Monday, January 19, 2015

The eurozone: A strained bond -

The eurozone: A strained bond - The opposition to ECB policy in Germany.

"The German media are likely to be hostile. Commentators tend to criticise the ECB, sometimes virulently, with the financial weekly WirtschaftsWoche condemning low interest rates as a “diktat from a new Banca d’Italia, based in Frankfurt” — a reference to Mr Draghi’s Italian citizenship.
An ECB charm offensive has seen the usually media-shy president give interviews to German media. But PR will not win the day just yet. Marcel Fratzscher, head of the DIW think-tank and a former ECB official, says: “ A big majority of economists and journalists won’t like [QE]. Very few will support it.”"

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Saturday, January 17, 2015

Background on technical analysis and technical trading

Scan for chart patterns software - Quantitative Finance Stack Exchange:

"Is there any software out there that currently would allow you to scan historical charts and look for a specific pattern and then show you that pattern for a list of stocks. Google finance and yahoo finance have all the charting data needed to visually detect certain patterns, but I was wondering if there was software out that I could define a particular pattern and then it would show me a bunch of real world examples of that pattern by scanning a dump of symbols. Does any such software exist or something to do something similar to this? I actually have a custom pattern I want to scan (that or I do not yet know the name of it) Not really sure how to word this but I am thinking of having it scan the recent behavior of a stock and then to scan a list of symbols for that pattern but historically back in time, not the present."

There are a lot of links to web sites, blogs and papers that will seek to find some quantitative trading techniques.

Tuesday, January 13, 2015

Heat Death: Venture Capital in the 1980s

Heat Death: Venture Capital in the 1980s: The importance of credit.

"The history repeats itself crowd thinks that that there must be a bubble sooner or later. “Now?” they constantly ask, “Is it a bubble now?” as if history has to repeat whatever was most memorable about the last time. History may repeat itself, but there’s an awful lot of history that this particular venture capital cycle could repeat. Below is a short history of venture capital in the 1980s, my interpretation and comparison to the ’90s and today, and some thoughts about what that means. It’s long. If you’re attention-deprived, skip to ‘1980s v. 1990s’, about four-fifths of the way down."

Inflation is always and everywhere a monetary phenomenon.  Not  just in the price of goods and services but also in assets.  This also affects the performance of financial services companies.  With more credits, the companies have an easier time.   Venture capital and private equity are a big beneficiary of that.

Friday, January 09, 2015

Uncertainty and disagreement

Liberty Street Economics (US Fed research blog) examines the difference between uncertainty and disagreement.

"Uncertainty is of considerable interest for understanding the behavior of individuals as well as the movements in key macroeconomic and financial variables. Despite its importance, direct measures of uncertainty aren’t widely available. Because of this data limitation, a common practice is to use survey-based measures of forecast dispersion—reflecting disagreement among respondents—to proxy for uncertainty. Is this a reliable practice? Here, we review the distinction between disagreement and uncertainty as concepts, and show that this conceptual distinction carries over to their empirical counterparts, suggesting that disagreement is not generally a good proxy for uncertainty. "

Tuesday, December 30, 2014

Financial Innovation and Risk Management

An overview of Shiller and his ideas about the way that financial innovation can be extended into fields that will help to manage and control risk.  Financial Innovation and Risk Management — Money, Banking and Financial Markets:

"Another example regards mechanisms to manage exposure to systematic income fluctuations at the aggregate level: Kamstra and Shiller have proposed that governments issue “trills” – a perpetual security with an annual coupon that pays one-trillionth of nominal GDP. For example, in the United States, that coupon would have been set at $17.60 as of the third quarter of 2014. In theory, when income growth is strong, government can afford higher coupon payments, while lower coupons would cushion the fiscal balance when the economy falters. At the same time, owning a trill would allow pension managers both to protect their clients against inflation and to benefit from the economy’s long-term growth – including the gains in both wages and profits. And, if many governments were to issue trills – with coupons related to their national GDP – savers could easily form a globally diversified investment portfolio, providing a cheap hedge against the idiosyncratic income risks of their domestic economy. So far, however, no government has issued a trill."

Useful for the ways that it can focus the discussion of the role of the financial system.

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Saturday, December 27, 2014

Statisticians in World War II: They also served | The Economist

Statisticians in World War II: They also served | The Economist: "“Peace finally returned, and the statistical scene in the United Kingdom had been completely transformed,” wrote Barnard and Plackett. “No other method would have produced these changes in only six years.” Dozens of clever young people had been taught a fast-changing new subject—and in many cases done original research. Even routine work was elevated by the urgency and camaraderie of the war effort—and even the fact that they were new to the field. “A lot of the work was statistically boring,” Sir David says now. “But the point is that I didn’t really know anything.”"

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Wednesday, December 24, 2014

Piketty’s (unintended) advice for investors | Gavyn Davies

Piketty’s (unintended) advice for investors | Gavyn Davies: "Finally, though, let us circle back to the real rate of return on capital. Can it really stay indefinitely about 4 per cent, as Prof Piketty suggests, at a time when central banks are setting interest rates at zero, and when the growth rate, g, is slowing down? Boiled right down, he himself says that this is his central claim. But in modern textbook economic models, while the rate of return on capital can remain higher than g in the long term, it is likely to decline when g declines."

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