R short guide
January 12th, 2012
http://www.personality-project.org/R/r.guide.html
Shared Items – January 3, 2012
January 3rd, 2012
- BRIC PMI’S POINT TO GLOBAL ECONOMIC STABILIZATION
January 3, 2012
Shared Items – December 26, 2011
December 26th, 2011
- Technology Footprint: Starting Up in New York
December 26, 2011
Shared Items – November 15, 2011
November 15th, 2011
- Baroque.me: J.S. Bach – Cello Suite No. 1 – Prelude on Vimeo
November 15, 2011
Schumpeter
November 14th, 2011
Shared Items – November 13, 2011
November 13th, 2011
- Greece, Italy, and financial stability
November 13, 2011
Shared Items – November 11, 2011
November 11th, 2011
Shared Items – November 10, 2011
November 10th, 2011
- Wealth Chasm Between Old and Young
November 9, 2011
Shared Items – November 9, 2011
November 9th, 2011
- Presenting Today’s 10-Sigma Move In BTP-Bund Spreads
- Where To Invest Now? Goldman Cautiously ‘Un’-Optimistic
November 9, 2011
November 9, 2011
Shared Items – November 8, 2011
November 8th, 2011
- 沽空产业链穷途末路：卖掉雨润?
November 8, 2011
Shared Items – October 27, 2011
October 27th, 2011
Shared Items – October 26, 2011
October 26th, 2011
Shared Items – October 25, 2011
October 25th, 2011
- Remake / Daryl Seitchik
- Nickel Cobalt
- Nickel Cobalt
October 23, 2011
October 24, 2011
October 24, 2011
Shared Items – October 24, 2011
October 24th, 2011
- Below Trend Growth
- 谁搞垮了中华网 对赌协议成为击倒其最后一拳
October 24, 2011
October 19, 2011
Shared Items – October 15, 2011
October 15th, 2011
- Tokyo Hit With Fukushima Radiation
October 15, 2011
Shared Items – October 14, 2011
October 14th, 2011
- 美林：亚太区富裕人数首次超欧洲
- CREDIT UPDATE – LONG HOPE, SHORT FAITH
- IMF: THE RISKS IN ASIA ARE “DECIDEDLY TILTED TO THE DOWNSIDE”
- How Apple DDOS’d the Interweb Yesterday
October 13, 2011
October 13, 2011 – Like the pattern quote
October 13, 2011
October 13, 2011
Shared Items – October 13, 2011
October 13th, 2011
- DIAPASON COMMODITIES Q4 OUTLOOK
October 13, 2011 – hopefuls
Shared Items – October 12, 2011
October 12th, 2011
- It's All About Financials
- Bill Gross Goes Massively Short Cash As He Bets The Newport Farm On Uber Duration
October 12, 2011
October 11, 2011
Shared Items – October 11, 2011
October 11th, 2011
- The Most Disruptive Companies in Tech
- The World Close to Stall Speed
October 10, 2011
October 11, 2011
Shared Items – October 10, 2011
October 10th, 2011
- Scientists Turn iPhone Into Microscope with $30 Mod
October 10, 2011
Shared Items – October 8, 2011
October 8th, 2011
- Charlie Rose – Reid Hoffman and Jeff Weiner of LinkedIn
- Charlie Rose – Reid Hoffman and Jeff Weiner of LinkedIn
- Dmitry Maksimov
- Eye Chart
- Efficient Frontier of Buy-Hold and Tactical System
- “Your time is limited, so don’t waste it living someone…
- RIP
October 7, 2011
October 5, 2011
October 5, 2011
October 5, 2011
October 6, 2011
October 6, 2011
October 6, 2011
Shared Items – October 7, 2011
October 7th, 2011
- #thankyousteve
October 7, 2011
Shared Items – October 6, 2011
October 6th, 2011
- What Can Quant Firms Learn From Steve Jobs
October 6, 2011
Shared Items – October 5, 2011
October 5th, 2011
- Why Game Theory Blows Up in Financial Markets
- Sitting on the Valuation Mountaintop
- Guest Post: Hong Kong – Still The Cheapest Place To Buy Gold Coins
- We try not to cry – these are old-growth forests.
October 4, 2011
October 4, 2011
October 4, 2011
October 4, 2011
Shared Items – October 4, 2011
October 4th, 2011
- We take a break.
October 3, 2011
Shared Items – October 3, 2011
October 3rd, 2011
- Difficult Month for One of My Best Ideas
September 30, 2011
Shared Items – October 2, 2011
October 2nd, 2011
- Goldman’s Jim O’Neill: “Let’s Worry About Everything”
October 2, 2011
Trainspotting
September 30th, 2011
Now I’m cleaning up and I’m moving on, going straight and choosing life. I’m looking forward to it already. I’m gonna be just like you. The job, the family, the fucking big television. The washing machine, the car, the compact disc and electric tin opener, good health, low cholesterol, dental insurance, mortgage, starter home, leisure wear, luggage, three piece suite, DIY, game shows, junk food, children, walks in the park, nine to five, good at golf, washing the car, choice of sweaters, family Christmas, indexed pension, tax exemption, clearing gutters, getting by, looking ahead, the day you die
Shared Items – September 30, 2011
September 30th, 2011
- We take off.
September 27, 2011
Shared Items – September 29, 2011
September 29th, 2011
- The Fortune 500, 1955 to 2010
September 28, 2011
Shared Items – September 28, 2011
September 28th, 2011
- Are We Headed Into A Recess/Depress-ion? The Answer In 9 Simple Charts
September 27, 2011
Shared Items – September 27, 2011
September 27th, 2011
- Photo
September 22, 2011
Shared Items – September 26, 2011
September 26th, 2011
Shared Items – September 25, 2011
September 25th, 2011
- Financial Warfare
September 22, 2011
Shared Items – September 23, 2011
September 23rd, 2011
- Why Goldman Is Surprised By The Market’s Reaction To The Twist, And What’s Next For The Fed?
- How Long Can Japan Play The Endgame?
- European Liquidity Update
- Guest Post: Why The Fed’s “Silver Bullet” Won’t Kill The Beast
- Market Snapshot: Europe Down Large But End-Tone Better In Credit
September 22, 2011
September 22, 2011
September 22, 2011
September 22, 2011
September 22, 2011
Shared Items – September 22, 2011
September 22nd, 2011
- Truth and Beauty
September 21, 2011
Shared Items – September 21, 2011
September 21st, 2011
Shared Items – September 20, 2011
September 20th, 2011
Shared Items – August 23, 2011
August 23rd, 2011
- We leave.
August 22, 2011
Shared Items – August 11, 2011
August 11th, 2011
- Dow Down 500+, S&P 500 down 4.4%
August 10, 2011
Shared Items – August 10, 2011
August 10th, 2011
- We want to be a dad.
- We can’t wait to leave.
- We are getting there.
- We would like to book a room.
- We love whoever wrote this.
July 26, 2011
July 28, 2011
August 8, 2011
August 8, 2011
August 9, 2011
Gap Minder
August 10th, 2011
Shared Items – August 9, 2011
August 9th, 2011
- Consumer Credit Jumps in June
August 8, 2011
Shared Items – August 8, 2011
August 8th, 2011
- Return of the Global Savings Glut
- For The First Time, Gold Returns Surpass Stocks Since March 2009 Lows
August 8, 2011
August 8, 2011
Shared Items – August 8, 2011
August 8th, 2011
- Return of the Global Savings Glut
- For The First Time, Gold Returns Surpass Stocks Since March 2009 Lows
August 8, 2011
August 8, 2011
Shared Items – August 6, 2011
August 6th, 2011
Shared Items – August 5, 2011
August 5th, 2011
U.S. inflation rate and liquidity trap
July 29th, 2011
cause: Deflation (Japan), insufficient aggregate demand (China), expectation of major uncertainty (War)
extreme pessimism, chronically depression.
Shadow Banking System
July 28th, 2011
Measuring Worth
July 26th, 2011
Shared Items – July 22, 2011
July 22nd, 2011
Shared Items – July 22, 2011
July 22nd, 2011
Shared Items – July 21, 2011
July 21st, 2011
- Presenting The Ultimate Indicator Of Easy Money Access
- Presenting The Ultimate Indicator Of Easy Money Access
July 20, 2011 – good.
July 20, 2011
Murdoc
July 20th, 2011
Shared Items – July 20, 2011
July 20th, 2011
Shared Items – July 19, 2011
July 19th, 2011
- Has Ray Dalio Mastered the Machine?
July 19, 2011
Shared Items – July 18, 2011
July 18th, 2011
Shared Items – July 18, 2011
July 18th, 2011
Lions Gate.
July 17th, 2011
Shared Items – July 15, 2011
July 15th, 2011
Shared Items – July 14, 2011
July 14th, 2011
- Debt and Deficit: When Graphics Speak Louder Than Words
- Greece Vs. Germany: Another Look at the Great Convergence
- Italian Regulator Urges Banks To Destroy Shorts, Pull All Stock Borrow, Generate Marketwide Squeeze
- Watch Ben Bernanke’s Testimony To Congress Live, “Prepared To Respond If Stimulus Needed”
July 13, 2011
July 12, 2011
July 13, 2011
July 13, 2011
Shared Items – July 13, 2011
July 13th, 2011
- Ratio Of Insider Selling To Buying: 3,700 To 1
- The Definitive S&P-IG-VIX Time Series, Cross Asset Arb Chart
- Why The Sudden Surge In Fixed Income Vol May Have Serious Consequences For The Market
- Willem Buiter Says If ECB Does Not Intervene In Thursday’s Italian Bond Auction, It Will Likely Fail
July 11, 2011
July 12, 2011
July 12, 2011
July 12, 2011
Shared Items – July 12, 2011
July 12th, 2011
Shared Items – July 11, 2011
July 11th, 2011
- The Economy Cannot Recover As Long As Inequality Continues to Skyrocket … But Government Policy Is INCREASING Inequality
- The Coming “New World Order” Revolution: How Things Will Change In The Next 20 Years – A Kondratieff Cycle Perspective
- The World’s Biggest Hedge Fund Complete Blow By Blow On What Happens If The Debt Ceiling Is Not Raised
- Generali CDS Surges To All Time Wide
- The Birth/Death Adjustment Was Responsible For Over 50% Of The Payroll Gains In The Past Year
- Guest Post: Boiling Frog Alert: Congress Wants Automatic Wage Deductions To Pay Down The Debt
- Here’s Why Italy’s CDS Are The Biggest Risk For The Eurozone
July 7, 2011
July 7, 2011
July 7, 2011
July 8, 2011
July 8, 2011
July 8, 2011
July 8, 2011
Shared Items – July 10, 2011
July 10th, 2011
Shared Items – July 9, 2011
July 9th, 2011
- Moody’s Downgrades Operating Entities Of Belgium’s Dexia, The Bank Most Rescued By The Fed, From A1 To A3
- Labor Force Participation Rate Drops To Fresh 25 Year Low: 64.1%
- More Records: Average Duration Of Unemployment; People Not In Labor Force Who Want A Job Now Both At All Time High
July 8, 2011
July 8, 2011
July 8, 2011
Shared Items – July 8, 2011
July 8th, 2011
Shared Items – July 6, 2011
July 6th, 2011
- Here Is Why Those Who See In IEA’s SPR Release A “Shadow QE” Are Dead Wrong
- Moody’s July 4 Bomb: Rating Agency Finds 10% Of Chinese GDP Is Bad Debt, Claims “China Debt Problem Bigger Than Stated”
- PIMCO: +$50 Million; Morgan Stanley: -$50 Million
- PIMCO Sees An End To The Currency Wars
July 4, 2011
July 5, 2011
July 5, 2011
July 5, 2011
Shared Items – July 5, 2011
July 5th, 2011
- Guest Post: Making Sense Of The French Rollover Plan
July 4, 2011
Shared Items – July 4, 2011
July 4th, 2011
- Charles Plosser and the 50% Contraction in the Fed’s Balance Sheet
- Charles Plosser and the 50% Contraction in the Fed’s Balance Sheet
- Four Commission Free Portfolios for < 20 bps
- World Gold Bug Article on WSJ Front Page
- Minimum Variance Sector Rotation
- Reading List
- THE FINANCING PYRAMID
- IS INFLATION ALREADY PEAKING?
