DeepState
Multi-Strategy, Quant and Fundamental
- Joined
- 30 March 2014
- Posts
- 1,615
- Reactions
- 81
Sensational. Thanks.
Thought Bubbles from the Deep
- Thread starter DeepState
- Start date
Sensational. Thanks.
galumay
learner
- Joined
- 17 September 2011
- Posts
- 3,403
- Reactions
- 2,243
Agreed, I started having a look thru it yesterday - in between reading the Mark's book!
If nothing else this thread is throwing up some terrific reading ideas!!
- Joined
- 30 August 2011
- Posts
- 88
- Reactions
- 1
DeepState
Multi-Strategy, Quant and Fundamental
- Joined
- 30 March 2014
- Posts
- 1,615
- Reactions
- 81
Early lessons from forex. My vol estimates on a daily basis cross check with the margins required for posting positions. On a multi-day period (say, longer than a week), they are holding up. However, for short spurts of two or three days, the P&L movement has been surprising on both ends. Part of it was due to the fact that I have gone through PMI/ISM and NFP announcements. Still, it seemed wide. Overall, the strategy is up since incep.
Led me to look into the underlying autocorrelation structure. To allow for non-linear stuff, fractals seemed the best way to go. Here is what I learned:
The charts are just in case there is a freak out there who is into this stuff like I am.
From the Google Translate Jibber-to-English
+ The more volatile the EURUSD exchange rate, the more that near term trends exist. In other words, there is under-reaction in the near term when big movements are occurring. So, with positions unchanged, the gains/losses over two or three day periods are larger than would be predicted. This is the result of a combination of higher volatility and higher auto-correlation in co-movement.
+ Over the last three years, the most recent period has seen a lot of volatility and a lot of near term trending.
Implications:
+ Set wide stops at explosion protection levels. Don't sweat the small stuff. You'll get stopped out all over the place otherwise. The risk budget was already conservative so no adjustment appeared necessary.
Led me to look into the underlying autocorrelation structure. To allow for non-linear stuff, fractals seemed the best way to go. Here is what I learned:
The charts are just in case there is a freak out there who is into this stuff like I am.
From the Google Translate Jibber-to-English
+ The more volatile the EURUSD exchange rate, the more that near term trends exist. In other words, there is under-reaction in the near term when big movements are occurring. So, with positions unchanged, the gains/losses over two or three day periods are larger than would be predicted. This is the result of a combination of higher volatility and higher auto-correlation in co-movement.
+ Over the last three years, the most recent period has seen a lot of volatility and a lot of near term trending.
Implications:
+ Set wide stops at explosion protection levels. Don't sweat the small stuff. You'll get stopped out all over the place otherwise. The risk budget was already conservative so no adjustment appeared necessary.
DeepState
Multi-Strategy, Quant and Fundamental
- Joined
- 30 March 2014
- Posts
- 1,615
- Reactions
- 81
Probably the key question for me:
- Plender, FT
- Plender, FT
DeepState
Multi-Strategy, Quant and Fundamental
- Joined
- 30 March 2014
- Posts
- 1,615
- Reactions
- 81
What happens when Greece defaults on the IMF or, if it passes that, the ECB?
The EZ powers have every incentive to absolutely punish the country.
Financial stability isn't really the issue in a first level sense.
A successful exit and positive medium term outcome from Greece would destabilize the EZ.
The bigger question: What is Varoufakis smoking?
The EZ powers have every incentive to absolutely punish the country.
Financial stability isn't really the issue in a first level sense.
A successful exit and positive medium term outcome from Greece would destabilize the EZ.
The bigger question: What is Varoufakis smoking?
- Joined
- 1 October 2008
- Posts
- 3,733
- Reactions
- 391
An ex ministers pension. Always has been.
DeepState
Multi-Strategy, Quant and Fundamental
- Joined
- 30 March 2014
- Posts
- 1,615
- Reactions
- 81
Paid in Drachma?
- Joined
- 1 October 2008
- Posts
- 3,733
- Reactions
- 391
He doesn't care!
DeepState
Multi-Strategy, Quant and Fundamental
- Joined
- 30 March 2014
- Posts
- 1,615
- Reactions
- 81
Having trouble with this from the IMF:
Does anyone know of a situation where there actually was an orderly correction of excesses of this kind of magnitude [however you measure it, I figure it is pretty significant] some time in the last 100 years? Nothing comes to mind.
Does anyone know of a situation where there actually was an orderly correction of excesses of this kind of magnitude [however you measure it, I figure it is pretty significant] some time in the last 100 years? Nothing comes to mind.
