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Sunday, June 10

10th Jun - Weekender: Trading & Economics

Russian ponzi, why you fail when the stakes go up, new stuff to predict the stocks, it's all here!

Earlier on MoreLiver's:
9th Jun - Best of The Week

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Fed: Crushing The "Smart" Money's Hopes Since 2009ZH

Not Jackson HoleTim Duy’s Fed Watch

UBS Sees $600 Billion Combo For QE3MarketBeat / WSJ

Credit Suisse’s Nostrand Sees More Accommodative FedBB (mp3)

UBS’s Bory Says Treasury Yield `Can Move Lower’BB (mp3)

Sunday S&P MullingsMacro and Cheese

The phenomenon of perpetually underpriced stocksSaxo Bank

How to value the stock market using the Equity Q ratiogreenbackd
Tobin’s Q ratio is the ratio between the market value of the stock market and against the aggregate net worth of the constituent stocks measured at replacement cost.

Euro banks: Bail-in trend could mean investment opportunitySaxo Bank
Choose the right bank - and I have no idea which of the banks in the unhappy red box below might be correct - and you will get the benefits of the continental rescue with none of the dilution

Dividend vs. Treasury YieldsEconompicdata
The dividend yield of the S&P 500 is above that of the ten year Treasury for the first time since the financial crisis. Before that we have to go all the way back to the 1950's to find a time when this was the case.

May data preview: how bad is it going to be?beyondbrics / FT
Inflation fell to 3.0% yoy in May 2012 – ASA
Real deposit rates turning positive – ASA
Industrial production growth rebound slightly in May 2012 – ASA
Retail sales growth missed estimate in May 2012 – ASA
Fixed asset investment growth softened slightly in May 2012 – ASA
Trade figures beat estimates in May 2012 – ASA

China Easing: A Positive DynamicEconMatters

The risk from China’s shadow banksMacroScope / Reuters

Salesman for software company selling to HFT firms: 'We robotise events'The Guardian

[AV's Incomplete Guide to Internships] A little perspectivealphaville / FT

The Complete Guide to Wall Street InternshipsNew York Magazine
What to wear, where to live etc. part two here.

UBS May Have $360 Million in Facebook LossesThe Reformed Broker

The last days of MF Global Fortune

Policy Challenges for the Financial SectorPIMCO

The Fed Proposes Stronger Buffers for BanksDealBook / NYT
The Federal Reserve on Thursday proposed that the nation's banks adopt a broad package of international regulations aimed at making the global financial system more resilient to shocks.

Dodd-Frank Act implementationBIS (pdf)
Testimony by Mr Daniel K Tarullo, Member of the Board of Governors of the Federal Reserve System, before the Committee on Banking, Housing, and Urban Affairs, US Senate, Washington DC, 6 June 2012.

Dodd-Franking, May 2012alphaville / FT

Peabody Says Volker Rule Probably Will Be TightenedBB (mp3)

Is Global Finance a Ponzi Scheme? Ask a Russian ExpertView / BB
Back in February 1994, amid the turmoil of the country's transition to a market economy, the mathematician organized a Ponzi scheme called MMM.

Computer trading models crash from favourReuters
Investors are losing faith in the computer-based trading models that made them millions in the bull market years, as Europe's financial convulsions have shown how poorly they cope with the unpredictable.

The Supraview of Return Predictive SignalsSSRN
return predictive signals (RPS) discovered and publicly identified during the period 1970-2010. Our supraview brings to light a number of new facts about RPS, including that many more RPS exist than is commonly realized (our database contains over 330 signals); the statistical properties of newly discovered RPS have remained stable over time; the returns and Sharpe ratios earned by famous RPS such as accruals and momentum are lower than those of the median RPS; and that RPS with higher mean returns also have higher Sharpe ratios.

Adaptive Risk Parity for a Better 'Balanced Fund'dshort

The New Neuroscience of ChokingThe New Yorker
When the stakes increase, you become more conscious of your actions – and start making mistakes

What to do in sideways marketsgreenbackd
Vitaliy’s thesis is that equity markets are characterised by periods of valuation expansion (“bull market”) and contraction (“bear market” or “sideways market”)

Is bad really bad?SMB
Below are some examples of bad things before good. As I gain more market experience and get older I find it harder and harder to determine what really is bad.  Perhaps this thought can be helpful to traders as they experience losers. Part two here.

The Role of Correlation Dynamics in Sector AllocationSSRN
We find using sector portfolios in three equity markets that correlation timing is rewarding. We document time-variation, asymmetry and a structural break in sector correlations and show that the predictability of conditional correlation models capturing such features is economically relevant.

The Flaws in My Character are the Flaws in My TradingInterloper

The Best of, Part 16 – The Aleph Blog

The "Solution" Is Collapseof two minds

Not so expertThe Economist
The need for financial advice may be more psychological than practical

On Capital Markets, Confidence Tricks, And CriminalsZH
The term “Confidence Game” stems from the fact that the criminal appears to give you their confidence.

[Beyond scarcity] The end of artificial scarcityalphaville / FT

Such As Pavlovian MarketsGrant Williams / ZH
Things That Make You Go Hmmm-newsletter

Guest post: Michael Geismar’s blackjack strategyFelix Salmon / Reuters
When mathematician and blackjack expert Jonathan Adler saw my post about hedge fund manager Michael Geismar’s antics at the Vegas blackjack tables, he offered to explain just how silly Geismar was being.

Market Is More Fragile Now Than Pre-LehmanZH
back then the market was in the hands of the, well, market. Now it is solely controlled by a few politicians and a even fewer academics. In other words, whatever can go wrong, will.

Integrated & Cointegrated Data Dave Giles
Idiot’s guide to "integrated data", "cointegration", "differencing" etc.

Perspectives on monetary policyBIS (pdf)
Speech by Ms Janet L Yellen, Vice Chair of the Board of Governors of the Federal Reserve System, at the Boston Economic Club Dinner, Boston, Massachusetts, 6 June 2012.

Threat of fiscal dominance? - workshop summaryBIS (pdf)
by Richhild Moessner and Philip Turner

Thoughts on policies and the policy framework after a financial crisisBIS (pdf)
by Lex Hoogduin and Peter Wierts

Sovereign debt management as an instrument of monetary policy: an overviewBIS (pdf)
by Fabrizio Zampolli

The financial crisis and the changing dynamics of the yield curveBIS (pdf)
by Morten Bech and Yvan Lengwiler

The financial market impact of UK quantitative easingBIS (pdf)
by Francis Breedon, Jagjit S Chadha and Alex Waters

Eurodollar banking and currency internationalizationBIS (pdf)
by Dong He and Robert N McCauley

The expansion of central bank balance sheets in emerging Asia: what are the risks?BIS (pdf)
by Andrew Filardo and James Yetman

Inflation targeting and the output gapalphaville / FT
Deutsche Bank: …economic policy should be conducted in a two dimensional framework, where not only the output gap but also new borrowing relative to GDP is closely monitored.

The “May the road rise with you” theory of fiscal correctionA Fistful of Euros

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