research-related articles, followed by strictly off-topics.Persistence of Diversity in Investor/Trader Beliefs – CXO
Why do investors disagree so much all the time? The following items offer some ideas, from a generally behavioral perspective, on the persistence of diversity in investor/trader beliefs…while financial markets may be adaptive, the adaptive process appears to be very messy, strongly preserving a wide diversity of investor/trader beliefs.
Why The Market Is Slowly Dying – ZH
Morgan Stanley: In our mind, many of the approaches to algorithmic execution were developed in an environment that is substantially, structurally different from today’s environment. In particular, the early part of the last decade saw households as significant natural liquidity providers as they sold their single stock positions over time to exchange them for institutionally managed products... While the time horizon over which liquidity is provided can range from microseconds to months, it is particularly shorter-term liquidity provisioning that has become more common.
The science and art of manager selection – Barclays (pdf)
Five Extensions of the General Linear Model – The Analysis Factor
Generalized linear models, linear mixed models, generalized linear mixed models, marginal models, GEE models. You’ve probably heard of more than one of them and you’ve probably also heard that each one is an extension of our old friend, the general linear model.
Three things factor models do – Portfolio Probe
1) Provide non-degenerate estimates 2) Save space 3) Quantify sources of risk
RAndFriends – Statconn
Call R from Excel
Applied Academic Research – Empiritrage (pdf)
Exploiting Option Information in the Equity Market - Investor Sentiment, Disagreement and Return Predictability of Ownership Breadth - Legislating Stock Prices – CEO Interviews on CNBC
OFF-TOPIC
MARKETS & ECONOMY
*FiveBooks Interview: Niall Ferguson on Intellectual Influences – The Browser
The historian tells us about the diverse influences on his work, from Keynes and Tolstoy to an Austrian satirist, and explains why he sees the world as a complex place on the edge of chaos
Don't Blame Speculators for Market Moves – Minyanville
Aaron Brown: I hate to read the illogical nonsense that spills out every time a price moves in a direction someone doesn’t like or can’t understand. Prices change. Get used to it.
Art Cashin On Friday The 13th And Wall Street – ZH
Prior to 1988, floor brokers used to have fun with the myth by declaring Friday the 13th “Hat Day”. Brokers would don silly and bizarre headgear, pretending to ward off the evil spirits.
Social scientists say that some nations, like Sweden or Finland, avoided a rise in suicide rates in times of crisis because they invested in labor-market projects — initiatives to help get people back on their feet — instead of cash handouts.
CULTURE
Twenty-five years after The Simpsons made their TV debut, the show's creator talks about Homer's odyssey—and his own
Guns N' Roses Can Agree on at Least One Thing: This Finnish Saxophonist Rocks – WSJ
A 'Hair Metal' Pioneer Plays On, With Government Help, as Finland Tries to Amp Up Its Music Exports; Kind Words From Slash
FUN
…if you order anything in Cyprus, say x, you get "special Cypriot x". Special, made in mountain/village/family goat by uncle/grandfather/family goat. And it's very special indeed. But basically Cypriot x is similar to normal x and only differs in being more expensive and... shite.
Fix income inequality with $10 million loans for everyone! – WP
former chairman of FDIC jokes: I’ve got the perfect solution, a modest proposal that involves just a small adjustment in the Federal Reserve’s easy monetary policy. Best of all, it will mean that none of us have to work for a living anymore.
TITANIC
“Titanic Has Struck An Iceberg” – A Dispatch From Our Archive – Thomson Reuters
Titanic 100 Year Anniversary – Graphic of the Day – Thomson Reuters
SCIENCE & TECH
Where Do Space and Time Come From? – SciAm
New Theory Offers Answers, If Only Physicists Can Figure It Out
Sounds of Silence' Proving a Hit: World's Fastest Random Number Generator – Science Daily
"Vacuum noise is one of the ultimate sources of randomness because it is intrinsically broadband and its unpredictability is guaranteed by quantum theory. Because of this, we are able to generate billions of random numbers every second."
Do You Know What the Fuel Pools Actually Look Like? – Before and after the quake