Showing posts with label quant. Show all posts
Showing posts with label quant. Show all posts

Sunday, March 6, 2011

Savouri @ ToscaFund declares South Africa fatally flawed. ANC Youth League president Julius Malema backs him up.

Savvas Savouri, chief economist and partner at hedge fund TosacaFund, has issued a report (published by Reuters) in which he declares that South Africa is "socially, politically and demographically flawed. It will malfunction within 15 years. It will go the way of MENA (the Middle East and North Africa) but the blow-up will be much more serious".

By way of support, he cites the fact that "professional whites and blacks are leaving in hordes - the human capital is decaying", and that the state exhibits a "lack of centralised leadership".

Savouri forecasts that as a result of this dysfunctional state, "Russia and Australia will win out. The surge in commodity prices will benefit them".

---

Savouri has a history of being contrarian and outspoken, having previously gone on record as stating "Finance is almost lawless. The nature of regulation is so light touch that it may as well not be there at all" during an address to the London School of Economics.

---

To put the prognostication in context, here are some of the things that ANC Youth League president Julius Malema had to say at an official party function (held in the lead up to the local government elections) last week.

[It is blatantly clear to everyone but his electorate that this is primarily an attempt to redirect dissatisfaction with the ANC's actual poor delivery of service, from the corrupt government officials where it belongs, to the sitting duck target of the white minority.]

News24
We want 60% of Anglo, says Malema:

“What Anglo does with the other 40% is their business,” ANCYL president Julius Malema said at a gala dinner in Nelspruit on Friday, predicting that the ­nationalisation of mines would “happen in my lifetime”.

...



“Share that delicious piece of cake. Don’t eat it all alone!” he said to loud applause.

...

Malema said unemployment was the cause of recent political unrest, and nationalisation was the way to solve it.

“Maybe it’s time for the youth to climb into the driving seat of the car,” he said.

...

“The Oppenheimers don’t need to worry because we only want 60% of Anglo American’s money,” he said.

...

“An uprising is coming to South Africa, and the uprising won’t be against the ANC,” he said to screaming and cheering members of the ANCYL.

“The uprising will target white men and white monopolies,” he warned. “It won’t be aimed at white women."


...

And finally, the statement that should in time go down as Malema's crowning glory of logical extrapolation:

To prevent the revolution from losing steam, Malema urged a full hall in the Ehlanzeni District Municipality building to have as many babies as possible. ­

“Having babies is a revolutionary thing. You must reproduce! If you shame a black man about his large family, you should immediately change your ­attitude.


---

If you were wondering if this was just a random, egregious outburst, then let the words of the chairperson of the South African Democratic Teachers Union, Moss Senye, as reported in the Sowetan, put your mind at rest:

Addressing about 1,000 teachers during a mass meeting yesterday, Senye said:

"Whether [Gauteng Education Board MEC] Barbara [Creecy] likes it or not, we will have our meetings. Despite Barbara, we will vote for the ANC during the elections and they will remove her. Let us not embrace satanic people. Down with Satanism.

"You cannot be friends with white people, they will Satanise you," he said.

Creecy was called "satanic" for implementing the no work, no pay policy for teachers who took part in last year's month-long public sector strike.

...

"At no stage should you be friends with white people, they will satanise you."

---

Finally, here's how Anne Paton, the widowed wife of Alan Paton, the late author of Cry the Beloved Country, describes the situation:

A character in Cry, The Beloved Country says: "I have one great fear in my heart, that one day when they are turned to loving they will find we are turned to hating." And so it has come to pass. There is now more racial tension in this country than I have ever known.

But it is not just about black-on-white crime. It is about general lawlessness. Black people suffer more than the whites. They do not have access to private security firms, and there are no police stations near them in the townships and rural areas. They are the victims of most of the hijackings, rapes and murders. They cannot run away like the whites, who are streaming out of this country in their thousands.

...

I was so sorry he [Alan Paton] did not witness the euphoria and love at the time of the election in 1994. But I am glad he is not alive now. He would have been so distressed to see what has happened to his beloved country.

Thursday, March 3, 2011

Russian Ex-Goldman Algo Developer Imprisoned for IP Theft

NYTimes, 2011/03/02
Judge Unexpectedly Imprisons Ex-Goldman Programmer:

A federal judge has unexpectedly locked up the former Goldman Sachs programmer found guilty of stealing the investment bank’s computer code.

The Goldman executive, Sergey Aleynikov, had been on house arrest pending sentencing in a few weeks. But after the government warned he was a flight risk, Judge Denise L. Cote imprisoned Mr. Aleynikov, ruling that there was not “clear and convincing evidence” that he was not likely to flee the United States

He is set to be sentenced on March 18. The government is pushing for Mr. Aleynikov to serve between 8 and 10 years.

...


In December, a jury found Mr. Aleynikov guilty of stealing Goldman’s computer code for high-frequency trading when he left the bank to join a start-up in 2009. Prosecutors depicted Mr. Aleynikov, a Russian-born immigrant, as a brazen thief who uploaded thousands of lines of source code from the firm.

Mr. Marino, the lawyer for Mr. Aleynikov, called the government’s case “a silly prosecution” during the trial. He acknowledged that his client made a mistake in violating Goldman’s confidentiality policies, but insisted that he did not commit a federal crime.


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

NYTimes, 2009/07/07
The Man Accused of Stealing Goldman’s Code :

But over five days in early June, the authorities say, he stole proprietary, “black box” computer programs that Goldman uses to make lucrative, rapid-fire trades in the financial markets. Their value, experts say, could be incalculable.

Mr. Aleynikov, however, will not get a chance to use those secrets. He was arrested by federal agents on Friday evening, as he got off a plane at Newark Liberty International Airport. He has pleaded not guilty to charges of theft of trade secrets and transporting them abroad.

..

However, at a court appearance in Manhattan on July 4, Joseph Facciponti, the assistant United States attorney, told a federal judge that Mr. Aleynikov’s supposed theft posed a risk to United States financial markets and that other people may have had access to it, according to Bloomberg News.

“The bank has raised the possibility that there is a danger that somebody who knew how to use this program could use it to manipulate markets in unfair ways,” Mr. Facciponti said in the court, according to Bloomberg. “The copy in Germany is still out there, and we at this time do not know who else has access to it.”


Court Transcript

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

2011-03-18
NJ.com

Aleynikov has been sentenced to 8 years for the theft. ZeroHedge relevantly notes that, apart from Bernie Madoff, this is the longest sentence to be handed down to any financial professional involved in the crisis.

In the words of Joe Saluzzi from Themis Trading:

"Don't cross the the Vampire Squid."


Wikipedia:  Vampyroteuthis infernalis, lit. "vampire squid from 'Hell'"









Saturday, January 15, 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. <<<

Monday, December 20, 2010

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

Wednesday, July 21, 2010

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

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.

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