Late Night Quantology
Submitted by Tyler Durden on 06/19/2009 - 02:08Bedtime reading for the wonkish insomniac-cum-strange attractor seeker in all of us. Additionally, London readers are lucky - Dr. Paul Wilmott, one of the best known and most respected financial quants, will host on July 8 a free quant and event driven trading forum called 'Evolving Strategies in the New World Order', covering topics such as:
- Transforming your strategies to respond to changing liquidity dynamics
- Generating alpha with differentiated content
- Going global:opportunities and challenges
- Effective strategies for the current market environment
Federal Reserve Balance Sheet Update: Week Of June 17
Submitted by Tyler Durden on 06/18/2009 - 21:56Total Federal Reserve balance sheet assets for the week of June 17 of $2,053 billion consisting of:
Federal Reserve Balance Sheet Update: Week Of June 17
Submitted by Tyler Durden on 06/18/2009 - 21:56Total Federal Reserve balance sheet assets for the week of June 17 of $2,053 billion consisting of:
TrimTabs CEO Provides Realistic View On Economy
Submitted by Tyler Durden on 06/18/2009 - 20:40With quotes like "as opposed to the other commentators on CNBC, i think the banks are a great short here," this is a must watch video from TrimTabs' Charles Biderman.
VWAP Reversion Programs Win The Day
Submitted by Tyler Durden on 06/18/2009 - 19:04The 4 or 5 computers that were trading with each other today all executed perfectly according to the "regress to VWAP" program. If you were a human (presumably, since only a few East Setauket machines do serious OCRing here), and you thought you had any edge trading this market, you were a fool. Play again though, and better luck tomorrow.
VWAP Reversion Programs Win The Day
Submitted by Tyler Durden on 06/18/2009 - 19:04The 4 or 5 computers that were trading with each other today all executed perfectly according to the "regress to VWAP" program. If you were a human (presumably, since only a few East Setauket machines do serious OCRing here), and you thought you had any edge trading this market, you were a fool. Play again though, and better luck tomorrow.
We Have Mortgage Lift Off
Submitted by Tyler Durden on 06/18/2009 - 18:26The spread between mortgages and the 10 year just exploded...
But not because anyone is buying the 10 year.
Deutsche Bank Projecting A 40% Decline In NY Housing Prices
Submitted by Tyler Durden on 06/18/2009 - 17:01After the good folks in the Deutsche Bank securitization group anticipated a 47% drop in NY housing prices in March, they have released an updated report discussing the future pain in the top 10 MSA, and the biggest outlier by a big margin, once again, is the New York-White Plains-Wayne NY-NJ MSAD.
Intraday Credit Observations
Submitted by Tyler Durden on 06/18/2009 - 16:17Quants are back pushing the market up on no volume in tried and true fashion. Credit panicking, as 7 shares of something or another higher means inflation is here to stay. In the meantime, mortgages are on a one way street higher, while 2s10s are enjoying the cattle gun. At the same time, Treasury vol is starting to pick up again: just what the doctor ordered for a quant manipulated market as even PT volume disappears.
So which will it be Bernanke: 401(k) down only50% form their peak or people buying that 7th vacation home again.
Treasury Supply On Deck: $104 Billion
Submitted by Tyler Durden on 06/18/2009 - 15:08As the 10 Year has resumed its daily pounding (and it seemed like just yesterday that bond concerns had disappeared... oh wait it was - time to deflate equities guys), the scheduled bond releases for next week should make the bond vigilantes giddy at the prospect of further uncovering China's growing lack of interest in US printed pieces of paper.
Here is the line up for next week:
$40 billion 2 Years on Tuesday
$37 billion 5 Years on Wednesday
Rosenberg: "Era Of Green Shoots Over"
Submitted by Tyler Durden on 06/18/2009 - 13:54Good, succinct obit of the Green Shoots period compliments of Rosie's headline points from his morning piece.
Era of the Green Shoots is Over
The Doubling Of Unemployment "Paychecks"
Submitted by Tyler Durden on 06/18/2009 - 13:13As program trading computers pretend to care about such fundamental things as continuing jobless claims, a peculiar trend emerges.