- Are We on the Brink of High Inflation?
- CREDIT SUISSE: IT’S TIME TO BUY EQUITIES AGAIN
- Greece Is Europe: The Failure Of The Euro
- ISM New Orders Less Inventories Decoupling Hits Unprecedented Levels, Implies Sub-45 ISM Composite
July 3, 2011 – reread this post later.
April 20, 2011
April 20, 2011
April 22, 2011
July 3, 2011 – reread this post.
May 1, 2011
May 9, 2011
May 19, 2011
May 19, 2011
June 15, 2011
June 23, 2011
July 1, 2011
MIT Macro Connection
July 3rd, 2011
Shared Items – July 3, 2011
July 3rd, 2011
- The #1 Investment Return Factor No One Wants to Talk About
- Organizational charts in major tech
- Predictable Surprises
- Risk Spread Compression Time
- Swiss Franc and the possibility of huge mortgage defaults in Central Europe
- T-Minus Two Months Until The $500 Billion Rolling Debt Ticking Timebomb Goes Off
- Are the credit markets getting unstable?
- So Much For That Japanese Recovery: Large Manufacturer Confidence Plummets
- Record 44.7 Million People Celebrate Geithner’s Departure And The End Of QE2 Through Foodstamps
July 3, 2011
June 30, 2011
June 30, 2011
June 30, 2011
June 30, 2011
July 1, 2011
July 1, 2011
July 1, 2011
July 1, 2011
Shared Items – July 2, 2011
July 2nd, 2011
Shared Items – June 29, 2011
June 29th, 2011
Shared Items – June 28, 2011
June 28th, 2011
- Bob Eisenbeis: QE 2 and Policy
June 28, 2011
Shared Items – June 26, 2011
June 26th, 2011
- “Hitting The Fan” – IceCap Asset Management June Presentation
- Guest Post: Illusions Versus Reality
June 25, 2011
June 26, 2011
Shared Items – June 23, 2011
June 23rd, 2011
- How to Make a Clock Run for 10,000 Years
June 23, 2011
Shared Items – June 21, 2011
June 21st, 2011
- 京城私人会所超4000家 神秘政要混迹其中
- Honoring My Humble Father
June 20, 2011 – The next bubble
June 19, 2011
Shared Items – June 20, 2011
June 20th, 2011
- Good Grief Glasses
- Good Grief Glasses
June 20, 2011
June 20, 2011
Shared Items – June 18, 2011
June 18th, 2011
- Rare Earth Metal Prices Go Parabolic
- Surplus/Deficit as a % of GNP/GDP
- Ice-9 Sightings: [Blank]-OIS Spreads Confirm Liquidity Freeze Spreading
- The Collapsing Greek Income Statement, Or Why Greece Is Doomed
- Historic Collapse In Philly Fed Which Prints At -7.7 On Expectations Of 7.0, Weakest Since July Of 2009, Biggest 3 Month Drop Ever
- FRA-OIS Spread Jumps To 2011 Wides As Greek CDS At Unprecedented Levels
- Recent Risk Spread Dispersion Closes As Algos Bid ES Higher
- Ice-Nine Spreads To Shanghai: Chinese Interbank Liquidity Evaporates
- China Discloses “Vital Self Interests” In European Bailout
June 17, 2011
June 17, 2011
June 16, 2011
June 16, 2011
June 16, 2011
June 16, 2011
June 16, 2011
June 17, 2011
June 17, 2011
Shared Items – June 17, 2011
June 17th, 2011
Shared Items – June 14, 2011
June 14th, 2011
- Sino Support Levels
- scrotumcoat:
now all i want in life is a coi pond roof… thanks…
June 13, 2011
June 11, 2011
Shared Items – June 13, 2011
June 13th, 2011
- 华尔街银行拟减少对美国国债依赖
June 13, 2011
Money Management Review.
June 12th, 2011
Shared Items – June 9, 2011
June 9th, 2011
- Ceridian-UCLA PCI Fuel Index Shows Recovery Stalled
June 8, 2011
Shared Items – June 8, 2011
June 8th, 2011
- Apple Products vs. Platform
June 8, 2011
Shared Items – June 7, 2011
June 7th, 2011
Shared Items – June 2, 2011
June 2nd, 2011
- Avellaneda Lectures: Models and Risk
May 28, 2011
东南互保
June 2nd, 2011
近代中国军阀化自此开始
千万秘密。廿三署文，勒限各使出京，至今无信，各国咸来问讯。以一敌众，理屈势穷。俄已据榆关，日本万余人已出广岛，英法德亦必发兵。瓦解即在目前，已无挽救之法。初十以后，朝政皆为拳匪把持，文告恐有非两宫所出者，将来必如咸丰十一年故事，乃能了事。今为疆臣计，各省集义团御侮，必同归于尽。欲全东南以保宗社，诸大帅须以权宜应之，以定各国之心，仍不背廿四旨，各督抚联络一气，以保疆土。乞裁示，速定办法。
examining the cause of which shows that path dependence is extremely strong in this case.
Garage band is stunning
May 29th, 2011
Chinese RTO exposed
May 29th, 2011
[News]
中国企业在美借壳上市之路 [Chinese version of this Barron article (originally out 08-2010) came out recently]
Seeking Alpha post [ 08-2010]
追杀中国造假股——中国概念股为何血溅美国资本市场 [冯禹丁 26-05-2011]
[Investigation]
Muddy Waters Research, Carson Block;
[The small short tradition]
and
[IB]
Roth Capital; William Blair; Rodman & Renshaw
Pinnacle Adviser; Barron Capital; Guerilla Capital; Barry Kitt (Kitt’s son working in Roth Shanghai office.); Andrew B. Worden; Peter Siris;
[U.S. connection]
夏梅仪; 潘小夏; Lawrence Xiao Xia Pan;
[Chinese Connection]
杜青松; ShingHoi To; Du Chenghai; Yinshing David To; AiDi Investment; Asia Pacific Securities;
徐杰; Kit Tsui; Max Time Enterprises; China Finance; China U.S. Strategy;
Benjamin Wey;
[PR & Compliance]
CCG Investor Relations; Frazer Frost; Moore Stephens; Susan Woo; Kabani & Co.; Hamid Kabani;
[Location]
洛杉矶; Newport Beach; Shanghai ; Hawaii
[Endorser]
Proskauer; Michael D.Witter;
Shared Items – May 24, 2011
May 24th, 2011
- “暗恋”这件小事
- Greek CDS-Buying Villain Hellenic Postbank To Be First Casuality Of Hellenic “No Bid” Privatization Reality
- Time-Lapses and the 10 Most-Viewed Commencement Addresses
- The Many Hats of Great Investors
- Chicago Fed: Economic activity weakened in April
- Chicago Fed National Activity Index Drops To -0.45, Lowest Since August 2010, Economy Enters "Below-Average" Growth
May 23, 2011 – this is significant.
May 23, 2011
May 23, 2011
May 22, 2011
May 23, 2011
May 23, 2011 – first time i saw the R word since a while
Shared Items – May 23, 2011
May 23rd, 2011
- 利空交织 有色金属价格继续下跌
- Rising Bearishness = Bullish Markets?
- 房地产“鬼城”再调查：复活最长或需百年
- 淘米网或成中国首家儿童概念股
- Go West, Young Lawyer
- 中国猪肉价格触及三年高位
- 日本震后衰退程度超预期
- 中国实物黄金投资冠全球
- 知情人士：Prada香港IPO计划获监管机构批准
- Fund Investors Flee Emerging Market Stocks
- TOP 5 GRAPHS OF THE WEEK
- 和住宅价格相比，商业地产价值被低估了
May 22, 2011 – tightening + mean reverting effect of high energy price. slow down for a while.
May 22, 2011 – so a few month huh?
May 22, 2011 – ….
May 22, 2011 – ??? serious????
May 22, 2011 – tech is booming . booming booming..
May 22, 2011 – well.. it happened…
May 22, 2011 – deny deny deny ..
May 20, 2011
May 22, 2011 – subscribe.
May 22, 2011
May 22, 2011
May 21, 2010
ETH Flying robot test bed
May 22nd, 2011
Trend spotting on youtube
May 22nd, 2011
A time when conspiracy theorists(?) thrive, is a time….( ) ?
May 22nd, 2011
when conclusion draw by the theory is right even though the reason is flawed/biased, revolution is the next ?
‘national inflation association’s’ promoted video 396,183 view (embedded with silver coin ads)
#4 most discussed this week in Education category on youtube leads me to dig a bit more…
who is behind National Inflation Association www.inflation.u.s. (nice web 2.0 like website). appearance on Fox news.
apparently somebody has raise similar question last october, and a few days ago
and apparently Peter Schiff,a popular financial market commentator and ct senator contender(?) is related
and the meme NIA created is not restricted to u.s. at all. and gain recognition in various anarchist website.
and hit mainstream blog zerohedge as well.
textbook, student loan, student as cash cow… pretty true.
| Date | Event | Views | |
|
A
|
05/15/11 | First view from ad | 44,850 |
|
B
|
05/15/11 | First embedded on - topdocumentaryfilms.com | 6,988 |
|
C
|
05/15/11 | First embedded on - www.zerohedge.com | 5,712 |
|
D
|
05/14/11 | First embedded on - inflation.us | 53,285 |
|
E
|
05/14/11 | First view from a mobile device | 35,188 |
|
F
|
05/14/11 | First referral from - www.facebook.com | 18,113 |
|
G
|
05/14/11 | First referral from a subscriber module | 10,723 |
|
H
|
05/14/11 | First referral from YouTube search - college conspiracy | 8,564 |
| Ratings: 6304 | Comments: 5,609 | Favorites: 4,990 | ||||||
|
Shared Items – May 22, 2011
May 22nd, 2011
- LinkedIn: Worth $27 a Share?
- 王江：人民币升值50% 教育业就面临危险
- Bespoke's Commodity Snapshot
- Worthless Stock Certificates
- Statistics on the Amazing Volume of Online Activity
- Here Is What Happens After Greece Defaults
May 20, 2011
May 21, 2011
May 20, 2011
May 22, 2011 – its not just about idea.
May 21, 2011
May 21, 2011
random thoughts
May 21st, 2011
1) pioneering asset allocation
2) liquidity management. manage systematic risk
Shared Items – May 21, 2011
May 21st, 2011
- Happy Birthday Kickstarter!
- US Debt And The Presidents Responsible
- ShareSomeCandy
- ‘shell house’ by kotaro ide
- Are We on the Brink of High Inflation?
- Are We on the Brink of High Inflation?
- Amazon: Kindle ebooks Outsell Printed Books
- The Rich Are About To Get Very, Very Rich: Study Finds Global Millionaire Wealth Set To More Than Double By 2020
- We are the Mods
- 刘明康：一些国家征收境外资本利得税启示中国
May 21, 2011 – kickstarter is taking off.
May 20, 2011
May 20, 2011
May 20, 2011
May 20, 2011 – …
May 20, 2011 – …
May 20, 2011 – really?
