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US market portrait 2014 week 44

November 1, 2014 by Burns Statistics   Comments (0)

US large cap market returns. Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however you like

Back to RT Boom/Bust

November 1, 2014 by The Aleph Blog   Comments (0)

On Thursday, November 23rd, I was recorded to be on RT Boom/Bust. The first half of it played that day, and the video of it is below:We covered a lot of ground in a short amount of time.  Here are the topics, with articles of mine that flesh out my thoughts in more detail (if any):The falling price of crude oil.Whether it is a great time to be in stocks (I give a mixed answer), see comment near bottom of this article on actual versus implied volatility.On the Permanent Portfolio concept (also...

Two interesting and useful documents from Emulex

November 1, 2014 by High Frequency Trading Review   Comments (0)

Here are two interesting and useful documents from Emulex. Note particularly the Sniffer technology which opens up lower cost access to accurate measurement over traditional methods. FTTC test in the lab use Sniffer. For further detail on this and other innovation - contact barry.wong@emulex.com Nigel Woodward OnX   Solutions Brief: Emulex Deep Packet Inspection (DPI) Solutions   White Paper: Using FastStack™ DBL and Sniffer10G™ in HFT Platforms (available to...

High-Frequency Trading special report [Waters Technology]

November 1, 2014 by High Frequency Trading Review   Comments (0)

April 2012 - sponsored by: NovaSparks; ONETICK; Sybase, an SAP company Click here to download the PDF Is the Gain Worth the Pain? If you had to point your finger at the single most controversial and emotive issue currently in the financial services industry, high-frequency trading (HFT) would be it. But that's understandable, thanks primarily to the May 6, 2010 Flash Crash, which overnight thrust the HFT industry-not just in the US, but globally-into the spotlight. And, as a result of a...

How to Win at Investing

October 31, 2014 by Investor Cookbooks   Comments (0)

Below are links to short clips of a fantastic documentary called "How to Win the Losers Game." The documentary, produced by Sensible Investing, basically tells you the nasty truths about investing, but also tells you the very best way to go about investing.  Much of the documentary is focused on the United Kingdom, but most of the data and statistics hold true here in the United States as well the rest of the world.  Regardless of where you live and invest, regardless of your age,...

Recent Reading

October 31, 2014 by Econometrics Beat   Comments (0)

From my "Recently Read" list:Born, B. and J. Breitung, 2014. Testing for serial correlation in fixed-effects panel data models. Econometric Reviews, in press.Enders, W. and Lee. J., 2011. A unit root test using a Fourier series to approximate smooth breaks, Oxford Bulletin of Economics and Statistics, 74, 574-599.Götz, T. B. and A. W. Hecq, 2014. Testing for Granger causality in large mixed-frequency VARs. RM/14/028, Maastricht University, SBE, Department of Quantitative Economics.Kass,...

GUIDED SELF-ORGANIZATION: Making the Invisible Hand Work

October 31, 2014 by Complexity Digest   Comments (0)

If we’re to have any hope of managing complex systems and keeping them from collapse or crisis, we need a new approach. Whether or not the quote is apocryphal, what Einstein allegedly says holds true here: "We cannot solve our problems with the same kind of thinking that created them." What other options do we have? The answer is perhaps surprising: we have to step back from centralized top-down control, which often ends in failed brute-force attempts to impose a certain behavior....

Linkfest Palooza

October 31, 2014 by Timing Logic   Comments (0)

Plants can tell when they are being eaten.  So much for becoming a vegetarian because of guilt. Americans are worried if the state can protect them. A paradox of incredible proportions.  That state is the greatest source of violence in the world.  Will the state protect humanity from the state? The president is assuming absolute power and it shitting all over the Constitution.  The rule of law is dead.  The state’s hypocrisy knows know bounds.  It endlessly...