Earlier on MoreLiver's:
9th Jun - Best of The Week
FED, BONDS
Fed: Crushing The "Smart" Money's
Hopes Since 2009 – ZH
Not Jackson Hole – Tim
Duy’s Fed Watch
Credit Suisse’s Nostrand Sees More Accommodative
Fed – BB (mp3)
STOCKS
Sunday S&P Mullings – Macro and
Cheese
The phenomenon of perpetually underpriced
stocks – Saxo
Bank
How to value the stock market using the Equity
Q ratio – greenbackd
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
opportunity – Saxo
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 Yields – Econompicdata
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.
CHINA
May data preview: how bad is it going to be? – beyondbrics
/ FT
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
PEOPLE, COMPANIES
Salesman for software company selling to HFT
firms: 'We robotise events' – The
Guardian
[AV's Incomplete Guide to Internships] A little
perspective – alphaville
/ FT
The Complete Guide to Wall Street Internships – New
York Magazine
What to
wear, where to live etc. part two here.
The last days of MF Global – Fortune
Policy Challenges for the Financial Sector – PIMCO
REGULATION
The Fed Proposes Stronger Buffers for Banks – DealBook
/ 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 implementation – BIS (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 2012 – alphaville
/ FT
Is Global Finance a Ponzi Scheme? Ask a
Russian Expert – View
/ 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.
TRADING, STRATEGY
Computer trading models crash from favour – Reuters
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 Signals – SSRN
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 Choking – The
New Yorker
When the
stakes increase, you become more conscious of your actions – and start making
mistakes
What to do in sideways markets – greenbackd
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
Allocation – SSRN
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
Trading – Interloper
OTHER
The Best of, Part 16 – The Aleph Blog
The "Solution" Is Collapse – of
two minds
Not so expert – The Economist
The need for financial advice may be more
psychological than practical
On Capital Markets,
Confidence Tricks, And Criminals – ZH
The term “Confidence Game” stems from the fact
that the criminal appears to give you their confidence.
[Beyond scarcity] The end of artificial
scarcity – alphaville
/ FT
Such As Pavlovian Markets – Grant
Williams / ZH
Things That
Make You Go Hmmm-newsletter
Guest post: Michael Geismar’s blackjack
strategy – Felix
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-Lehman – ZH
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.
ECONOMICS
Perspectives on monetary policy – BIS (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 summary – BIS (pdf)
by Richhild
Moessner and Philip Turner
Thoughts on policies and the policy framework
after a financial crisis – BIS (pdf)
by Lex
Hoogduin and Peter Wierts
Sovereign debt management as an instrument of
monetary policy: an overview – BIS (pdf)
by Fabrizio
Zampolli
The financial crisis and the changing dynamics
of the yield curve
– BIS (pdf)
by Morten
Bech and Yvan Lengwiler
by Francis
Breedon, Jagjit S Chadha and Alex Waters
Eurodollar banking and currency internationalization – BIS (pdf)
by Dong He
and Robert N McCauley
by Andrew
Filardo and James Yetman
Inflation targeting and the output gap – alphaville
/ 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 correction –
A
Fistful of Euros