May 20, 2011 – uber rich singapore?
May 20, 2011
May 20, 2011
Network structural change. the rise of P2P.
May 20th, 2011
Shared Items – May 20, 2011
May 20th, 2011
- Will China Have a Labor Shortage, Sending Inflation Out of Control?
- Leading Indicators Turn Negative in April
- TIPS Breakeven Spread Falls to Three-Month Low
- Goldman Downgrades The USD
- The Art of Economic Complexity: A new way to visualize a country’s development.
- Data Visualization: The Economic Complexity Observatory
- Japanese Economy Collapses: Q1 GDP Drops At Double Consensus Rate, Epic Nominal Plunge Of -5.2%
- House prices in UK weaken
- IS INFLATION ALREADY PEAKING?
- Another commodities crash layer – the $100bn intervention
May 19, 2011 – ?
May 19, 2011 – wow, this is a burst of negative news. inflation hit first, but then it’s easing expectation build up again?
May 19, 2011 – why i’m not monitoring this?
May 19, 2011 – …
May 19, 2011 – will like into it tomorrow and write a note
May 19, 2011 – like
May 19, 2011 – classical V shape?
May 19, 2011
May 19, 2011 – justification in 3 weeks.
May 19, 2011 – justifications
Christine Lagarde the next IMF chief ?
May 19th, 2011
RMB internationalization.
May 19th, 2011
Shared Items – May 19, 2011
May 19th, 2011
- Positive Signs
- Protests Mount in Spain; Sovereign Debt Crisis to Follow
- The History Of The World's "Reserve" Currency: From Ancient Greece To Today
- Will the Federal Reserve’s Asset Purchases Lead to Higher Inflation?
- Trading as a “Massive Multiplayer Experience”
- Vancouver and Hot Money Flows
- Next Up: Emerging Markets Re-Route
- If it bleeds…
May 18, 2011
May 18, 2011 – we are young and we are jobless
May 18, 2011 – long term trend.
May 18, 2011 – good point, so the two factor is 1)size of reserve. 2) interest rate on bank reserve. plenty room for maneuver for fed. net result is m2?
May 18, 2011
May 18, 2011 – all for the same reason, then….?
May 18, 2011 – doubt about the reasoning, commodity->inflation->easing->commodity?
May 18, 2011
Thomas Heatherwick
May 18th, 2011
Heatherwick is the founder of Heatherwick Studio
hottest game in town and WB report
May 18th, 2011
- The postwar global economic structure –defined by the dominant position of advanced countries –is in the midst of a fundamental change
- Rapid globalization and expected higher growth rates in emerging market economies will translate into greater economic influence for developing countries
- The move to multipolarity will be by and large positive for developing countries, but the transition needs to be managed
Martha Graham google animation
May 18th, 2011
Google – Martha Graham from Ryan J Woodward on Vimeo.
Shared Items – May 18, 2011
May 18th, 2011
- Two Red Flags: Russell and the Hang Seng
- Industrial Production Weakens, Misses Consensus, As Capacity Utilization Peaks
- Most Profitable Q1 Investing Strategy? Identifying And Shorting Chinese Frauds
- F for Fail
- 港楼价升幅相比内地是小儿科
- Eric Sprott Discusses Silver's Prospects And Last Week's Raid With Max Keiser
- Tepper Gives Up On Fins, Cuts Stakes In Citi, Bank Of America, Wells Fargo, GM; Adds Apple, Valero, MetLife
- Capital Context Update: Weak Breadth and Rotation
- CHINA TRIES TO NAVIGATE THE ROAD TO TIGHTER POLICY
- Monday Market Madness
- Complete Paulson Q1 Holdings Breakdown, And How Soros Sold His Gold… Two Months Ago
- 掉颜色的水果和粮食是怎么回事？
- The Economics of Globalization Are Changing Fast And Are Starting to Favor Moving Back to America
- Guest Post: Some Bubble Snapshots And Schizophrenic Five Year Plans
- On The Mechanics Of Pimco's Synthetic Treasury Short, And How The Firm Extracted 9,724 Years Of Duration Out Of Cash
- DOLL: THE END OF QE2 SHOULD BE A NON-EVENT
- Great Inflation Debate: U.K. CPI Jumps to 4.5%
- DOLL: THE END OF QE2 SHOULD BE A NON-EVENT
- China’s Real-Estate Developers Struggle with Debt; Servicing China’s Total Debt Load is Problematic; Dramatic Slowdown in China Coming
- 资金紧张致短端收益率全线上升
May 17, 2011
May 17, 2011 – IP weaken, u.s. france, germany., evidence is accumulating fast…?
May 17, 2011 – Chinese Fraud Hunting… ouch
May 17, 2011 – interest piece of research.
May 17, 2011 – consensus is forming fast….
May 17, 2011 – interesting point about risk of comex short squeeze.
May 17, 2011 – a common theme is, funds has been playing defensive since Q1, cut financial, cut commodity etc. etc.
May 17, 2011 – bet goes where the mouth is. QE rebalance, Asia crash.
May 17, 2011 – well, another concentrated positioning has been spotted. The ‘rebalance’ is indeed a multi-dimensional one and risk for mild missteps is very high.
May 17, 2011 – debt ceiling will create distortion in the market e.g. short term yield goes down, probably last till aug? so hint/news of debt ceiling will trigger a sudden reverse of this distortion?
May 17, 2011 – when will paulson sell his 4 billion dollar worth of gold, or he’s expecting 8 billion?
May 17, 2011 – we will sex it up if the premium/risk-reward for sex it up is high enough
May 17, 2011 – setting stage for what i’m expecting…
May 17, 2011 – warning shot, not the first one. let’s monitor the banking stocks.
May 17, 2011 – justification.
May 17, 2011 – first of those view. but not so convince, the fact is people perceive tightening and act upon that expectation therefore realize what they expected.
May 17, 2011
May 17, 2011
May 17, 2011
May 17, 2011
QE2 effect, or self fulfilling prophecy
May 17th, 2011
Risk spectrum exposed:
Energy>Industrial>Consumer>Material>Financial
Utility<Consumer(?)<Health Care<Consumer(?)
Risk Spectrum exposed:
Financial>Consumer>Industrial>Material>Energy>Consumer(?)>Health Care >Utility
In that order, than it is working?
housing and banking
May 17th, 2011
bankers-> house ->bankers-house.
Random thoughts
May 17th, 2011
portfolio optimization is about maximize the embeded optionality in the overall portfolio. The idea is quite general, even budda said there is a middle way…
Shared Items – May 17, 2011
May 17th, 2011
- SocGen On A Chinese Slowdown: Buy China CDS, Sell Hard Commodities
- Third Point Closes To All New Investment
- Economic Bust in Australia:Near-Record Corporate Bankruptcies, Employment Drops Unexpectedly; Rise in Bad Home Loans;Record Low Property Transactions
- Consumer Sentiment Remains Gloomy
- Consumer Sentiment Remains Gloomy
- Fun Fact of the Day: California Edition
- BEARISH SENTIMENT HITS 8 WEEK HIGH
- 茅于轼：中国房产泡沫将会在一两年内破灭
May 16, 2011
May 16, 2011 – why so fast?
May 16, 2011 – some to watch during the summer.
May 16, 2011 – seems more negative news hitting market at moment.
May 12, 2011
May 16, 2011 – serious?
May 12, 2011
May 16, 2011 – real rate. real rate. real rate.
Shared Items – May 16, 2011
May 16th, 2011
- Central Banks Purchase 127 Tons Of Gold In Q1
- THE PERPETUAL WALL OF WORRY
- THE PERPETUAL WALL OF WORRY
- Access To iPad App Flipboard Compromised In China
- Guest Post: Q2 Economic Contraction Highly Probable
- 银价波动后的中国身影
- 美财政部敦促国会尽快提高债务上限
- 报导：中国计划尽快推出小QFII机制
- Inflation Fears Are Still Largely Unfounded
- For Many Items, Prices Are Falling Not Rising
- Summary for Week Ending May 13th
- TOP 5 GRAPHS OF THE WEEK
May 16, 2011 – reserve management. 100 ton
May 16, 2011 – demography + structure + optimism triumph. disaster is so easy to forget.
May 12, 2011
May 15, 2011
May 15, 2011
May 13, 2011
May 15, 2011
May 16, 2011
May 15, 2011 – non-core inflation v.s. core inflation, QE2 v.s. M2.
May 15, 2011 – when house, food, commodity price deflates, where is the ‘inflation’?
May 14, 2011
May 15, 2011
florida, california fall first.. east coast is still the most resilient and it exceeds expectation by nature.
May 15th, 2011
job data visualization by TIP strategy.
More interesting stuff from Nanex
May 15th, 2011
1) how to halt trading using non-firm order to bypass NBBO.
what is quote stuffing for…
May 15th, 2011
Nanex rebuff SEC investigation -continued
May 15th, 2011
the rebuff ( 5000 quote/sec data = 5000*4000 = 200,000,000/sec )
Nanex’ further investigation following SEC report ( 1 min data ? seriously?)
0) quote stuffing happened cross NYSE, ARCA, NQEX 400 ms before. [this is suspicious]
However, approximately 400ms before the eMini sale, the quote traffic rate for all NYSE, NYSE Arca, and Nasdaq stocks surged to saturation levels within 75ms. This is a new and surprising discovery. Previously, when we looked at time frames below 1 second, we thought the increase in quote traffic coincided with the heavy sales, but we now know that the surge in quotes preceded the trades by about 400ms. The discovery is surprising, because nearly all the trades in the eMini and ETFs occurred at prevailing bid prices (a liquidity removing event).
1) buyer of Waddel & Reed CBOT e-mini ($50 x s&p), 2,000 contract ( 200 m notional, 4 m VAR), slam 10 level at once (50~100 millisecond) after accumulation.
2) readjust in the system, e-mini-> ETFs ->ETFs components->option chains explosion of quote/trade/update (20 millisecond (CBOT->NYSE) +how long?) [shock in index is the most vulnerable]
It appears that the event that sparked the rapid sell off at 14:42:44:075 was an immediate sale of approximately $125 million worth of June 2010 CME eMini futures contracts (not originating from Waddell & Reed) followed 25ms later by the immediate sale of over $100 million worth of the top ETF’s such as SPY, DIA, QQQQ, IVV, IWM, SDS, XLE, and EEM. Both the eMini and ETF sales were sudden and executed at prevailing bid prices. The orders appeared to hit the bids. The volume in these sales are not considered to be extreme.
3) surge in information saturated every system, information dissemination slow down (worst in NYSE)
The quote traffic surged again during the ETF sell event and remained at saturation levels for nearly 500ms. Additional selling waves began seconds later sending quote traffic rates back to saturation levels. This tidal wave of data caused delays in many feed processing systems and networks. We discovered two notable delays: the NYSE network that feeds into CQS (the “NYSE-CQS Delay”), and the calculation and dissemination of the Dow Jones Indexes (DOW Delay).
4) another two round of e-mini slam 4 sec later -> overwhelm the system further (especially NYSE) [a good tactic if it is an attack with a purpose to overwhelm the system and create psychological impact]
5) NYSE quote queue jammed, affects CQS. maybe not premium quotes.
6) arb BOTs acted on delayed NBBO information (mainly due to NYSE wrong timestamp) and routes order to NYSE -> overwhelm the system further
7) MM BOTs detects CQS v.s. premium data discrepancy, data integrity flag up, pull off the system, this is evident by BATS stub order increase.
7) momentum chasing…
7) flash crash began.
