Google Analytics

Sunday, September 16

16th Sep - Weekender: Trading & Markets

Plenty of stuff - even though the ending week was rich in events and price volatility, the economists and nerds have not been lazy either.

Previously on MoreLiver’s:

Follow ‘MoreLiver’ on Twitter or Facebook 

What you’re not being told about the world economy, but should know!Fabius Maximus
Europe moving down together, ECB’s and FED’s latest actions are not game-changers, but China’s falling current account surplus could be.

How Does a Sovereign Currency Work? (Presentation) And Welcome to OWS Year 2 (Upcoming Call-in)EconoMonitor

Inflation Expectations Suggest 5% Inflation Is In The CardsZH

The Bailout: By The Actual NumbersProPublica

Have we reached the end of economic growth?Wonkblog / WP

Everything's amazing and nobody's happyFree exchange / The Economist
Is growth over? That, amazingly, is the subject of an interesting online discussion prompted by a new Robert Gordon paper on the recent performance of American productivity growth

Woodford on Optimal Monetary Policy RulesEconomist’s View
NGDP has desirable properties, and sometimes it is the optimal policy, but not always. What's important, as anyone familiar with Woodford's book and work realizes, is the inclusion of both growth and level variables in the policy rule

Monetary policy: A victory, and a testFree exchange / The Economist
The notion that the central bank should focus on raising NGDP and that inflation is largely a sideshow has taken a while to catch on. But caught on it has.

How central banks contributed to the financial
Even before the crisis, there were some who stressed that monetary policy should keep an eye on asset bubbles and the growth of credit. This column argues that the policy of inflation targeting, used widely in the 1990s and 2000s, did indeed lead to excessive credit growth that eventually bred financial instability.

Is that robot going to steal your job?alphaville / FT
Robots, we’ve argued, are slowly taking over in the workplace. And there are plenty of anecdotal examples, such as these noodle-slicing beings from China. But sales figures also confirm that more robots are being sold than ever before.

IMF Research Bulletin - Sep 2012IMF (pdf)

UBS Rogue Trader’s letterDealbreaker
The email headlined “An explanation of my trades” that Kweku Adoboli sent

The Long-term Price of Financial ReformiMFdirect
Some in the financial industry claim the long run economic costs of these global reforms outweigh the benefits. But our new research strongly suggests the opposite—the reforms are well worth the money.

Whistleblowing jackpot
“Tarantula,” the UBS tax grass, lands $104m – alphaville / FT
Award Poses Interesting Conundrum For Would-Be Snitches – DealBreaker
Jailed UBS Employee Gets $104 Million – ZH

Core principles for effective banking supervisionBIS

Why we can’t simplify bank regulationFelix Salmon / Reuters
It’s very, very difficult to create anything simple in today’s banking system. Complexity is here to stay, whether the likes of Bair and Haldane and Krawcheck like it or not. And with complexity comes hidden risks. Which means we’ll never be as safe as any of these people would like.

NYSE Data Violations Extend U.S. Exchanges’ Reputation WoesBB
SEC Charges NYSE for Improper Distribution of Market DataThe Big Picture
NYSE and its parent company NYSE Euronext agreed to a $5 million penalty and significant undertakings to settle the SEC’s charges. It marks the first-ever SEC financial penalty against an exchange.

Want to Blunt High-Frequency Trading? Australia Has a PlanMarketBeat / WSJ

Searching for a Speed Limit in High-Frequency TradingNYT

Stocks Are Not CheapZH
JP Morgan’s valuation charts

Breadth Breakout?Bespoke
Market gains pushed the percentage of stocks in the S&P 500 trading above their 50-day moving averages up to 84%.  As shown below, this is the highest level seen during the current rally, but it's not yet to the highs seen back in late 2011 and early 2012.  You typically don't see this reading get much higher than 85%-90%, so at some point this big upside momentum will stall out. 

Overlooked: Slumping Durable Goods Orders & QE3The Big Picture
Durable Goods Orders (Core) Go Hand-In-Hand With A Equity Bear Market

This time is different – no quick rise in yields in sightNordea

Momentum + Bull market = Chocolate + Peanut butter?Humble Student
There has been a fair amount of research devoted to the effects of price momentum. I came upon a paper by a team of researchers at Cass Business School

What does liquidity mean to YOU?alphaville / FT
The analysts at Citi piled five factors into their model to measure liquidity, employing a 60-day horizon

A Book That Will Change the Way You Think About Trading  Minyanville
Aaron Brown: Eric G. Falkenstein’s 'The Missing Risk Premium' argues that there is no risk premium and there never was, so conventional investing advice is deeply misguided.

Why I'm a Fama FanFalkenblog
(response to the previous article)

Top Quotations From Battle Of The QuantsSimon Kerr on Hedge Funds

Factor Analysis: A Short Introduction, Part 1The Analysis Factor

Solutions for Missing Data: Multiple Imputation and Maximum LikelihoodThe Analysis Factor

Do Style and Sector Indexes Carry Momentum?SSRN
We show that style indexes exhibit strong price momentum, but little evidence of earnings momentum. On the other hand, sector indexes exhibit both significant price momentum and earnings momentum. Moreover, we provide evidence that price momentum in style indexes can be explained by individual stock return momentum, whereas price momentum in sector indexes is driven by earnings momentum. Finally, we show that a dynamic momentum strategy can further enhance the performance of style investment even after adjusting for transaction costs.

Deep Thoughts by Ray DalioPragCap
Ray Dalio, the founder of Bridgewater, the world’s largest hedge fund, was at the Council on Foreign Relations discussing his macro approach and his general view of the world.  It’s a rare look at his thinking

Ray Dalio on Striking the Right BalancePension Pulse
The euro zone crisis will likely create a “lost decade” in southern Europe, hedge-fund honcho Ray Dalio said Wednesday.

The Man Behing QE2The Big Picture
(video 54 minutes) Scott Sumner: Market Efficiency and the Crash of 2008

Gundlach: I doubt you’re going to have lost decade in equitiesDynamic Hedge
(video 25 minutes)

Markit, the Bloomberg slayer? No, not yetalphaville / FT
Currently, Markit Hub amounts to a piece of vapourware. Which is a shame really. Bloomberg and Reuters — the latter stuck with broken old Microsoft technology, while the former charges a monopolistic premium — are sitting ducks for a modern, well-designed , properly financed competitor.

Overview of ETF Managed SpaceMorningstar (pdf) via mebanefaber

Peter Lynch on Using Your Edge: Timeless Advice For Investorsmarket folly

Former Banker Promises Inside Peek at GoldmanDealBook / NYT

Bad Press: The Sad Demise of Financial JournalismThe Psy-Fi Blog

Most Influential 50 in 2012 Shows TurmoilBB

Book Bits | 9.15.2012The Capital Spectator

VBA Tips - List Files In A

Follow ‘MoreLiver’ on Twitter or Facebook