Posts filed under “Quantitative”

What Does Inflation Say About Risk On/Off?

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Michael Gayed observes:

“When the TIP/IEF price ratio (Inflation-Protection/Nominal-No-Inflation-Protection) trends higher, it means bond market is swinging towards increased inflation expectations. When the ratio is trending down, bond market is favoring deflation through outperformance of Nominal bonds.

Inflation hedge tends to be equities: risk-on. Deflation hedge tends to be nominal bonds: risk-off. In nearly all cases, the ratio moved ahead of the stock market (mid-2008 downtrend before Lehman Crash, November 2008 ratio low before March 2009, Europe Problems April 2010 before Flash Crash/Correction, August 2010 QE2 inflation bets and stock market rally, decline for most of 2011 before August Summer Plunge). Curious to see that the trend now still appears lower even with QE3 on the horizon, no? May be suggesting bond market doesn’t believe QE3 will cause inflation and ultimately work.

If that’s the case, the stock market may be in for a rude awakening…”

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Michael A. Gayed, CFA is Chief Investment Strategist at Pension Partners, where he structures portfolios. Prior to this role, Michael served as a Portfolio Manager for a large international investment group, trading long/short investment ideas in an effort to capture excess returns. In 2007, he launched his own long/short hedge fund, using various trading strategies focused on taking advantage of stock market anomalies. Michael earned his B.S. from New York University, and is a CFA Charterholder.

Category: Inflation, Quantitative, Trading

How Algorithms Shape Our World

Kevin Slavin argues that we’re living in a world designed for — and increasingly controlled by — algorithms. In this riveting talk from TEDGlobal, he shows how these complex computer programs determine: espionage tactics, stock prices, movie scripts, and architecture. And he warns that we are writing code we can’t understand, with implications we can’t control

Hat tip Flowing Data

Category: Mathematics, Quantitative, Video

FusionIQ Redesign & Free T/A Stock Screens

We’ve been doing a lot of behind the scenes tweaks to FusionIQ, and there are some wicked cool features coming in the fall. Meanwhile, the redesigned home page is up — its much lighter, cleaner, and easier to read. We are bringing the same critical eye to the redesign of the interior as well. I…Read More

Category: Quantitative, Web/Tech

Markets Down 6 Weeks Consecutively (and that means…)

History may not repeat, but it often rhymes. This table, assembled by Ron Griess of The Chart Store, shows what markets have done over the past century following any stretch of down 6 consecutive weeks. The data reads both binary and inconclusive: If the markets are merely oversold, then you get a nice snapback, and…Read More

Category: Markets, Quantitative

Financials as Percentage of S&P500 Market Cap

Earlier this week, we looked at the impact the financials had on the S&P. Today, I want to bring two charts to your attention that might give you some pause. The first is from Ron Griess (The Chart Store), showing NYSE market cap as a percentage of GDP. It indirectly relates  stock prices and valuation…Read More

Category: Economy, Markets, Quantitative, Technical Analysis, Valuation

ECRI: Global Slowdown to Hit by Summer

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Source:
Global Slowdown to Hit by Summer, Even for U.S., Says Achuthan
Stacy Curtin
Yahoo Daily Ticker
http://finance.yahoo.com/blogs/daily-ticker/global-slowdown-hit-summer-even-u-says-achuthan-130920838.html

Category: Cycles, Economy, Quantitative, Video

First Three Days in May

The equity market has made a little bit history in the first three days in May.  Only four other times in the last fifty years has the S&p500 opened May with three consecutive down days. Bespoke did some great work yesterday analyzing the first two consecutive down days in the new month and we thought we’d add…Read More

Category: Investing, Markets, Quantitative

Birthdays and Investment Risk

Birthdays and Investment Risk By John Mauldin April 4, 2011 > “Tail risk (the risk of large losses) is dramatically underestimated by many investors and the tools we have available to manage such risks are hopelessly inadequate. Financial theory which is taught at business schools and universities all over the world is plainly wrong.” This…Read More

Category: Investing, Philosophy, Quantitative, Think Tank

Soc Gen’s Economic Surprise Indicator

Alain Bokobza of the Société Générale Quant team, writes that their “Economic surprise indicator” suggests risky assets are now technically vulnerable: “After undergoing a massive rally since last September, risky assets are now technically vulnerable: SG Quant sentiment indicator is close to an all-time high, economic revisions have rarely such a high percentage of upgrades,…Read More

Category: Markets, Quantitative, Technical Analysis

SENIOR SOFTWARE ENGINEER / ARCHITECT

SENIOR SOFTWARE ENGINEER / ARCHITECT Skills Required Java/J2EE, MySQL, PHP, Servlets, Apache, JSP, Linux, Financial Algorithms What you NEED for this position: – 7+ years industry professional experience, – 5+ years of recent engineering experience in building J2EE applications with front end components. – 5+ years of recent engineering experience in LAMP stack – Linux,…Read More

Category: Quantitative, Web/Tech