Its seems
0) it is a cascaded failure
1) nobody can detect NYSE delay when it pass 20s. probably passing a inflection point in signal/noise ratio where fool-proof mechanism can make sense itself.
2) system shock -> overwhelmed infrastructure -> data integrity deteriorate -> liquidity dry up -> panic selling is a generic pattern of a crisis in a system characterized by reflectivity, in various time scales.
3) seems the difference in CQT/CQS v.s. Prem data feed , and subsequently data feed into DJI, ETFs creates problem and opportunities.
Flash Crash Analysis by Nanex
May 15th, 2011
loop 1) delay in NYSE quote dissemination -> mismatch between ‘real’ quote time stamp v.s. ‘disseminated’ time stamp -> arb flood NYSE with selling order on delayed signal -> arb orders hit real quote which is lower than what they received against DMM order book. [problem seems too much quote overwhelming NYSE infrastructure, and a loophole in quote queue and dissemination time stamp]
loop2) trade signal(CQS v.s. CTS) from DMM execution disseminated without delay -> trade signal trigger short-term momentum chasing/ front running algo -> more selling order hit NYSE
loop3) arb/mmk algo detects anomaly and pulled out -> reduced liquidity -> panic ensue.
observation:
0)this most delayed seems to be NYSE, the most updated seems to be NQSE, BATS always managed to be inbetween.
1)quote stuffing burst on NYSE and PACF at the first 2 min of the crash triggered further delay on NYSE quote dissemination, DDOS like attack on NYSE ??
2) liquidity, measured by price move between trades, worsen. seems all crisis start and ends as a liquidity crisis, even in high frequency scale.
3) 5~15 mins delay in small TICK, TD. 1 min for GE
It is important to note that we understand 5,000 quotes in one second on any given issue would pose no problem. However, consider that there are approx. 4,000 stocks listed on the NYSE and 9 reporting exchanges. If each reporting exchange for each stock quoted at 5,000 per second this would work out to 180,000,000 quotes per second. Furthermore 5,000 quotes per second is 5 changes per millisecond. At those rates you’d have to abandon the concept of market orders entirely. In fact, at rates exceeding even 50 quotes per second/stock you’d have to abandon market orders entirely. Some would also point out that you couldn’t change the prices at those rates due to the bid/ask spread being so narrow. However there are plenty of cases where the price remains fixed and the sizes flutter.
Furthermore, a CQS quote is 58 or 102 bytes depending if it’s a short or long quote respectively. If the bbo is affected, then add 28 or 58 bytes for a short or long appendage respectively (if the goal is to stuff everyone, you can be sure it would require a long quote and affect the bbo). This equates to a minimum size of (5,000 x 58) 290,000 bytes per second and a maximum size of ((102+58) x 5,000) 800,000 bytes per second for 1 exchange for 1 stock. As a T1 line is 150,000 bytes/sec, one stock ticking away at the minimum 290,000 bytes per second would jam two T1 lines.
4) BATS stub quote (with its own definition) percentage is a good indication of market liquidity.
and more of crop circle, quote stuffing and strange sequence.
Shared Items – May 15, 2011
May 15th, 2011
- Just how out of line are house prices?
- Just how out of line are house prices?
- Just how out of line are house prices?
- 'In Syria we have been scared all our lives. Now at least we have hope, too'
- ‘In Syria we have been scared all our lives. Now at least we have hope, too’
- Coach计划大幅减少在华生产
- Chart Of The Day: Currency Devaluation, Old School Style
- As Denmark Reintroduces Border Controls, Is The Heart Of Europe – Its Customs Union – About To Flatline?
- Dylan Grice On The Coming Japanese Hyperinflation
- GOLD STUCK IN CONSOLIDATION
- Commodities Drubbing Follows Chinese Reserve Requirement Hike, Even As Japan Boosts Capital, Prepares To Print
- 2 emails and zero calls, Street still bullish
- Civil Rights
- convoy
- Agata No. 14 by *franekchrzonszcz on deviantART
- Wade – Creative Studio | Silver Black Cycle
- Piccsy :: Image Bookmarking :: just do it
- We See What We Want
- i can read
- i can read
May 13, 2011 – so expect another 20% to 30% adjustment from now to some time in 2012~2013…. how about the chinese number?? the housing boom lasted for …. 10 years in U.S.
May 13, 2011
May 13, 2011 – house is utility, not investment. equity is, bond is, house ???? remember this, this has been the biggest factor, and will be the biggest factor again.
May 13, 2011 – Hope is what drove growth, there is cause and effect yes. But hope could be a good indication
May 12, 2011
May 13, 2011 – World will slowly changw
May 12, 2011 – hmmm…
May 12, 2011 – yes, talk it up baby, talk it up.
May 12, 2011 – one of the main risk factor going fwd , it seems.
May 12, 2011 – have to wait until talk about end of bull market? hmm.. what kind of level would trigger that type of comment… what kind of fundamental?
May 12, 2011 – japanese QE, so tokyo should be buying?
May 12, 2011 – it’s going to turn around then. since more mind to change….?
May 12, 2011 – ?
May 12, 2011 – think twice, cut once.
May 12, 2011 – there is something
May 12, 2011 – remeber this
May 12, 2011 – just do it.
May 12, 2011 – yes. especially when we really want to see it…
May 12, 2011 – what if tomorrow is the last day, why the procrastination?
May 12, 2011 – put idea into action, get hands dirty.
Random thoughts
May 13th, 2011
House is like gold, capital allocation to house is not productive, capital allocation to gold is not productive, spending on research and education is investment, capital allocation on forest is productive, capital allocation to bond and equity market is productive. House is not, Gold is not. Owning those ‘desire driven’ asset class is a hedge, not a business model, owning infrastructure is a producer business model, owning investment conduit is a financial business model.
In a stone age society, the cost of building a house, or the cost of producing a bushal of wheat or the cost of pumping a barrel of oil would determine the how much a caveman have to pay for a house or a bushal of wheat or a barrel of oil. The concept of ownership and rights draws an artificial boundary and therefore created scarcity and therefore a desire for ownership. This desire could stem from a few causes, 1) utility 2) status 3) scarcity expectation. 1) is on the fundamental level(applies to house, land, oil, wheat) 2) is more affiliated food, energy, base metal, forestry not so much in precious metals. 3) is ultimate premium and most pronounced in gold (it has the self-fullfilling property, i.e. scarcity leads to price appreciation which leads to further scarcity).
I suspect the magnitude of 3) is also a function of accessibility to the asset and how interconnected the network is. e.g. one of the reason why HongKong is the place most susceptible to speculation mania and housing bubble is the sheer density of the city, which created an scarcity but also increase the speed a mass hysteria spread cross the population. The fundamental of both factors has been changed dramatically in the past five years, e.g. ETF, various commodity indices, zerohedge, internet etc.. which itself could be the shift in the fundamental in additional to traditional considerations, inflation, interest rate, production cost etc. etc. etc. The impact is hard to quantify though.
it seems we are going through a implicit tightening phase again, and as one hedgie said, how the market and central bank game out in through the summer will determine the course.
Surviving the Storm
May 12th, 2011
case of real-time data
May 10th, 2011
In pursuit of timeless.
April 18th, 2011
Gallup Daily: Economic Indexes
April 17th, 2011
art and artist
April 14th, 2011
precious metal market search index
April 10th, 2011
search engine index
April 9th, 2011
http://index.baidu.com/
http://www.google.com/insights/search
Pavane – Gabriel Faure
February 14th, 2011
毛匪与周主任
December 6th, 2010
没事偷着乐
November 26th, 2010
据英国《每日电讯报》26日报道，4年前41岁的法国摄影师戈德伯格(Sacha Goldberger)发现91岁高龄的奶奶意志消沉，为了让奶奶振作精神，他建议为奶奶拍摄一组不同寻常的照片。他将奶奶扮成各种“超级英雄”，此后这位奶奶的脸上总是挂着笑容。
“超人奶奶”雷德里卡(Frederika)出生在匈牙利布达佩斯，她在二战期间冒着生命危险拯救了11条性命，而她的丈夫也帮助一些犹太人躲避纳粹的追杀，可谓是一位“现实英雄”。后来她作为二战的幸存者从匈牙利移居到了法国，但年老后倍感孤独，渐渐开始出现忧郁症状。
戈德伯格提议为奶奶拍摄具有想象力的照片，照片中的奶奶穿着超人服，戴着头盔，摆出各种姿势，戈德伯格最后用计算机技术为这些照片制造超现实场景。随着这些照片的意外成功，戈德伯格还特意为奶奶开设了一个MySpace网页，之后在网上引起了轰动。
目前这位“超级奶奶”的网页上已经积累了数千名粉丝，有网友这么评价道：“这就是我希望拥有的那种奶奶”、“我很开心看到这些照片，希望我老的时候也可以像你一样。”
Volatility Trading – Euan Sinclair
September 20th, 2010
This book is going to be a classic next to baird, taleb & natenerg in option trading literature. There is a few key points I’d like to highlight and investigate.
CHAPTER 2 (basics)
1) volatility measurement, its bias and convergence, and what EXACTLY is each estimator estimating.
2) high frequency data, vol, volume, liquidity measure, optimal trading strategy.
3) HF estimator and GARCH family estimator (looks problematic in chp. 9)
4) contextualize vol estimation with vol cone, and vix forecast.
CHAPTER 3 (alpha: mr, rv, bias)
1) principle risk (prediction) , curve (2 mr plays), surface(2 mr plays). volatility regime. short cut: 20*|R|
2) behavioral bias in pre-post announcement over bet/ under bet. automated execution at announcement could provide an edge.
3) RV tools: normalized variance, term structure of skew and kurtosis(Corrado & Su), normalized RR FLY(v.s. delta)
CHAPTER 4 (dynamics hedging, source of slow bleeding if not take care of)
1) transaction cost and optimal hedging, HN, WW, Zakamouline, Leland’s adjustment.
2) the edge of MM is in its access to liquidity through out the surface (legging, Baird).
3) transaction cost estimation, market impact function.
4) proxy hedge, index hedge.
CHAPTER 5 (path dependence & discrete hedging)
1) path dependence of pnl due to discrete hedging. estimation and pnl variance.
2) choice of vol for delta hedging. bias of vol for trending and range bound market.
3) breakeven vol skew (dupire 06).
4) close form & simulation of pnl var v.s. hedging vol.
CHAPTER 6 (Money Management)
1) problem of kelly, kelly extend to continuous case return/var
2) kelly drawdown probability, kelly mean time, kelly pnl dynamics.
3) dynamic strategy.
4) mean reverting kelly, optimal stop time (there is a paper on this topic), logistic innovation, backtesting
CHAPTER 7 ( post trade)
VERY IMPORTANT, should spend a lot of time doing this.
CHAPTER 8 ( psychology)
1) point estimation is not that useful
2) wrong estimation of complexed probability
3) framing, stereotype, ignore the details
4) bleeding v.s. blast
5) antidote: rigorous framework, critical, self-critical
Anna May Wong
September 18th, 2010
conversation with yale vice president and dean of admission
September 16th, 2010
three points:
1) admission should be considered in local context and recognize the true human potential that cannot be measure through ordinary ways.
2) play the long game, reflect on the past 300 years, and think forward about next 100 years. and address the risk (land lock, obsolete, irrelevant) from very early on. [this is the most impressive point, reminded me of some of swenson’s points stated in PPM)
3) the object is to mold character through liberal arts education, produce more ‘interesting’ people.
The Awakening of Spring
September 14th, 2010
mega city population growth.
September 13th, 2010
Martha Argerich play Bach Partita
August 28th, 2010
sometimes caress, sometimes kiss, sometimes kill.
a man can’t just sit around?
