Historical South African Interest Rates

Source = South African Reserve Bank Historical Data


South African Real Prime Overdraft Rate
1968 - 2011
Source = South African Reserve Bank


South African Real Prime Overdraft Rate
2002-2011


Prime vs Repo vs Inter-Bank
2001-2011

In the period 2001-2011, the Prime Rate is typically = Repo Rate + 3.5%, while the InterBank rate is typically = Repo - 1.5%, for a situation of Prime = Interbank + 5%.


South African Interest Rate Differentials
2001 - 2011

Adjusted Closing Price - Definition

DEFINITION - investopedia

>> A stock's closing price on any given day of trading that has been amended to include any distributions and corporate actions that occurred at any time prior to the next day's open. The adjusted closing price is often used when examining historical returns or performing a detailed analysis on historical returns. <<

CALCULATION - investopedia


>>> When distributions are made, the adjusted closing price calculations are quite simple. For cash dividends, the value of the dividend is deducted from the last closing sale price of the stock. For example, let's assume that the closing price for one share of XYZ Corp. is $20 on Thursday. After close on Thursday, XYZ Corp. announces a dividend distribution of $1.50 per share. The adjusted closing price for the stock would then be $18.50 ($20-$1.50).

If XYZ Corp. announces a 2:1 stock dividend instead of a cash dividend, the adjusted closing price calculation will change. A 2:1 stock dividend means that for every share an investor owns, he or she will receive two more shares. In this case, the adjusted closing price calculation will be $20*(1/(2+1)). This will give you a price of $6.67, rounded to the nearest penny.

If XYZ Corp. announces a 2:1 stock split, investors will receive an extra share for every share they already own. This time the calculation will be $20*(1/(1x2)), resulting in an adjusted closing price of $10. <<<

Market Signals - OverBought - Paul Hickey @ Bespoke

2011-01-01 - Edward Krudy @ Reuters
Hangover or afterparty for stocks?

An array of technical factors show the market may be at the top end of its recent trading range, but strongly trending markets often produce false signals.

"There is no denying the fact that the market is overbought," said Paul Hickey, an analyst at Bespoke Investment Group in Harrison, New York. "The entire month of December the S&P 500 has closed in overbought levels everyday."

Hickey considers the S&P 500 overbought when it moves one standard deviation above its 50-day moving average. But looking at prior months where that has occurred he found performance the next month was above average instead of reverting to the mean.

"Momentum tends to carry the market further," he said.

--- --- --- --- --- --- --- --- --- --- --- ---

Update 2015/12/15

Oil Price History - Cushing Futures, NYMEX Weekly Close

West Texas Intermediate for delivery @ Cushing OK
2001 to 2015

WTI $/barrel 2001 - 2015

West Texas Intermediate for delivery @ Cushing OK
2006 to 2015

West Texas Intermediate for delivery @ Cushing OK
2011 to 2015

West Texas Intermediate for delivery @ Cushing OK
2014 to 2015

Thomson Reuters/Jefferies CRB Index

The CRB index tracks a basket of commodities.

Jefferies Website:

- Data
- Documentation

Canadian Inflation

http://www.tradingeconomics.com/Economics/Inflation-CPI.aspx?Symbol=CAD

Algorithmic Trading

InvestoPedia:
A trading system that utilizes very advanced mathematical models for making transaction decisions in the financial markets. The strict rules built into the model attempt to determine the optimal time for an order to be placed that will cause the least amount of impact on a stock's price. Large blocks of shares are usually purchased by dividing the large share block into smaller lots and allowing the complex algorithms to decide when the smaller blocks are to be purchased.

WikiPedia

GRAHAM BOWLEY January 1, 2011 - NY Times
Electronic Trading Creates a New Financial Landscape

PodCasts
algotradingpodcast.com

The US's 15 Largest Trading Partners

http://www.census.gov/foreign-trade/statistics/highlights/toppartners.html

Yahoo Finance Symbols

Assorted equity index ticker symbols for Yahoo Finance

SYMBOL  INDEX
-------------------------------------
^GSPC   us S&P500
^IXIC   us NASDAQ Composite
^DJI    us DOW-JONES
^FTSE   uk FTSE100
^FCHI   french CAC40
^GDAXI  german DAX
^N225   japanese NIKKEI
SSE     chinese SHANGHAI COMPOSITE
^HSI    hong-kong HANG-SENG

