Wednesday, December 16, 2009
Friday, November 20, 2009
Tuesday, November 17, 2009
NY Fed & AIG Bail-Out
The NY Times features an interesting piece by Mary Williams Walsh, writing on a report from the office of the Special Inspector General for the Troubled Asset Relief Program (SIGTARP) on the AIG bail-out:
The Federal Reserve Bank of New York gave up much of its power in high-pressure negotiations with the American International Group’s trading partners last year, according to a government report made public on Monday.
...
The Fed “refused to use its considerable leverage,” Neil M. Barofsky, the special inspector general for the Troubled Asset Relief Program, wrote in a report to be officially released on Tuesday, examining the much-criticized decision to make A.I.G.’s trading partners whole when people and businesses were taking painful losses in the financial markets.
There have been suggestions that the Fed chose to negotiate weakly, Mr. Barofsky said, to give a “backdoor bailout” to A.I.G.’s banks. He said Mr. Geithner and the Fed’s lawyers had denied this, but added that “irrespective of their stated intent,” there was no doubt about the result: “Tens of billions of dollars of government money was funneled inexorably and directly to A.I.G.’s counterparties.”
The Federal Reserve Bank of New York gave up much of its power in high-pressure negotiations with the American International Group’s trading partners last year, according to a government report made public on Monday.
...
The Fed “refused to use its considerable leverage,” Neil M. Barofsky, the special inspector general for the Troubled Asset Relief Program, wrote in a report to be officially released on Tuesday, examining the much-criticized decision to make A.I.G.’s trading partners whole when people and businesses were taking painful losses in the financial markets.
There have been suggestions that the Fed chose to negotiate weakly, Mr. Barofsky said, to give a “backdoor bailout” to A.I.G.’s banks. He said Mr. Geithner and the Fed’s lawyers had denied this, but added that “irrespective of their stated intent,” there was no doubt about the result: “Tens of billions of dollars of government money was funneled inexorably and directly to A.I.G.’s counterparties.”
Tuesday, October 27, 2009
NYMEX Light, Sweet Crude Oil Futures
NYMEX Contract Spec
NYMEX crude is physically delivered at Cushing OK (Oklahoma), via the network connected thereto.
daily data 1983-2009 [US Energy Information Administration]
NYMEX crude is physically delivered at Cushing OK (Oklahoma), via the network connected thereto.
daily data 1983-2009 [US Energy Information Administration]
Tuesday, October 6, 2009
Monday, October 5, 2009
CBOE - Chicago Board Options Exchange
WikiPedia Entry:
"The Chicago Board Options Exchange (abbreviated CBOE, but commonly pronounced see-bo), located at 400 South LaSalle Street in Chicago, is the largest U.S. options exchange with annual trading volume that hovered around one billion contracts at the end of 2007.[1] CBOE offers options on over 2,200 companies, 22 stock indexes, and 140 exchange-traded funds (ETFs)."
HomePage
"The Chicago Board Options Exchange (abbreviated CBOE, but commonly pronounced see-bo), located at 400 South LaSalle Street in Chicago, is the largest U.S. options exchange with annual trading volume that hovered around one billion contracts at the end of 2007.[1] CBOE offers options on over 2,200 companies, 22 stock indexes, and 140 exchange-traded funds (ETFs)."
HomePage
CBOE Volatility Index (VIX)
WikiPedia Entry:
"VIX is the ticker symbol for the Chicago Board Options Exchange Volatility Index, a popular measure of the implied volatility of S&P 500 index options. A high value corresponds to a more volatile market and therefore more costly options, which can be used to defray risk from this volatility by selling options. Often referred to as the fear index, it represents one measure of the market's expectation of volatility over the next 30 day period."
Yahoo Finance Page
"VIX is the ticker symbol for the Chicago Board Options Exchange Volatility Index, a popular measure of the implied volatility of S&P 500 index options. A high value corresponds to a more volatile market and therefore more costly options, which can be used to defray risk from this volatility by selling options. Often referred to as the fear index, it represents one measure of the market's expectation of volatility over the next 30 day period."
