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Sunday, October 28

28th Oct - Weekender: Trading & Economics

Previously on MoreLiver’s:

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33 Times, You Poor Dumb BastardsThe Reformed Broker
There's going to be such a brutal bond investor slaughter at some point over the next decade that the streets of Boston's mutual fund district will run red with blood, the skies will be shot through with the lightning and thunder of unexpected capital losses and those who manage to survive will envy the dead.

Traders stay short the yen even in the face of risk assets volatilitySober Look

Is high-frequency trading a threat to stock trading, or a boon?WP
The opposing viewpoints of these two veteran executives hint at the dilemma facing regulators as they try to determine whether to rein in high-frequency trading, which now accounts for at least half of all trading activity on U.S. exchanges.

Seasonally Affective Investing DisorderThe Psy-Fi Blog
It shouldn’t therefore be particularly surprising that we’re unconsciously affected by environmental conditions: there was a time, not so long ago, when nothing else mattered.  Now, cosseted by central heating and air conditioning, we’re remote from our material world but, it turns out, for investors our material world is not remote from us.

Intraday Share Price Volatility and Leveraged ETF Rebalancing SSRN
Over the last few years, market watchers and regulators have been concerned about leveraged ETFs' role in driving up end-of-day volatility through their daily rebalancing activities…Given the predictable patterns of leveraged ETF rebalancing demands, we also explore the implications for strategic trading and for leveraged ETF tracking errors during periods of large market swings.

Why illiquidity in one asset can spread quickly to othersThe Economist
The flash crash of May 6th 2010 titillated financial academics and lovers of mystery alike.

Have superstar traders lost their magic?The Guardian
Hedge fund maestro Greg Coffey is retiring at 41 after a glittering career. And, after a distinctly lacklustre performance recently, many of his contemporaries are following suit

“Misunderstanding Financial Crises”, a Q&A with Gary Gortonalphaville / FT
The financial crisis started the way all systemic financial crises start: as a bank run. The only difference was that this bank run took place in the shadow banking system, and the creditors who started the run weren’t depositors of retail banks, but the counterparties of investment banks in repo and commercial paper markets.

A supposedly fun thing we shouldn't have doneFree exchange / The Economist
The most recent World Economic Outlook contained the punchline: fiscal multipliers since 2009 seem to have been sigificantly larger than previously assumed.

Fiscal Devaluations BIS (pdf)
Boston Fed Working papers by Emmanuel Farhi, Gita Gopinath, and Oleg Itskhoki

Video: Krugman and StiglitzEconomist’s View

Monetary policy developmentsBIS (pdf)
Mervyn King, Governor of the Bank of England, to the South Wales Chamber of Commerce, Cardiff, 23 October 2012.

The UK and Austerity: some factsmainly macro

Thomas Edison’s Quixotic Plan for a New Monetary PolicyView / BB
During the sharp recession of 1921- 1922, Thomas Edison turned from making innovative consumer products to reinventing the U.S. monetary system.

Gary Johnson and the dangers of ‘common-sense’ economic policyWonkblog / WP
Almost all of the worst economic ideas out there are sold on the basis that they’re just “common sense.” Some of them, in fact, are just common sense. That’s what makes them so dangerous. Life would be a lot easier if bad ideas never appealed to anybody, but that’s not how it works.

(audio) The Gulf and the Global Economy: the state of the worldLSE
As US and European economies teeter on the verge of ever-greater slowdown, what prospects remain for growth elsewhere in the world?

Oil and the World Economy: Some Possible FuturesIMF

IMF study: Peak oil could do serious damage to the global economyWonkblog / WP

The Real Economics Behind Peak OilEconMatters

Book BitsThe Capital Spectator

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