August 12th, 2010
Larry Walter, an American truck driver who, in 1982, attached 45 helium balloons to a standard lawn chair and then floated from his home in San Pedro, California, to an altitude of 16,000 feet, before eventually shooting a few of the balloons with a pellet gun and drifting into the controlled federal air space of Long Beach airport, where he crashed into a power line that caused a 20-minute blackout
Add routing to Simulation
July 8th, 2010
ORS (order routing service?) is the core for marketcera, I intend to add a similar Order Routing Service into the Swarm simulation, this is one more step towards a arbitrarily realistic market simulation, structural wise. Of course the real tough work should be in the modelling of agent behavior, but I will deal with it later…
Randomize everything
July 7th, 2010
I amended the code to randomize three things
- time between each agent do evaluation and send order
- time between agent send order and exchange process order
- size of order
The dynamics scheduling framework provide great flexibility to make the simulation as close to reality as possible. Here is an example, instead of synchronize and prearrange the step of WHEN traders send out orders, and WHEN the exchange process order by setting:
this.scheduleTraderEvaluation$ForTrader(Globals.env.getCurrentTime()+generator.nextInt(10), trader);
and
this.scheduleTraderSendOrder$ForExchange(Globals.env.getCurrentTime()+generator.nextInt(10), modelSwarm.exchange, trader);
the sequence of events happened can be totally mixed up according to desirable distribution(e.g. Poisson), while the relative causal relationship(e.g. send order -> process order) being maintained. This is very close to reality, i.e. random order arrival, random delay time.
Random order size is handled by wrapping every Order in OrderWrapper, each incoming ‘market’ order can be matched with multiple limit order on the other side of various size. TradeRecord would record the trade information properly.
Next step:
- add OrderHeap.cancel() and implement OrderHeap using sorted Linklists instead of PriorityQueue, so that I can make the whole orderbook information available to Traders and Exchange…
- add expiration time to Order class, and OrderHeap.expire() to clean up the orderbook from time to time. This should eliminate some bias due to permanent nature of current orders.
Swarm Limit Order Book Simulation
July 7th, 2010
Finished implementing the Swarm version of Limit Order Book simulation… This one is built in java and using Swarming’s dynamic scheduling engine. It’s much more flexible then the Matlab time driven implementation and runs bleeding fast compare to matlab. Order book and order crossing engine is using the exact same design as before(two heaps, order wrapper, pure limit order, etc.), strictly speaking I can emulate the time driven version in this implementation, so this one is a more general purpose simulator. Here some market dynamics generate by 100 zero-intelligence agents (time as price, price as time).
0.5/0.5 limit v.s. mkt
0.4/0.6 limit v.s. mkt
LOB Multi-Agent simulation using dynamic scheduling
July 5th, 2010
I’m still thinking about the difference between using Swarm’s dynamic scheduling architecture v.s. using Java multi-threading. Dynamic scheduling clearly gives me more control over the simulation, and processing time/connection delay can be modeled explicitly. here is the schematics:
LOB simulation different architectures
July 5th, 2010
The core for any multi-agent simulation engine is scheduling, which can be dealt in two ways: explicit(with control over instruction) or implicit(give up control to some library). So far I have tried two implicit architectures and trying one explicit.
1. in matlab implementation, the scheduling is achieve by attach a local timer to each agent the sequence of action would be: [action]->[wait]->[action]->… waiting time is explicitly defined, but each agents’ sequence action is on programming level independent of each other(not on run-time level, I really don’t know how matlab handle multiple timer running together, it is definitely multi-threading though). agents are linked by buffers which can be read and write for the state information. This is what Shovrob called ‘time driven’ implementation.
2. Time driven implementation sortof realized parallel simulation of each agent(i.e. each agent’s timer is running independent of each other), but this parallel process is implemented on programming logic level. We have no idea on process level how this parallelism is implemented(need to look into timer in Matlab doc for this, but I’m sure it’s not implemented in multi-thread). What we really want is to simulate the true parallel processes on processor level. This could be implemented in parallel computing fashion, or single process but multi-thread fashion. parallel processing is the most ideal and most close to reality implementation (like those protein simulation), but I havn’t figured out how to do parallel computing on Matlab for a loop in object, there is some routine available but mostly exploiting parallelism in a for loop itself, but not multiple for loops. The java multi-thread architecture is more feasible and is being coded right now.
3. The above two architectures does not control the sequence of instructions send to processor for execution explicitly. The dirty job is passed to a Matlab timer function in the first case, and multi-threads java classes in the second to handle it. Swarm provide a explicit way to schedule this sequence of events and dynamically generate and kill instructions in a schedule queue of instructions IDed by a time stamp. Concurrent instruction is resolved by randomize order of execution of instructions with same time stamp. each trader-exchange can be considered as a state machine, which generate its owe sequence of instructions. This is a beautiful architecture, although not really realistic ? or is it? maybe it’s should not be a statement but a question of how?
p.s. I’m modelling each trader/exchange pair as two state finite machine,trader send order triggers exchange action, which will have instantaneous response(place,match,update etc), then pass control of instruction back to trader. This design clearly defined the causality between trader and exchange, i.e. trader send order cause exchange to take action then pass control back. In reality exchange and trader could overlap in time… this means exchange finite states model is actually not an accurate representation, the system could exists in multiple states simultaneously.
p.s. find a solution! The good thing about having control over a dynamic schedule is that you can simulate concurrent process. instead model the system as two state finite machine. trader evaluation can be self-referenced at each time step, while exchange state stacked over when condition met! finite state machine is just a subset of what is possible with dynamic scheduling engine like swarm. Εὕρηκα!
The interesting thing is the Swarm dynamic scheduling engine runs very much like a order book in abstraction, the difference is scheduling engine do a a simple pull()->execute() while order book do a more complicated match()->pull()->execute(). concurrent scheduling is resolved by randomize the order of execution while order book resolve this ‘conflict’, i.e. orders at same price level by execute them according to order’s time of arrival.
Swarm resources
July 3rd, 2010
Other fella in town
July 2nd, 2010
LOB
July 2nd, 2010
Order Book Dynamics
June 30th, 2010
I managed to get some non-trivial market dynamics out of my LBO model. Exactly as Farmer pointed out, if order is generated disregarding the status of order book, market will turn either stable or unstable, i.e. limit order eventually accumulates around current price, or mkt order wipe out everything. What’s interesting is to see how market could remain in critical states. There are several directions this problem could be studied:
- incorporate each trader’s inventory into her strategy
- maslov’s toy model
- …
this study should yield some useful insight into better understanding of market liquidity.
p.s. 1. the crossing engine could be improved, some kind of tree structure to sort new order, which should be implemented in PriorityQueue, right now the engine slows down significant as heap size increase, as can be seen from the plot above.
p.s.2. price increase should be discrete in reality, what’s the effect?
p.s.3 order elapse time
coded Maslov’s toy model in Strategy, looks like the critical states still depends on P(Mrk_order/Limit_order), fixed number definitely doesn’t work so I set P = rand(there should be some dependency in reality, something to think about), at lease the time series looks better this time. remain to do reality check on its statistical properties. improvement/next step:
- order auto cancellation …tricky
- faster queue in crossing engine … improved to log(n), but seems the speed problem is due to memory not sort.
- write archives into file instead of memory.
- investigate the odd synchronization…after putting some thoughts this seems to be realistic.
- run mm algo
- investigate impact of latency (data feed, order queue, exchange congestion ..)
MATLAB Limit Order Book crossing engine
June 29th, 2010
Instead of sort each order into 4 categories and try to cross between LIMIT and MKT (as in Shovrob’s) , here every order is treated as LIMIT order by consider MKT order as special LIMIT with infinite Limit price. This solved the problem in Dimitri’s original implementation, i.e. no limit order would cross each other. here is a sketch of the crossing algorithm.
put new order W1 into BUY/SELL HeapW2 = othrSide.peak()While (W1.price*W1.Heap_id<=W2.price*W2.Heap_id)match order, send confo, broadcast tradeupdate W1, W2if W1 == 0if W2 == 0Heap(W1).get()Heap(W2).get()breakendHeap(W1).get()breakelseHeap(W2).get()W2=othrSide.peek()endend
The next step is to incorporate the engine into the overall Trader/Exchange/DataVendor frame work and add the feedback loop from OrderBook through DataVendor back to Trader, and see how the simulated market mechanism could remain critical.
download file.
Maradona
June 24th, 2010
No.9
June 21st, 2010
Be embraced, millions!
This kiss is for the whole world.
Toscanini 3/7
Toscanini 6/7
Toscanini 7/7
veritas et lux
June 6th, 2010
This is what sets Marlon Brando apart from the rest.
Google Talk – Computing
May 29th, 2010
Computing:
- [interesting] the parallel revolution has started, are you part of the solution or part of the problem link
- [weird/interesting] Computer science unplugged link
- GPU link
- Erlang link
- turning’s cathedral link
- [interesting] statistical virtualization link
- use physics to design algorithm link
- differential synchronization real-time link
- consumer programing, link
- [interesting, promising] new approach for modeling and control complex system link
- [algorithmic game theory] Nash bargain link
- An new approach for massive parallel system link
- multi-touch interface link
- [Game/Auction] generating trading agent strategy link
- natural programming project link
- NASA HPC visualization link
- industrial control link
Google Talk – Learning
May 29th, 2010
Learning:
- machine learning for malicious url classification. link
- decaying MCMC link
- [promising stuff] new stuff on deep learning, walking style link
- large graph algo bleeding edge link
- [very interesting] low dimensional manifold link
- online PCA, work fast and well(convergence) on low intrinsic dimension data,
- discover intrinsic dimension, v.s. k-mean (NP-complete), very good approximation of k-mean
- application : learn micphone array location, link to control theory + reinforcement learning, Russ Tedrake et al optimal control for a walking robot, MIT Locomotive group, Russ showed some pretty good bird robots.
- futuristic product
- [very interesting] visual thinking with graph network link
- [interesting] generative algo application link
- [wired] cat detection link
- people recognition in video link
- what is people doing link
- motion as graph
- [deep learning] visual perception with deep learning link
- use evolution to design: polyworld link
- Hirachical learning model link
- [important] challenges in causality link causality discovery
- statistical aspect of dataming link
- Hidden topic markov model link
Andrew Ng’s Machine Learning Course
May 28th, 2010
[3] parametric, e.g. LR v.s. non-parametric, e.g. locally weighted liner regression (KD-trees)::: MLE -> maximizing likelihood is equal to minimizing Mean Square Root.::: logistic regression
[4] newton’s method, Hessian operation ::: generalized linear model(GLM), exponential family
[5] discriminative v.s. generative. GDA(stronger data assumption than logistic (whole exponential family), Naive Bayes, Laplace smoothing P(sum rise tomorrow =1)
[6] Naive Bayes(events model), NN, SVM. maximize geometric margine
[7] convex optimization, KKT , Primary/Dual optimization problem. Lagrange multiplier. , SVM dual, kernal
[8] kernal, soft margin, coordinate ascend, SMO(a variation of coordinate ascend to hold constrain)
[9] learning theory : high bias v.s. high variance. ERM non convex NP hard<- SVM/logistic regression convex optimization.
- uniform convergence, given gamma, function set, training set, what’s the training erro v.s generative error bound?
- variance, bias trade off. -> model selection
[10] VC, sampling complexity bound. Model selection: hold-out cross validation/K-fold CV/leak-one-out. Feature selection(fwd selection/backward selection/filter method(corr, mutual information)) NP hard to find the best.
