From the monthly archives:

April 2009

Thursday trends are so hot right now

April 30, 2009

Based on the reaction to Monday's Google Trends post, The Don (you may also know him as R) is going to help me with a new regular section analyzing interesting trends and insights that can be found using Google's public search data. We're going to leg into trend analysis with something relatively simple: extracting seasonality and trend […]

0 comments Read the whole post →

Just in time for the LOST season finale

April 30, 2009

ABC shows are coming to Hulu!  Cleverly, NBC/News Corp-owned Hulu has always listed ABC shows, but the links directed to ABC's hosted player. Will you watch LOST at Hulu? (Obviously. Multiple times. ) Can CBS's tv.com stand up to the challenge? (Hulu is more of a video aggregator; tv.com is more of a television resource […]

0 comments Read the whole post →

The Short Squeeze

April 30, 2009

It is a favorite chorus of the anti-CDS crowd that CDS can make it more difficult for a company to survive, since bidding up CDS prices can affect the firm's cost of borrowing. This is about a hair's width away from the oft-cited argument that "short selling is bad because it drives down stock prices," […]

0 comments Read the whole post →

Voters may prefer candidates with similar facial features

April 28, 2009

There has been extensive psychological research into the fact that people are more receptive to others who are perceived as being similar. A new study from Stanford by Jeremy Bailenson, Shanto Iyengar, Nick Yee and Nathan Collins has applied this finding to the political sphere (pdf link). The research, published with the telling title "Facial […]

0 comments Read the whole post →

How to lose your money without really trying

April 27, 2009

An author describes a lose-lose strategy.

1 comment Read the whole post →

Touché.

April 27, 2009

I have been doing some research on text analysis, in particular on extracting sentiment in the absence of context (a la Twitter).  Among all the theory, I came across the following joke which I think really captures the complexity of any natural language processing (not that it prevents us from trying): A linguistics professor was […]

0 comments Read the whole post →

From the "future knowledge" file

April 25, 2009

Just overheard on Charles Schwab radio (a story for another time): Astute investors know the stock market typically bottoms before the economy. If only an investor could identify a bottom without the benefit of hindsight, such knowledge would actually be useful.

0 comments Read the whole post →

Cars burn at this spot

April 25, 2009

The research of Nobel prize winning professors Kahneman and Tversky is among my favorites, and Haaretz has published an article littered with excellent anecdotes tying their findings back to familiar situations. I particularly enjoyed this one, regarding the security we find in perceived aid, even if the aid itself is worthless: It concerns a group of […]

0 comments Read the whole post →

How (not) to design a stress test

April 25, 2009

Of course the big news of Friday afternoon was the preliminary release of the metrics used in the bank stress tests.  Unfortunately it didn't turn out to be much news at all; few hard figures were revealed and those that were came largely within expectations.  The NYTimes published an excellent copy of the document right […]

0 comments Read the whole post →

The NFL can kiss my tuchus

April 25, 2009

I apologize for being late with this:

0 comments Read the whole post →

Morgan Stanley's missing month

April 23, 2009

Morgan Stanley took a page from the Goldman playbook and disappeared their month of December and it's $1.3B loss. For some reason, the WSJ decided to write an actual article about it, whereas GS's December loss was only worthy of a blog post.

0 comments Read the whole post →

The mysterious case of the SPX spike

April 23, 2009

Get out your tin foil hats, there's something sinister afoot! Zero Hedge, a blog which has been getting an astounding amount of press lately (in particular because of this rumor) posted the following picture this afternoon "without commentary" (please note I recreated their image to use EST times): This is called a volume-at-price chart, or […]

5 comments Read the whole post →

test post

April 22, 2009
0 comments Read the whole post →

Batter up: WFC

April 22, 2009

The newest sideshow in the circus that is the banks' 1Q earnings is Wells Fargo, who most recently was spotted igniting a strong rally with the early announcement that earnings would not only beat the expected number of $0.39/share, but knock it out of the park, guiding expectations to $0.55/share. Today the number came in right […]

0 comments Read the whole post →

Fire safety

April 21, 2009

Via Modern Mechanix.