Yahoo Finance Page
Satyajit Das' Blog
Das is the author of the excellent book 'Traders, Guns & Money' - an entertaining and informative insider's commentary on trading and structured finance.
Satyajit Das' Blog
Satyajit Das' Blog
Saturday, October 3, 2009
Sunday, September 27, 2009
Currency
International Currency Symbols
Oanda Corp Official WebSite
"Continuous Linked Settlement is a process by which a number of the world's largest banks manage settlement of foreign exchange amongst themselves (and their customers and other third-parties)."
- WikiPedia Entry
- Official CIS Site
WikiPedia Entry on the Forex Market
Oanda Corp Official WebSite
"Continuous Linked Settlement is a process by which a number of the world's largest banks manage settlement of foreign exchange amongst themselves (and their customers and other third-parties)."
- WikiPedia Entry
- Official CIS Site
WikiPedia Entry on the Forex Market
Saturday, September 26, 2009
Nassim Nicolas Taleb
Lebanese-American, trained as a statistician, traded for various high-profile financial houses, became independently wealthy due to profits made on trades during the 1987 crash, has subsequently written a number of books on the tendency of modern quantitative finance to underestimate the frequency of rare events, with disastrous consequences.
Library of Economics & Freedom, interview by Russ Roberts
another podcast
NYTimes article by Malcolm Gladwell on Taleb and Victor Niederhoffer.
Library of Economics & Freedom, interview by Russ Roberts
another podcast
NYTimes article by Malcolm Gladwell on Taleb and Victor Niederhoffer.
Monday, September 21, 2009
ClearStream
WikiPedia Entry Summary:
---
In 1983, Clearstream director Gérard Soisson was found dead in Corsica, just prior to the publicization of the fact that Clearstream had been moving money for Vatican/Italian mob/US proxy/Masonic bank Banco Ambrosiano, itself at the centre of scandal as a result of high-profile murders and financial losses.
"Clearstream Banking S.A. (CB) is the custody and settlement division of Deutsche Börse, based in Luxembourg.
It was created in January 2000 through the merger of Cedel International and Deutsche Börse Clearing, part of the Deutsche Börse Group, which owns the Frankfurt Stock Exchange. Cedel, established in 1971, specialized in clearance and settlement. In 1996 it obtained a bank license. In July 2002 Deutsche Börse purchased the remaining 50% of Clearstream International for €1.6 billion. Deutsche Börse's strategy is to be a vertical securities silo, providing facilities for the front and back ends of securities trading. In 2008 Clearstream contributed €489 million to Deutsche Börse's total Earnings Before Interest and Taxes (EBIT) of €1,5 billion. It handled 114 million transactions, and was custodian of securities worth €10,6 trillion (Deutsche Boerse Annual Report, 2008).
In Révélation$ (2001), by investigative reporter Denis Robert and ex-Clearstream banker Ernest Backes, Clearstream was accused of being an international platform for money laundering and tax evasion via an illegal system of secret accounts (the "Clearstream Affair"). M Robert was sued and sentenced eight times by the French courts for defamation (Paris court of appeal, October 16, 2008)
In Spring 2004, a "Second Clearstream Affair" began, which attracted more attention in 2006. Peripheral to the primary Clearstream Affair, it accused several French political figures, industrial leaders, and members of the secret services of maintaining secret accounts at Clearstream, which allegedly were used to transfer kickbacks in a France–Taiwan frigates scandal. In this affair M Robert together with M de Villepin, Gergorin, lahoud and Bourges will face trial in September 2009"
BBC Article : France-Taiwan Arms-Deal Scandal
---
In 1983, Clearstream director Gérard Soisson was found dead in Corsica, just prior to the publicization of the fact that Clearstream had been moving money for Vatican/Italian mob/US proxy/Masonic bank Banco Ambrosiano, itself at the centre of scandal as a result of high-profile murders and financial losses.
4 Financials Constitute Majority of NYSE August Volume
Bank of America
CitiGroup
Freddie Mac
Fannie Mae
Daily Finance
Yahoo Finance
Ryan Vlastelica - Tue Aug 25 2009 - Reuters:
Citigroup (C.N), Bank of America (BAC.N), Freddie Mac FRE.N and Fannie Mae FNM.N have dominated trading recently as each has more than doubled in price from 2009 lows.
