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:
ECONOMICS
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 Cards – ZH
The Bailout: By The Actual Numbers – ProPublica
Have we reached the end of economic growth? – Wonkblog
/ WP
Everything's amazing and nobody's happy – Free 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 Rules – Economist’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 test – Free
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
crisis – voxeu.org
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 2012 – IMF (pdf)
REGULATION
The email
headlined “An explanation of my trades” that Kweku Adoboli sent
The Long-term Price of Financial Reform – iMFdirect
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
Award Poses
Interesting Conundrum For Would-Be Snitches – DealBreaker
Core principles for effective banking
supervision – BIS
Why we can’t simplify bank regulation – Felix
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 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.
HIGH-FREQUENCY
Searching for a Speed Limit in High-Frequency
Trading – NYT
MARKETS
Stocks Are Not Cheap – ZH
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 &
QE3 – The 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 sight – Nordea
QUANT STUFF
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 Fan – Falkenblog
(response
to the previous article)
Factor Analysis: A Short Introduction, Part 1 – The
Analysis Factor
Solutions for Missing Data: Multiple Imputation
and Maximum Likelihood – The
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.
VIDEOS
Deep Thoughts by Ray Dalio – PragCap
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 Balance – Pension
Pulse
The euro
zone crisis will likely create a “lost decade” in southern Europe, hedge-fund honcho Ray Dalio said
Wednesday.
The Man Behing QE2 – The 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 equities
– Dynamic
Hedge
(video 25
minutes)
OTHER
Markit, the Bloomberg slayer? No, not yet – alphaville
/ 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 Space – Morningstar
(pdf) via mebanefaber
Peter Lynch on Using Your Edge: Timeless Advice
For Investors – market
folly
Former Banker Promises Inside Peek at Goldman – DealBook
/ NYT
Bad Press: The Sad Demise of Financial
Journalism – The
Psy-Fi Blog
Most Influential 50 in 2012 Shows Turmoil – BB
VBA Tips - List Files In A Folder – excelexperts.com