DeepState
Multi-Strategy, Quant and Fundamental
- Joined
- 30 March 2014
- Posts
- 1,615
- Reactions
- 81
One for the newbies: A useful primer of the asset management industry is in Annex 3.1 of the IMF Global Financial Stability Report. Gives an intro to the different players, investment types, shape of industry and mechanics of administering money.
http://www.imf.org/External/Pubs/FT/GFSR/2015/01/index.htm
http://www.imf.org/External/Pubs/FT/GFSR/2015/01/index.htm
- Joined
- 1 October 2008
- Posts
- 3,733
- Reactions
- 391
Exactly. Nothing. As in - never.
Pretty long odds if your long!
Shadow banking risk is overstated, it's the distortions dictated by self interested forces that have had no regard for the real economy that have created China's lumpy clinically polluted catastrophe of China Inc's enterprise teetering on the edge of implosion.
tech/a
No Ordinary Duck
- Joined
- 14 October 2004
- Posts
- 20,430
- Reactions
- 6,407
galumay
learner
- Joined
- 17 September 2011
- Posts
- 3,403
- Reactions
- 2,243
Wow! Really? I am going thru all the content you can read without signing up, I wondered why some of the links were not live - no doubt they work if you pay.
Nevermind, i wont be helping his retirement fund!
ps. You can sign up to the email newsletter without paying - is that what has the 55,000 subscribers? Or is it the monetised subscription?
DeepState
Multi-Strategy, Quant and Fundamental
- Joined
- 30 March 2014
- Posts
- 1,615
- Reactions
- 81
One of the significant risk factors currently in play relates to USD borrowings from corporates in the EM - particularly from energy companies. It exercises a lot of people in strategy roles given what has happened in oil and with the expected lift off in Fed rates some time less than one year from now.
Anyone got interesting data or thoughts to share?
Anyone got interesting data or thoughts to share?
DeepState
Multi-Strategy, Quant and Fundamental
- Joined
- 30 March 2014
- Posts
- 1,615
- Reactions
- 81
This is a newbie alert. Just found this:
Strangely, the history gets a little 'patchy'.
http://amarkets.com/company/news
Trading is simple. Point. Click. Done.
Making money is a little more challenging.
Do you know how hard it is to get a client HR less than 30% on a client base of maybe as small as even 100? Let alone, say, 1,000? Apparently it's easy in FFX. Does anyone have something on equities? Coins would have a much harder time and would fail dismally to repeat this result even if they tried.
Roll up! Roll up! Everyone's a winner! Think of the opportunities!
Enter at own risk.
Strangely, the history gets a little 'patchy'.
http://amarkets.com/company/news
Trading is simple. Point. Click. Done.
Making money is a little more challenging.
Do you know how hard it is to get a client HR less than 30% on a client base of maybe as small as even 100? Let alone, say, 1,000? Apparently it's easy in FFX. Does anyone have something on equities? Coins would have a much harder time and would fail dismally to repeat this result even if they tried.
Roll up! Roll up! Everyone's a winner! Think of the opportunities!
Enter at own risk.
- Joined
- 7 December 2014
- Posts
- 357
- Reactions
- 0
Humans are strange.
- Joined
- 8 June 2008
- Posts
- 12,913
- Reactions
- 18,927
I actually believe the A-Markets deserves credits for posting these results.
Not sure i would if i was in their shoes, scary results, but not really surprising
I make enough losses on the share market without doing losses faster on these tools, but the results are quite eye opening.
Not sure i would if i was in their shoes, scary results, but not really surprising
I make enough losses on the share market without doing losses faster on these tools, but the results are quite eye opening.
- Joined
- 8 June 2008
- Posts
- 12,913
- Reactions
- 18,927
sorry, did not read anything about EM USD debt exposure lately, I had some about shale oil but this is now nearly history ;
in short: I saw that as even if oil price rises again, they are doomed if US interest raises as well.
wonder how santos/woodside got their cash for the expansion in gas.Are these USD loans?Would they face a risk similar to the EM debt?
this link focusses on China
https://au.finance.yahoo.com/news/higher-us-interest-rates-mean-190334467.html
in short: I saw that as even if oil price rises again, they are doomed if US interest raises as well.
wonder how santos/woodside got their cash for the expansion in gas.Are these USD loans?Would they face a risk similar to the EM debt?
this link focusses on China
https://au.finance.yahoo.com/news/higher-us-interest-rates-mean-190334467.html
tech/a
No Ordinary Duck
- Joined
- 14 October 2004
- Posts
- 20,430
- Reactions
- 6,407
This is great info and follows closely the results reported from people I know in the industry and studies that have been done.
I note around 50% have + or - $100 ---I figure a large majority of these would not be trading at all.
Infact I believe most accounts are dormant with many brokers.
This is an interesting read.
http://www.uts.edu.au/sites/default/files/PaperGallagherDavid.pdf
As is this.
http://www.travismorien.com/FAQ/trading/futradersuccess.htm