[11] regularization. bayesian stats, prevent overfitting, online learning.
develop learning algo – > high classification error -> normal approach
- more training set {variance}
- smaller feature, more feature, better features, {bias}
- longer descent, or use newton. {error v.s. iteration}
- regulation right? {C for SVM, lamda for gradian decent, Bayesian logistic regression}
- try svm
–> luck.-> better approach
- diagnosis ( what’s the problem? high bias/high variance (training error, fitting error), fix where problem is)
helicopter problem
- better simulator
- learning algorithm
- better cost function
design diagnosis to figure out the problem, then fix the problem.
Error analysis/ablative analysis
e.g 15% error rate. what’s the contribution?
avoid over theorizing, but do diagnosis first and address the dominant issue first.
[12] K mean, mix of Gaussian, EM
[13] Jensen inequality, derive EM(smart idea).
[14] mix of gaussian, mix of naive bayes, condition of sigma, marginal/condition property of gaussain, EM for factor analysis( i.e. linear regression on steroid)
[15]PCA application (visualization, learning(dimension reduction), compression, anomaly detection. matching)
[16] latent component indexing(clustering the words given context), single value decomposition, independent component analysis(source recovery), e.g. EEG data pre-processing example
[17] MDP, markov decision process, bellman function, value iteration, policy iteration. unkonwn transition probability. Value functionn approximation etc. credit assignment problem(what made reinforcement learning hard),
[18] State action reward, Finite horizon MDP, Linear Dynamic system(Linear Quadratic regulization, Riccati equation/++optimal control, time dependent++)
[19] debugging RL algorithm, noise in the model doesn’t affect optimal policy. DDP(differential dynamic programming, tracking problem) for LQR, Kalman Filter, Linear Quadratic Gaussian
[20] POMDP (partially observable MDP). Policy search. (PEGUSUS)
Student project 09{stock trading}, 08{social network}
QC & AI
next 5 years?
Net generation NN —> google talk/ Geoffery Hinton/ Deep Belief Net(RBM) better result than SVM, Backprop, K-mean, no lable
PCA, linear, 30 dimensional supermarket, mean field for lateral propagation.
[1]perception: classification (perception/generation/compression) <==>
[2]reasoning: Bayesian network <==>
[3]decision: game, optimization.
—————-
[1] map high dimensional data to lower dimension manifold, intrinsic dimension
[1.5] temporal?
[2] concept of environment, but still low dimension map to high dimension, forming concept in bayesian framework.
[3] assigned name to the object, environment, temporal pattern, logic operator => language.
NYSE handheld Interface
May 28th, 2010
didi white paper.
Market surveilance
May 28th, 2010
I’d like to bring this up a separate topic:
market surveillance strive to identify the following market activity in real-time:
- Trade-Through;
- Locked Markets;
- Crossed Markets;
- Trading Ahead of customers;
- Prearranged trading;
- Wash trading;
- Shredding Orders;
- Money Passing;
- Counterparty trade percentages;
- Top order fishing;
- Marking the close;
- Error account;
- Transfer trade activity and
- Exchange transactions.
wrt to regulation framework that prohibits/enforce:
- Insider trading
- Market manipulation
- Breaches of fiduciary duties
- Violation of agency responsibility and investor protection rules
- Failure by specialists to maintain fair and orderly markets in listed securities and products, and
- Violation of rules governing members’ on-Floor trading and auction market procedures.
literature:
……
Atelier HFT
May 28th, 2010
[0] Charles-Albert Lahall’s presentation,
sell side, not particularly exciting. almgren, optimal trading curve, avellaneda optimal market making, + some of his own optimization doodles.
[1] Thierry Faucault‘s very interesting presentation. + IBM brochure.
working paper : Liquidity cycle and make/take fee in electronic market. <== important and interesting
paper: competition for order flow & smart routing system <==
He’s making very good points about anonymity, reputation, cost of monitoring in previous publications.
[2] ultra high frequency vol estimation, presentation
paper: ultra-high frequency volatility and co-volatility estimation. Christian Y. Robert, Mathieu Rosenbaum
[3] market simulation : two levels architecture: mean field game approach to LOB simulation, paper, Oliver Gueant. presentation
also refer to early work of LeBaron ==> notes, code || swarm project wiki
[4] Colliard & Faucault ‘s new presentation, Inter market competition, trading fee, and making/taking decision.
Bloomfield, O’Hara 02 on make/take problem ==> this.
[5] optimal splitting order cross liquidity pool,
modeling/optimization :: data/estimation :: market simulation :: market structure/market making :: connection/routing/latency :: what else?
========================================
paper: The role of time in price discovery: ultra high frequency data, Sita 06
press: how great is the need for speed, algorithmics 06
NYSE Technology
Apama UHFCEPAADPT (Ultra High Frequency Complex Event Processing Adaptive Algorithmic Development Platform)
DMA +RTN /CEP +Empirical stats ->
Market Microstructure Literature Review III Market Design
May 24th, 2010
paper transparency and liquidity, a comparison between auction and dealer market, Pagano
paper order flow and liquidity around NYSE trading halt, Corwin
paper dealership market, Amihud
paper volatility efficiency and trading, Amihud
paper stock market microstructure and return volatility evidence from italy, Amihud
paper the anatomy of a call market, Kehr
paper the specialist’s discretion, Ready
paper stock market structure and volatility, Stoll
paper price discovery in auction market, Madhaven
paper what’s special about specialist, Beveniste
paper automated versus floor trading, Venkataraman
paper quote disclosure and price discovery in multi-dealer financial market, Flood
paper transparency and liquidity a study of LSE, Gemmill
paper can transparent market survive, Bloomfield
paper an order prohibited analysis of transaction stock price, Hausman & Lo
paper eighth, sixteenth and market depth
paper sixteenth, direct evidence on institutional trade
paper minimum price variation, Cordella
paper does large minimum variation encourage order exposure, Harris
paper multimarket trading and market liquidity, Chaudhry
paper quote order flow and price discovery, Bloom
paper a cross exchange comparison of execution cost and information, Bessenbinder
paper third market broker-dealer, price competitor or cream-skimmer, Batallio
paper order preference and market quality in United States Stock market, Lightfoot
paper potential competition and actual competition on equity option, Neal
paper competition and collusion in dealer market, Dutta & Madhaven
paper the effect of market reform on trading cost and market depth, Barclay
paper the effect of market reform on trading cost of public investor, Naike
this is probably the most interesting part of microstructure research
paper market maker quotation behavior and penetration transparency, Simman & Whitcomb
paper entry exit market maker and bid ask spread, Wahal
paper the making of a dealer market, Ellis & O’Hara
paper order flow composition and trading flow in a dynamic limit order market, Foucault
paper market making with costly monitoring, Foucault
paper market order versus limit evidence from SuperDOT, Harris & Hasbrouk
paper an empirical analysis of limit order book and order flow in Paris bourse, Biais
paper an empirical analysis of NYSE specialist trading, Madhaven
paper timing of orders, order aggressiveness and the order book at paris bourse, Bisiere
paper econometrics model of limit order execution, Lo
paper the econometrics of ultra high frequency data, Engle
paper liquidity based competition for order flow, Parlour
paper price dynamics in limit order market, Parlour
paper split orders, Bernhardt
paper strategic liquidity supply and security design, Biais
paper informed speculation and imperfect competition, Klyes
paper continuous auction and insider trading
paper competitive bidding and proprietary information, Englebecht
paper bid-ask price competition with asymmetric information, Calcagno
paper life in the pit
paper strategic trading and welfare in a dynamic market, Voyanas
paper inventory information, Cao
paper inter dealer trading in financial market, Wang
Finished reading Baird’s option market making today, what they said? what can be said has been said?
paper high frequency trading in limit order book, Marco Avellaneda 06.
- market order arrive frequency modeled as power law f_Q(x) = x^(-1-a) a~ 1.5
- impact function using Bauchard’s result as ln(Q)
- a combination of above two gives the frequency limit order get filled as a function of spread to mid
- indifference mid price as a function of the inventory, vol and hold period(? c’est bizarre), do the optimization, or learn the parameter.
- intuitively optimal bid offer is a function of inventory (reduce vol) and market order arrival rate, and risk preference.
- vol model/intra-day seasonality can be incorporated in this to account for heteroskedasticity. this could be an edge over plain vanilla market maker, as most money is probably made when vol collapse and your algo offer the tightest spread in the market, vice versa during vol explosion.
- correct prediction of order arrive rate and size distribution can provide extra edge as well, e.g. detect iceberg order, incorporate detect abnormal flow, regular flow, intraday pattern etc.
paper the microstructure of stock market, Bruno Biais
- inventory control
- information asymmetry
- strategical liquidity provision
- design(competition between exchange, tick size etc.)
paper statistical property of stock order books, Bouchard
- limit order arrival power law with exponent 0.5, universal
- volume, uniform distribution up to 20 ticks, then flowing power law.
- average shape of order book, gamma distribution, most sensitive to market order arrival rate
- analytical model for average order book given out, similar to Daniel&Farmer’s.
paper how strong supply and demand affects price diffusion, Daniel
paper theory of large fluctuation in stock market
- price tail exponent =3(equity), fx 3.4
- volume exponent =3/2
- number of trade in given time interval exponent =3.4 empirical 3 theoretical
- fund size exponent = 1, price impact 1/2 (an alternative proposal is log function but this complicate the matter)
- price imapact exponent 1/2, link can be easily established between size of trade 3/2, impact 1/2 and price fluctuation 3.
- main result is to establish between size of fund and size of trade, through optimal trading strategy perspective.
paper statistical properties of share volume traded in financial markets
- statistical property of trade volume, number of trade, size.
- long memory in volume.
paper more statistical properties of order books and price impact, Bauchard
- interesting result limit order arrival follow power law with exponent 0.5 for paris bourse( pure limit order, more large movement) while 1.5 for LSE.
- SPY follows normal within 20 tick, then follows power low with exponent ~1, QQQ follows power law more closely with exponent ~1
- cancel rate is not uniform, itself again follows power law wrt distance from mid price.
- log response function is proposed R(t)ln(V) v.s. V^1/2, with R(t) increase from few seconds to few hundred seconds then decrease to permanent impact, variation 50%.
- implication of ln(V): 1)large trade wrt to order book size is cost effective than smaller trade. caused partially by hump shape in order book, partially by correlation between size of limit order and market order (Trading Strategy: show large limit order few tick away from best bid/ask to attract large market order while honor only a partial fill, open for optimization, a) how large is the bail order, b)how far away from mid, c) response strategy wrt to market move)
- implication of R(t), the steady state part of R(t) represents the market estimation of information content of each new trade.
paper dealer bid ask quote and transaction price, Ho
- break down transaction price into three components using Stoll’s model: ‘true price’, inventory effect, spread effect
- OLS test for the above hypothesis, bid-ask bounce accounted for.
- this paper basically applied Stoll’s model to AMEX option specialist data (monopolistic MM)
paper the dynamics of dealer market under competition
paper optimal dealer pricing under transactions and return uncertainty, Ho
- Ho & Stoll’s seminal work, the same period when Whitcomb start ATD.
- dynamics programing problem postulated in this paper. i.e. adjust bid ask to maximize terminal utility
- the easy part is the reserve spread which depends on probability of fill (assume to be linear), this could be refined using Avellaneda 06
- risk premium in bid ask spread depends on: risk preference, size of transaction, vol. independent of inventory level
- inventory response function has same risk parameter as spread function.
the optimization problem is formulated in this paper. max(E(X_T+q*S_T)) subject to bid/offer
paper on dealer market under competition, Ho & Stoll
- single period, two competitior
paper competition and collusion in a dealer market, Madhaven
paper a steady state model of the continuous double auction, Luckock (close form)
- assumption A4, submitted order independent of current order book, improvement?
