Category: Uncategorized

Via MarketSci blog, Eric Rosenfeld talks about the collapse of LTCM at MIT. Funny I can’t find in any MIT literature an advertisement for the fact that 2/3s of LTCM had MIT roots? (Caltech, snarky snark snark)

Personally I’m very skeptical of technical analysis, but that’s just because I am skeptical of easy answers. But try to parse this article over at bloomberg titled “Stock Charts Fail Forecast Test in Complete S&P Miss.”
Continue reading “Technical Analysis as an Indicator”

Holy mole: a $50 billion dollar Ponzi scheme run by Bernard L. Madoff. That’s an astounding amount of money if true.
Update: This is now big news, of course. For an interesting read of someone who has been pursuing this fraud since 1999 see The World’s Largest Hedge Fund is a Fraud by Harry Markopolos. h/t nakedshorts.

When sky’s fall, apparently they do not fall equally everywhere (contrary to popular theory.) A partial is of those who’ve held up the sky (and even pushed higher) in this New York Times article:

Bernard V. Drury is a rarity on Wall Street: a hedge fund manager who is making money rather than losing it.
While most hedge funds are sinking into red this year and unsettling the markets in the process, a handful of them are posting spectacular gains. Mr. Drury’s fund, for instance, is up 60 percent since Jan. 1.
How did he do it? Mr. Drury, a former grain trader, is not giving away his secrets. He relies on proprietary computer models to chart tides in the markets and to ride the prevailing currents.

Being a successful trader is often like being a good error correcting code: don’t want to reveal any information from local prying eyes!
Continue reading “Winners and Loser Among Hedge Funds”

You know it’s a heavy volume day when even Google can’t handle it:

Your message could not be posted to the DOW JONES INDUSTRIAL AVERAGE INDEX group because there have been too many messages posted to the group recently.

Fear
Google’s view of capitulation
Irrationality?
Anyone seen any old men with canes yet?
Crisis per capita winner? Iceland. Will the last one leaving Reykjavík please tear up that recipe for Súrsaðir hrútspungar?
Panics 1812, 1837, 1869, 1873, 1882, 1884, 1896, 1901, 1907,1937, 1973, 1987, 1989, 1992, 1997, 2001. Add 2008.
Just over a hundred years ago
Another hundred year reference: the Cub’s ticket market.
Let’s blame Van Buren:

IANAE (that’s I am not a person with severe physics envy but who is compensated for this fact by earning a higher salary than a physicist), but I do not understand Brad DeLong:

Traders! Read the second page of the statistical release before you press the button!
Meredith Beechey…and Jonathan Wright have details:

FRB: FEDS paper 2007-5: “Rounding and the Impact of News: A Simple Test of Market Rationality”:
Abstract: Certain prominent scheduled macroeconomic news releases contain a rounded number on the first page of the release that is widely cited by newswires and the press, and a more precise number in the text of the release. The whole release comes out at once. We propose a simple test of whether markets are paying attention to the rounded or unrounded numbers by studying the high-frequency market reaction to such news announcements. In the case of inflation releases, we find evidence that markets systematically ignore some of the information in the unrounded number. This is most pronounced for core CPI, a prominent release for which the rounding in the headline number is large relative to the information content of the release.

If the market is only reacting to the rounded number, why should a trader pay attention to the unrounded number? Is this just a case of sipping at the cooler of the efficient market hypothesis (i.e. surely the market will eventually revert to the unrounded number.) Or am I missing something?