On Monday and on Tuesday morning, the four accounted for more than 40 percent of composite volume on the NYSE. Some attributed this to bets on hoped-for economic improvement and ongoing government support, but others said the volume was due to speculation in popular names with low share prices.
CitiGroup
Freddie Mac
Fannie Mae
Daily Finance
Yahoo Finance
Ryan Vlastelica - Tue Aug 25 2009 - Reuters:
Citigroup (C.N), Bank of America (BAC.N), Freddie Mac FRE.N and Fannie Mae FNM.N have dominated trading recently as each has more than doubled in price from 2009 lows.
On Monday and on Tuesday morning, the four accounted for more than 40 percent of composite volume on the NYSE. Some attributed this to bets on hoped-for economic improvement and ongoing government support, but others said the volume was due to speculation in popular names with low share prices.
Friday, September 18, 2009
Algorithmics - Quantitative Risk Analysis in RSA
Algorithmics RSA
Company WebSite
Braby's Entry
mBendi Entry
Hot Frog Entry - Doesn't Work
Toronto/London/Johannesburg - April 9, 2008 - Algorithmics today announced that Nedbank has received Advanced IRB approval for credit risk capital requirements under Basel II from the South African Reserve Bank (SARB). This makes Nedbank one of only three banks in South Africa to be granted A-IRB approval for credit risk, the first banks to be granted this status by the SARB.
Company WebSite
Braby's Entry
mBendi Entry
Hot Frog Entry - Doesn't Work
Toronto/London/Johannesburg - April 9, 2008 - Algorithmics today announced that Nedbank has received Advanced IRB approval for credit risk capital requirements under Basel II from the South African Reserve Bank (SARB). This makes Nedbank one of only three banks in South Africa to be granted A-IRB approval for credit risk, the first banks to be granted this status by the SARB.
Wednesday, September 16, 2009
alleged gold market manipulation by goldman-sachs
SEEKING ALPHA
"There is no other leveraged commodity market where short sellers increase their positions, materially, as the price rises, and increase them even more when prices are exploding, except gold and silver. The reason traders don’t normally do that is that it exposes short sellers to unlimited liability and risk. Yet, in both March and July 2008, and on countless occasions over the past 21 years, vast numbers of new gold and silver short positions were temporarily opened up, with the position holders seemingly unconcerned about the fact that precious metals had just risen exponentially, and that there was a very real potential they would bankrupt themselves with unlimited upside potential. Normal traders would not expose themselves to such unlimited risks.
I conclude, therefore, that over the last 21 years or so, “fake” precious metals supply in the form of promises of future delivery have habitually been increased when prices increase until increased “supply” managed to overwhelm increased demand, leading to a temporary price collapse. This is compounded by the fact that the futures prices on COMEX tend to dictate the “official” report price for the precious metals elsewhere."
article
---
Interestingly, gold's recent breaking through of the USD 1000 mark is followed by an announcement by the IMF that it plans to sell gold equal to 1/8 of it's total reserves.
IOL Article 2009-09-21
"There is no other leveraged commodity market where short sellers increase their positions, materially, as the price rises, and increase them even more when prices are exploding, except gold and silver. The reason traders don’t normally do that is that it exposes short sellers to unlimited liability and risk. Yet, in both March and July 2008, and on countless occasions over the past 21 years, vast numbers of new gold and silver short positions were temporarily opened up, with the position holders seemingly unconcerned about the fact that precious metals had just risen exponentially, and that there was a very real potential they would bankrupt themselves with unlimited upside potential. Normal traders would not expose themselves to such unlimited risks.
I conclude, therefore, that over the last 21 years or so, “fake” precious metals supply in the form of promises of future delivery have habitually been increased when prices increase until increased “supply” managed to overwhelm increased demand, leading to a temporary price collapse. This is compounded by the fact that the futures prices on COMEX tend to dictate the “official” report price for the precious metals elsewhere."
article
---
Interestingly, gold's recent breaking through of the USD 1000 mark is followed by an announcement by the IMF that it plans to sell gold equal to 1/8 of it's total reserves.