- assumption A2, temporal dependence of order arrive, improvement?
- assumption A3, in avellaneda 06′s context, this could be another parameter (external) for order arrival rate besides temporal dependence, which affects P(a/b), probability an order being executed.
- assumption A1~A5 means market microstructure is a) markov process 2) zero intelligence a)&b) together means agent with no memory.
- model works well with no informed large order flow & external information, with either of which close form solution is hard to attain. refer to the next 4 papers.
paper analyzing and modeling 1+1d market, Challet
- stats of Island ECN data, 15 nearest order bid-ask, ex size larger than 10,000 share
- volume clustering, life time (-1.5fill, -2.1cxl with peak at 60,100, etc)
- asymmetric impact function, largely due to shape of order book??
- lattice model, take into account of super diffusion in small time scale compare to maslov’s
paper statistical theory of continuous double auction, Smith & Farmer
- seminal paper. robust model
- order cancellation fine tune the balance between market order and limit order to remain critical
- explain well for scale dependent behavior, but insist power law tail behavior depend on non-Poisson order arrival
- correlation of order flow, its depends on other parameters need further investigation
- so most promising future direction is condition order flow to some external parameters, since everything depends on order flow rate in this model.
paper an simulation analysis of double auction markets, Chiarella
- agent based model, noise, technical, fundamental
- advantage of this model is effect of informed and uninformed agent could be studied
paper an integrated model of market making and limit order book, Chakravaty
paper the information content of limit order book, Cao
- Trading Strategy: 0) test for temporal stability/correlation in order book info content, 1)naive 2) active, could be a game here.
- error correction function to estimate information content, Hasbourk 97, Granger & Engle
paper price fluctuation from order book perspective, Maslov
- nonlinear impact function
- information content of order book imbalance
- hinted delay & strategy
- claim to be the first to study order book stats
- market order size x^-1-1.5, limit order size x^-1-1
- concave ‘virtual impact’ with exponent 2 i.e. delta_P=N^2, while real impact is convex function, N^0.5 or ln(N)
- latency come into play when causal correlation time span between order book imbalance and short term price movement is less than network delay, 30 seconds to a few minutes 02, this stats could be much short nowadays.
- Trading idea Figure 7 & Figure 8.
paper simple model of limit order driven market, Maslov
- sergei’s toy model 99.
- Hurst exponent 1/4, due to self-reinforcing trap. this is discussed in Smith & Farmer’s
- log log plot of delta_P for such a simple model is AMAZING!
paper order book approach to price impact
- real impact is 1/4 of virtual impact
- 0.76 exponent for mid point, 0.5 for transaction price.
- exponent tends to decrease wrt to time. ln(Q) in small scale
- reason for for concave function:1) discretion trading (the causal relationship is from trading -> empirical Q^0.5, not vice versa) 2) anticorr between market order imbalance and limit order
- correlation between return and market/limit order.
paper option market making under inventory risk, Skoikov
- MS equity microstructure grant
- analysis under broadly speaking three scenarios, complete, inventory risk, stoch vol overnight risk.
- interesting feature of this paper is that it approached the optimal market making problem through mean variance frame work as oppose to maximize utility, fast calculation.
- optimal spread for vanna & gamma depend on maturity of option under stoch vol.
paper paper why do NASDAQ market maker avoid odd eighth rule, Christie
paper split order, Bernhardt
- given fixed cost, the equilibrium number of market maker
paper trading machenism and stock return, Animhud
- open vs close
paper the only game in the town, Bagehot
paper continuous auction and insider’s trading, Kyle
paper bid ask and transactional price in a specialist market with heterogeneous information, Glosten
paper is electronic open limit order book inevitable, Glosten
- the framework can be used to analyze relationship between EBS, CME, and Dealer market
- this is a very important issue.
paper insider’s trading, liquidity and role of monopolistic specialist, Glosten
- dealer market or specialist market.
paper estimates components of bid ask spread, Glosten
- unbiased estimation of spread and its components, adverse selection account for 10% in this result.
paper specialist gross trading revenue on NYSE, Sophiano
paper liquidity provision with limit order and a strategic specialist, Seppi
paper market microstructure and stock return prediction, Huang
- this type of model should be at least incorporated into market making. e.g. lagged index
- Trading ideas. test of causal relationship/structure (Tsay, multivariate, previous post)?
paper incentive compatible contact for sales of information, Bias
paper insider, outsider and market breakdown
- why market breakdown.
paper insider’s trading without normality, Rochet
paper selling and trading information in financial market, Admati
paper a theory of intraday pattern, Admati
paper a theory of intraday variation, Foster
paper trading and returns under periodical market closure, Hong
paper the effect of sequential information arrival on asset price, Copeland
- Human experiment.
paper order flow composition and trading flow in dynamic limit order, Faucault
- equilibrium between submitting limit order or market order
- very important question but has been left open
- along with glosten, seppi, parlour’s model, but addressed the pick off question of limit order
paper insider and liquidity trading in stock and option market, Biais
- this group of people, biais, seppi, glosten, klye who publish on journal of finance, is OBSESSED with informed trader, insider…
paper the trades of market maker, empirical study of NYSE, Hasbrouk
- first empirical study of inventory(amihud 80, ho 83, o’hara 86, madhaven & smidt 91, 93) and asymmetric information problem
- classical dealer behavior in illiquid market, mix mm with prop. spectral decomposition of specialist profit.
- specialist can predict short term price movement e.g. next 100 trades, but this is a small component compare to profit from bid-ask
- speculation profit for specialist is, random
paper liquidity in futures pit, inferring market dynamics from incomplete data, Hasbrouk
- Hasbrouk made a good point which is: regression of signed order flow and price change, i.e. impact function is actually – trading ideas: the def of liquidity
- Bayesian (MCMC/Gibbs sampling) estimation of latent variables -> estimation of liquidity || while conventional estimator estimate spread & vol through variance & cross-variance of delta_P (patent) GMM
paper trades quotes inventory and information, Hasbrouk
paper an analysis of changes in specialist inventories and quotation, Madhaven
- combined inventory theory with asymmetric information theory.
- patch-up? for little empirical evidence for inventory effect
paper price discovery in auction
- NYSE open
paper life in the pit, competitive market making and inventory control, Manaster
paper does risk sharing motivates inter-dealer trading
paper does inventory matter in dealership market
paper price impact of block trading on NYSE, Kraus & Stoll
paper large block transaction, the speed of response…, Holthaulsen
paper time and process of security price adjustment, Easley
paper cream skimming or profit sharing, Easley
- trading idea: estimate information content in order flow and compete/separate uninformed order flow from informed order flow.
- likehood estimation given for informed trader.
paper test of microstructure hypothesis in forex market, Lyon
paper adverse selection and bid ask spread evidence from close end fund, Neal
paper adverse selection and competitive market making, Sandas
- state dependent order flow.
- an alternative inventory paradigm differs from Stoll & Ho’s with no dealer risk preference
and O’Hara, Madhaven, Hasbrouk
JHU Microstructure course
Ted
May 21st, 2010
review on Iran
May 12th, 2010
Shah of Iran: American military support, suppress grassroots movement, advocate western value.
Khomeini: exiled to Iraq, Saddam offered help to Shah to eliminate/exile Khomeini, gathered a group of young intellects around him, exiled to Paris. Khomeini suceeded in stage a revolution from Paris. Khomeini’s words spread like wild fire in Tehran. Strike by the leftist.
American: view Iran as its outpost against communism and anti-western movement in middle east.
Shah’s court: generals and admirals wear fancy costumes, no mention of disorder on the street or worry or anything, the party goes on. a bit like Havana before its down fall. American want Shah to take hard line position, but try to avoid express this opinion explicitly. Shah refused(?) to suppress the revolution, and announce to take an extended holiday(?) aboard.
American: decided to surpass the Shah by directly support the military to stage a coup to foil the revolution(general huyser), while the Shah is away. This was a deja vu, in 1953 the Shah fled a popular uprise, then American and British staged a coup which put him back to his throne. This time American decided to abandon the Shan and support the new prime minister.
Khomeini: ask supporter to send flower to the military in Tehran, the military dissolved in droves. Kohmeini decided to return to Iran, took journalist on board as insurance. Kohmeini was welcomed as a hero.
Revolutionary Guard: attack police station, military bases, seize weapons. Military stay neutral, prime minister fled, Shah’s inner circle executed. American reduce embassy from 2000 to 100.
Shah: Shah ask for refugee in U.S., got refused(Carter refused, Brzezinski argued for the Shah). Shah was refused entry by every countries he asked for refugee. Shah revealed his terminal cancer which as been kept secret for 4 years, Carter agreed to admit Shah.
Tehran university students: some propose to occupy american embassy and take hostage to force the Shah back. Mahmoud Ahmadinejad opposed the plan and point out that this would strengthen the russian influence of the revolution which is the next enemy to the revolution rather than the Shah or American. Ahmadinejah fear the communist gaining ground through this act.
Khomeini: student report this plan to one clerk close to Khomeini, who replied ‘go ahead but don’t let the Iman Know it.’ Khomeini retreated to some rural holy city far away from Tehran. what is it Khomeini want to bargain with the american? or to exterminate american influence in post revolution Iranian politics totally? moderate was swept out of the government.
American: replied with sanction, freeze 5.5 billion asset , ban oil import. Shah left America. Carter was forced to take action. rescue mission failed. Carter admitted the mission the next morning.
Khomeini: show the world Carter administration’s incompetence, worst still in an election year.
Saddam: Shah’s general fled or executed. sanction started to work in the military, which became preeminent when Saddam threaten war.
Deal: frozen asset, shah’s personal fortune 20 billion-> constitution ground.
Saddam: bombarded Tehran airport, 70,000 cross the border, 8 years war, 1 million dead. American pass Iran’s defense information to Saddam through Saudi and Jordan. Iran is desperately short of arm. Saddam used chemical weapons. Iran demand UN Security council to take action, but no action was taken.
Iran: Parliament voted to resume talks with America. Carter defeated in election, Regan got elected. American offered 7.9 billion (BOE hold 2 billion bullion) to settle before Carter leaving the office. hostage freed 20 seconds after Regan sworn in.
Israel: invaded Lebanon in 82, Iran see chance to spread revolution. revolutionary guard plan to entering Lebanon, Khomeini cautioned that it could be a trap that the western attempt to start a second front on Iran. Khomeini instructed revolutionary guard to intervene in Lebanon through organizing and training.
Hezbollah: was created. American send marine to stabilize the region. marine barrack bombed by suicide bomber, 243 us marine killed. 53 French killed. Bush senior visited Lebanon. U.S. and French troop moved out. Hezbollah claimed this as a great victory, Islamic Jihad claimed responsible for both attack, and started to take western as hostage to hijack western leaders around election.
Francois Mitterrand: sent Le Mond journalist to deal with revolutionary guard, who in exchange wanted France to stop selling arm to Saddam, France refused and counter-offered 1 billion.
Jaque Chirac: send message direct to Lebanon to oppose the release of hostage. Mitterrand’ deal was called off. Iranian told Mitterrand, you offered 10, your opponent(Jaque Chirac?) offered 100.
Hashemi Rafsanjani: told Khomeini he would announce ceasefire as deputy command-in-chief, then Khomeini can have him tried for disobeying his order, it will prove to the people it was not your decision. Khomeini said, no it is not just, I will do it myself.