0 comments Read the whole post →

Solve a mystery or rewrite history

April 21, 2009

Uh-oh, the naive journalist has even more naive readers: In response to my article on the financial mess, Goldblog reader Dan Simon writes in to explain the market's recent follies. I am not going to print the explanation here lest someone read it, but basically it claims that the pre-1980 stock market was a beacon of efficiency […]

0 comments Read the whole post →

QOTD: anecdotal evidence edition

April 21, 2009

Few things bother me more than the use of random or one-off stories as evidence. Reasoning like that does absolutely nothing to sway me, and I'll probably just mumble something about Taleb's Fooled by Randomness. In a somewhat related post, Megan McArdle put it succinctly: The plural of "anecdote" is not "data". Brilliant.

0 comments Read the whole post →

The iTunes experiment

April 20, 2009

The first week of results on iTunes' tiered pricing are in and they are positive.  According to a Billboard report, songs which experienced price hikes of 30% sold only 12.5% fewer units (only 6.9% fewer if you ignore "the expected second-week drop of Black Eyed Peas' Boom Pow Pow" - a wholly un-justified remark which […]

0 comments Read the whole post →

Unemployment map

April 20, 2009

Slate has an interactive map which illustrates job losses by county throughout the US over the last two years. It's very sobering to watch the red circles (representing losses) explode in late 2008.

0 comments Read the whole post →

A casualty of chance

April 20, 2009

I discovered this Atlantic article ("Why I Fired My Broker") on MB's blog.  I came to enjoy it in the end, but while I was reading it I was struck by how representative it is of contemporary financial journalism.  This is the new cookie cutter article: naive reporter is encouraged by rich capitalists to invest, […]

2 comments Read the whole post →

The math (and myths) of leveraged ETFs

April 20, 2009

Leveraged ETFs are vehicles which provide non-recourse leverage on various sectors or strategies. For example, every day the double-inverse financials SKF returns roughly -2 times the daily return of the DJ Financials index. These products are a favorite of mine not simply in a speculative framework, but in a quantitative one. Many people make the […]

0 comments Read the whole post →

"Bright" ideas

April 20, 2009

It's hard to believe FT Alphaville is taking this seriously, but they are: markets and sunspot cycles. Apparantly, as this very convincing graph shows, recessions correspond with the regular sunspot cycle: As this plainly demonstrates, there is a perfect correlation with sunspots and recessions.  Except for that little recession in the 1930's, but that one doesn't count, […]

0 comments Read the whole post →

Thoughts on risk management

April 20, 2009

Naked capitalism put out an open call for thoughts on the state of risk management on trading desks. The comments are well worth a curious read (how many times have you said that about a blog post?). It is interesting that when you get enough academics and practitioners shouting in a room, risk management becomes […]

0 comments Read the whole post →

QOTD: disgusting arrogance edition

April 20, 2009

Makes me angrier than anything yet (spotted over at AK): “No offense to Middle America, but if someone went to Columbia or Wharton, [even if] their company is a fumbling, mismanaged bank, why should they all of a sudden be paid the same as the guy down the block who delivers restaurant supplies for Sysco […]

0 comments Read the whole post →

Where green shoots come from

April 17, 2009
0 comments Read the whole post →

Models are just the tool

April 17, 2009

I'm a big fan of Emanuel Derman.  His memoir My Life as a Quant tells the story of a young physics Ph.D. who stumbled into finance and eventually became the head of Goldman Sach's Quantitative Risk Strategies group.  He currently oversees the financial engineering program at Columbia University and is the CRO of Prisma Capital. Today […]

0 comments Read the whole post →

BMW: Checkmate

April 17, 2009

Amazing ads in Santa Monica, as a sign for the new Audi A4 is countered by BMW's new M3:

7 comments Read the whole post →

Explaining MTM

April 17, 2009

I really enjoyed a new post from Rortybomb that includes a great distillation of the mark to market debate: So in the early 1990s, when I was in Junior High, there was a craze about collecting and trading baseball cards. Our classroom would have a corner during lunch where we’d all compare, with our binders […]

0 comments Read the whole post →