List of Symbols of Companies on the S&P500

comma-separated-values
as at April 1 2010
taken from wikipedia page 2010-07-18

MMM,ABT,ANF,ADBE,AMD,AES,AET,AFL,A,APD,ARG,AKS,AKAM,AA,AYE,ATI,AGN,ALL,ALTR,MO,AMZN,AEE,AEP,AXP,AIG,AMT,AMP,ABC,AMGN,APH,APC,ADI,AON,APA,AIV,APOL,AAPL,AMAT,ADM,AIZ,T,ADSK,ADP,AN,AZO,AVB,AVY,AVP,BHI,BLL,BAC,BK,BCR,BAX,BBT,BDX,BBBY,BMS,BRK.B,BBY,BIG,BIIB,HRB,BMC,BA,BXP,BSX,BMY,BRCM,BF.B,CHRW,CA,COG,CAM,CPB,COF,CAH,CFN,CCL,CAT,CBG,CBS,CELG,CNP,CTL,CEPH,CERN,CF,SCHW,CHK,CVX,CB,CI,CINF,CTAS,CSCO,C,CTXS,CLF,CLX,CME,CMS,COH,KO,CCE,CTSH,CL,CMCSA,CMA,CSC,CPWR,CAG,COP,CNX,ED,STZ,CEG,CBE,GLW,COST,CVH,CSX,CMI,CVS,DHI,DHR,DRI,DVA,DF,DE,DELL,DNR,XRAY,DVN,DV,DO,DTV,DFS,DISCA,D,RRD,DOV,DOW,DPS,DTE,DD,DUK,DNB,ETFC,EMN,EK,ETN,EBAY,ECL,EIX,EP,ERTS,EMC,EMR,ETR,EOG,EQT,EFX,EQR,EL,EXC,EXPE,EXPD,ESRX,XOM,FDO,FAST,FII,FDX,FIS,FITB,FHN,FSLR,FE,FISV,FLIR,FLS,FLR,FMC,FTI,F,FRX,FO,BEN,FCX,FTR,GME,GCI,GPS,GD,GE,GIS,GPC,GNW,GENZ,GILD,GS,GR,GT,GOOG,GWW,HAL,HOG,HAR,HRS,HIG,HAS,HCP,HCN,HNZ,HP,HES,HPQ,HD,HON,HRL,HSP,HST,HCBK,HUM,HBAN,ITW,TEG,INTC,ICE,IBM,IFF,IGT,IP,IPG,INTU,ISRG,IVZ,IRM,ITT,JBL,JEC,JNS,JDSU,JNJ,JCI,JPM,JNPR,K,KEY,KMB,KIM,KG,KLAC,KSS,KFT,KR,LLL,LH,LM,LEG,LEN,LUK,LXK,LIFE,LLY,LTD,LNC,LLTC,LMT,L,LO,LOW,LSI,MTB,M,MRO,MAR,MMC,MI,MAS,MEE,MA,MAT,MFE,MKC,MCD,MHP,MCK,MJN,MWV,MHS,MDT,WFR,MRK,MDP,MET,PCS,MCHP,MU,MSFT,MIL,MOLX,TAP,MON,MWW,MCO,MS,MOT,MUR,MYL,NBR,NDAQ,NOV,NSM,NTAP,NYT,NWL,NEM,NWSA,NEE,GAS,NKE,NI,NBL,JWN,NSC,NTRS,NOC,NU,NOVL,NVLS,NRG,NUE,NVDA,NYX,ORLY,OXY,ODP,OMC,OKE,ORCL,OI,PCAR,PTV,PLL,PH,PDCO,PAYX,BTU,JCP,PBCT,POM,PEP,PKI,PFE,PCG,PM,PNW,PXD,PBI,PCL,PNC,RL,PPG,PPL,PX,PCP,PFG,PG,PGN,PGR,PLD,PRU,PEG,PSA,PHM,QLGC,PWR,QCOM,DGX,STR,Q,RSH,RRC,RTN,RHT,RF,RSG,RAI,RHI,ROK,COL,ROP,ROST,RDC,R,SWY,SAI,CRM,SNDK,SLE,SCG,SLB,SNI,SEE,SHLD,SRE,SHW,SIAL,SPG,SLM,SII,SJM,SNA,SO,LUV,SWN,SE,S,STJ,SWK,SPLS,SBUX,HOT,STT,SRCL,SYK,SUN,STI,SVU,SYMC,SYY,TROW,TGT,TE,TLAB,THC,TDC,TER,TSO,TXN,TXT,HSY,TRV,TMO,TIF,TWX,TWC,TIE,TJX,TMK,TSS,TSN,USB,UNP,UNH,UPS,X,UTX,UNM,URBN,VFC,VLO,VAR,VTR,VRSN,VZ,VIAb,V,VNO,VMC,WMT,WAG,DIS,WPO,WM,WAT,WPI,WLP,WFC,WDC,WU,WY,WHR,WFMI,WMB,WIN,WEC,WYN,WYNN,XEL,XRX,XLNX,XL,YHOO,YUM,ZMH,ZION,

The Quotron

http://priorartdatabase.com/IPCOM/000129593
http://wiki.answers.com/Q/What_happened_to_Quotron_systems_inc.
http://www.independent.co.uk/news/business/reuters-agrees-to-take-control-of-quotron-marketdata-service-has-lost-citicorp-millions-of-dollars-1399948.html
http://en.wiktionary.org/wiki/Quotron

Data Sources

European Central Bank ECB Data

Bank of Japan - 1
BoJ - 2

EQUITY INDICES

US - s&p 500
US - nasdaq
US - dow-jones industrial avg
UK - ftse 100
EURO - xetra dax
EURO - paris cac40

RSA - JSE ALSI
google finance chart
jse hist data
Bloomberg Interactive Chart

COMMODITIES
TOCOM - TokyCommodities Exchange
Gold - World Gold Council
OIL - Sweet Light Crude - daily data 1983-2009 - US Energy Info Admin
Precious Metals @ The Perth Mint

CURRENCIES
E:USD

AGGREGATORS
BBC
NY Times
Bloomberg

South Africa
South African Reserve Bank - SARB
RSA - CPI - Stats SA
RSA - CPIX - Stats SA


JIBAR
Johannesburg Interbank Agreed Rate
InvestoPedia Definition
Interactive Chart @ WikInvest

Monte Carlo Simulation

Wikipedia:
Monte Carlo methods (or Monte Carlo experiments) are a class of computational algorithms that rely on repeated random sampling to compute their results. Monte Carlo methods are often used in simulating physical and mathematical systems. Because of their reliance on repeated computation of random or pseudo-random numbers, these methods are most suited to calculation by a computer and tend to be used when it is unfeasible or impossible to compute an exact result with a deterministic algorithm.

Wikipedia: MCS in Finance

Introduction to Practical MCS:
using MS Excel
using MatLabe

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]