IOL Article 2009-09-21
Wednesday, September 9, 2009
Jim Simons - Renaissiance Tech
Jim Simons is an American mathematician hedge-fund baron - controlling quantitative funds under the banner of Renaissance Technologies Corp.
Renaissance' flag-ship vehicle is the Medallion fund.
Articles
DistressedVolatility
NYTimes
Bloomberg Bio - The Code Breaker
Jan 2011 - Simons speaks at MIT
Renaissance' flag-ship vehicle is the Medallion fund.
Articles
DistressedVolatility
NYTimes
Bloomberg Bio - The Code Breaker
Jan 2011 - Simons speaks at MIT
Jim Rogers - Quantum Fund Co-Founder
Jim Rogers is a co-founder of the Soros affiliated Quantum Fund.
Wednesday, August 26, 2009
Tuesday, August 18, 2009
Sunday, August 2, 2009
The Bond Ladder
From John Mauldin's weekly letter 'Outside the Box' [as blog], 'the Great Reflation Experiment' :
"A bond ladder is a very useful tool for most people. Holdings are staggered over, say, a five-year time frame, and maturing bonds are invested back into five-year bonds, keeping the portfolio structure in the zero-to-five-year range. In this way, some protection against a future rise in price inflation and falling bond prices can be achieved."
"A bond ladder is a very useful tool for most people. Holdings are staggered over, say, a five-year time frame, and maturing bonds are invested back into five-year bonds, keeping the portfolio structure in the zero-to-five-year range. In this way, some protection against a future rise in price inflation and falling bond prices can be achieved."
Saturday, July 18, 2009
Volatility & Algorithmic Trading (Themis white paper)
John Mauldin, an American CFA with some buddies in the establishment (Stratfor) recommends Themis Trading white paper Toxic Equity Trading Order Flow on Wall Street, in his weekly newsletter 'Out of the Box'.
In short, certain market actors (makers?) are involved in mutually beneficial relationships with certain exchanges wherein they use massive computing resources close coupled to the the exchange infrastructure in order to arbitrage the market through algorithmic trading techniques most likely exploiting certain marginal privileges they enjoy as market-makers, together with their unmatched response times, and presumably unmatched pocket depths (hey, if you owned the Fed ?).
Basically they shake the sieve and collect what falls through. Not much gets through, but if you have a million sieves, then you're in business. And everyone else is not.
On an entirely unrelated topic, Goldman Sachs recently reported an INCREASE in earnings of 33 % (according to Reuters) over the last quarter. Now I'm not exactly sure what the period is, but it must be approximately March-June, which is pretty much the bull period of the last bounce, so all I can say is that it would certainly appear as if they timed things to a tee. It should possible be noted that this is a period in which most participants in the real economy, developed and not, continue to experience almost unprecedented levels of adversity.
In the Reuter's article, NY money manager Michael Holland is quoted as saying "Even though I was prepared for really good results, the magnitude of their success in trading I think is breathtaking.", and "They are showing once again that they are the smartest guys in the room.".
Ahem.
In short, certain market actors (makers?) are involved in mutually beneficial relationships with certain exchanges wherein they use massive computing resources close coupled to the the exchange infrastructure in order to arbitrage the market through algorithmic trading techniques most likely exploiting certain marginal privileges they enjoy as market-makers, together with their unmatched response times, and presumably unmatched pocket depths (hey, if you owned the Fed ?).
Basically they shake the sieve and collect what falls through. Not much gets through, but if you have a million sieves, then you're in business. And everyone else is not.
On an entirely unrelated topic, Goldman Sachs recently reported an INCREASE in earnings of 33 % (according to Reuters) over the last quarter. Now I'm not exactly sure what the period is, but it must be approximately March-June, which is pretty much the bull period of the last bounce, so all I can say is that it would certainly appear as if they timed things to a tee. It should possible be noted that this is a period in which most participants in the real economy, developed and not, continue to experience almost unprecedented levels of adversity.
In the Reuter's article, NY money manager Michael Holland is quoted as saying "Even though I was prepared for really good results, the magnitude of their success in trading I think is breathtaking.", and "They are showing once again that they are the smartest guys in the room.".
Ahem.
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