Khomeini: died of heart attack, Rafsanjani became president, Bush senior became president as well. In his inauguration speech Bush senior specifically mentioned about american hostages, ‘assistance can be shown here, and will be long remember. goodwill begets goodwill’. Rafsanjani picked up the hint and responded saying Iran is willing to work with western country, but only if they approach us in the right way, that means equal partner with no colonial attitude’.
Opposition of Rafsanjani: executed one american hostage in Lebanon, show the video to the world.
Bush: enlisted the De Cuellar to broker a deal with Hezbollah and Iran to release hostages. Secretary General’s trouble shooter, Gianni Picco was sent to Rafsanjani to bring Bush’s personal message. Rafsanjani’s term is request neutral review of Iraq-Iran war, and demand Iraq to pay war damage.
Saddam: Seize Kuwait, American force intervened, and stayed in Saudi after the war within reach of Iran.
Rafsanjani: released the hostages. American refuse to left the sanction. UN lost its credibility in the Middle East. Bush administration betrayed Rafsanjani. no attempt for reconciliation is attempted.
Mohammad Khatami: a liberal cleric who promotes a version of Islam coexists with democracy, free expression and modern world. This got into trouble and he resigned as minister of culture. Khatami has the support of students and intellectuals, but his position angered the supreme leaders. Khatami toured the whole nation for his presidential campaign, and won the election by a landslide. interview with CNN, acknowledge hostage taken(hurt feeling), acknowledge terrorism (condemn any form by anyone anywhere), dialogue of civilization (wrestling).
Khobar Bombing: Saudi->U.S. intelligence->Clinton->Khatami implies Iran is responsible, Iran denied responsibility and pointed to Al Qaeda. after Rjafsanjani, Khatami again attempted to normalize the relationship but failed. Taliban is the only point where U.S. and Iranian interest coincides. Taliban killed Iranian diplomats, Iran prepared to invade Afghanistan. Iran double dealt albright in UN summit.
Al Qaeda pulled off an very complexed suicide attack on Taliban’s last opponent in Afghanistan who has been supported by Iran. Massoud’s other ally is Russia. both Iran and Russia is alerted by this attack. Bush junior was informed. the next day is September 11.
Khatami: government quickly made public statement, public allowed to express sorrow. Iran offer cooperation with U.S. against Al Qaeda and Taliban. 6+2 group, share intelligence with U.S. government on northern alliance.
Bush Administration: claimed Iran constitutes axis of evil, and turned the course of war on terror against Iraq. Iran offer to help, Jack Staw pass the message, State department got excited, hit a brick wall when the message was passed to the white house.
Sadeq Kharrazi: foreign minister’s nephew, in-law of supereme leader, proposed a road map for U.S. Iran relationship normalization to swiss ambassador. Iranian demands 1)abolish of regime change policy 2)life all sanction. bureaucrat at state department ignored it.
Bush and Bush administration: the problem of terrorism is because the existence of evil regimes in the middle east, the solution of the problem is to eliminate them and promote freedom and democracy in the middle east. get those monkey civilized. Bush made clear that all option is on the table regarding Iran nuclear weapon development.
Europeans: start their own Middle East peace process, the objective is to avoid a second iraq, E3 offered to lift sanction in exchange for an Iranian guarantee for not pursuing nuclear weapon. It was a big gamble, both by the west and the supreme leader. They really believe american is crazy? IAEA inspected Iranian site, and no sanction is left as a result. Iman is betrayed again by the westerners.
Supreme Leader: moderate was cleared out of parliament, this signaled a change of Iranian foreign policy against the west. E3 felt the pressure to offer Khatami regime some carrot, the message is passed to Powell but again blocked by John Bolton, who represented Dick Cheney. Clearly in Cheney’s mind there is only two possibility to the Iranian problem, nuclear disarmament, or face total annihilation, any deal only prolong the problem which is not in U.S. interest.
Ahmadinejad: got elected. pop star of Iranian politics. Powell is sacked. Rice became new secretary of states. Rice received ‘a convergence of’ intelligence indicates Iran is behind most terrorist plot against the west in middle east, and it is developing a nuclear weapon.
New Iranian deal: we stop killing american troops in Iraq, you let us develop nuke. Ahmadinejad announced Iran would restart the enrichment program.
Rice: American is pushed into a even more isolated position by preparing (at least pretend to) attack Iran. British decided to draw a line in the sand and said no to Rice. In fact jack straw even dare not hint the possibility of invading iran. meanwhile, american media started to drum up about military action against iran.
Bush Administration: Yield to pursue a diplomatic solution. accept Iran into international community, lift sanction, stop enrichment etc. instead of sending Larijani, the supereme leader sent Ahmadinejad to spoke at UN. This time Iranian double dealt American.
Obama: we are willing to extend our hands, if you are willing unclench your fist.
88~08 中国改革史
April 28th, 2010
88 莫干山会议->市场经济->价格双轨制->倒买倒卖->副食品价格放开->粮票重出江湖->北戴河会议->通货膨胀->海南立省->宏观调控->三角债问题->东北，重工，钢铁，煤矿流动性不足->发放国债，打击投机倒把->停止价格闯关，整顿经济秩序
89 农民工失业->外资静观其变->个体户减少三百万户，私营企业减少一半，捐献，私转公->流动性崩溃，信用崩溃-> 易货博览会，逃债讨债->五大行组织清理三角债->地方保护主义限制流动性，流动性问题已发生了质变->学运->邓大人辞中央军委主席->冷战结束->希望工程
90 安排朱江入主上海, 邓大人连续三年在上海过春节。 开发浦东-> 建立证券市场、引进外资银行-> 以资本市场带动国有企业改制，上海退二进三，浦东开发 -> 企业开始快速成长 -> 资本市场开始冲击计划经济的基石->从广东时代进入上海时代
91 朱镕基调北京东北解决三角债问题，现场清欠->全国电话会议，电报传真电话规定时间前直接汇报三角债问题. -> 营销，策划，竞争，眼球经济，efficient market, 中国从生产者的世界过渡到消费者的世界 -> 苏联解体，反和平演变
92 小平南巡，三角债问题得到本质解决 -> 公务员下海 -> 制造/营销/贸易 -> 点子公司，高科技公司-> 牟其中-> Clinton got elected.
93 ..
94 计算机进入家庭, 李阳英语. 世界制造业中心由亚洲周边转到中国.
95 心中充满狂热, 眼中只有对手. 走向世界, 2005 进入世界五百强. 海尔管理模式。Natscape 上市，互联网高速公路， 马云，丁磊创业。
96 彩电关税， 价格战，产业整合，打民族工业旗号。 Yahoo listed on Nasdaq. 国有企业破产达到高潮，中央实施抓大放小的策略。 买断，收购。
97 亚洲金融危机，winner’s curse: 三株，秦池，亚细亚，太阳神多元化失败，史玉柱。巨人大厦， 农村包围城市。
98 朱镕基当选总理，企业改革的重点从经营转向所有权。国退民进，科达垄断中国胶卷市场。 西安 重庆出让国有资产 03。7000家国有企业， 30 B non-performing bank loan, 150 B 股份制改造。 福利分房结束，商品房时代开始。香港禽流感。
99 tech bubble, 全球新兴经济受冲击，外国资本大规模进入中国。 中粮，中化，工行，中行等进入世界五百强。 证券法开始实施，股市大涨。 财富中国论坛。宣传中国，宣传上海。 请帖，新闻考察团(喀什到宜昌到上海)。 oicq, 协程网，当当网， 盛大。 华纳在浦东开董事会。 会议热，APEC, 搏敖论坛，世界经济论坛，奥运会，世博会。 普京上台，北约轰炸南联盟， 破译DNA，
00 财经杂志刊发基金黑幕，时任证监会主席的周小川表态支持。吴敬琏在经济半小时节目发表评论，释放出整顿证券市场的信号。蓝天事件，财经刊发银广夏陷阱，中国证券市场监管开始走上群众运动之路。 小布什，小灵通。 时代华纳并购，中国门户网站上市，tech bubble bust.
01 IT 公司烧钱，ipod，汽车工业民营准入，互联网企业过冬，坚定乐观者取得最后胜利。 中国加入WTO, made in China.
02 buyout, 美的，四通，联想，玉溪，健力宝，华晨汽车，春兰，海尔，长虹，ＴＣＬ(96开始, 广东惠州), 美菱，荣事达 (安排退休). 改制 v.s. 国有资产流失．建设银行（王雪冰，张恩照). soho长城脚下的公社。仇富，郎咸平．ENRON, WorldCom, Xerox．
03 固定资产投资，房地产，出口加工．温州炒访团出现．房价从两千到四千．十万人每人一百万．流动性将仍然原自温州．山西炒访团．海龟炒访团．商品房批发市场出现．新大炼钢铁运动，上海复新郭广昌1.2b 宁波, 戴国芳铁本1.5b，刘永行1.5b 铝电一体化项目．运输行业繁荣，超载现象严重．卡车，造船，港口建设．水泥钢材能源等原材料发生短缺．电荒．房地产总投资达一万亿，中国成为全世界最大的建筑工地．土地出让金３０b each year. 征地卖地成为地方政府最重要的财政收入来源．房地产及其相关产业成为国民经济主导．朱镕基退出政坛．成立国资委，对国有企业开始重组．央企诞生．
04 宏观调控，德隆: IPO炒家, 产业整合(湘火炬：大汽配 亿亿亿)，00 LBO 37 million, 农村超市集团，中国重型汽车集团，畜牧业旅游业集团，航母公园. 房地产，水泥，电解铝投资过热，股市市盈率达到50~200倍，宏调导致中国民企再一次大规模完蛋．
05 超级女声．华为 (质量，服务，耐心，坚持)． 狼文化，偏执．中海油收购Unicol受阻，但大规模海外并购开始．百度美国上市，阿里巴巴收购雅虎总国．连战访问大陆．京都议定书签订，人民币升值，青藏铁路开通．股权分置改革启动新一轮牛市．
07 made in China危机, 生态问题’凸现’，卖啥啥贵，卖啥啥便宜．原材料成本上升，中国产品出现大面积质量问题，玩具，宠物食品，牙膏，牛奶，水产品，以高能耗，低劳动力成本，环境污染为代价的产业需要提升．钉子户，物权法．碧桂园中国首富，股票新开户25倍，600只股票当日跌停．
08 和平崛起，奥运会，社会福利，贫富差距，王益，黄松有，官宦社会向真正商业社会转型．海峡两岸实现三通，雪灾，地震，志愿者，公益，推进改革．．．
Relevant concepts in distressed debt
April 19th, 2010
10Q (30 days after end of quarter) – 10K
Senior Debt, Subordinated Debt, Mezzanine capital, High yield debt, Preferred share
Poison Pill etc.
Chapter 11, 13, 7
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what’s interesting in the current greek debt crisis is how similar it is to a typical corporate distress scenario. economic distress -> management reshuffle -> previous accounting loophole exposed in order to blame the previous management -> downgrade -> liquidity dry up -> problem with rolling over a large debt maturity -> creditor worried-> draconian distress financing plan proposed and debated -> compromise reached.
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the only thing necessary for the evil to triumph is for the good to do nothing about it.
Natural Monopoly
April 10th, 2010
Coca Cola, Barbie, Lego.
1) product -> brand -> part of the culture.
2) it appeal to a small niche market (kids, young people, people seeking identity?)
3) the name of product became the name of this particular category of product, a word entered into dictionary.
4) stealth is the key to success. it is a new concept but must be a simple, low key concept, something easy to dismiss as a serious business subjects to power struggle, only this type of product is able to quietly gain a foothold as element of culture before it enter into business school’s case study. the product is so well entrenched before any serious competitor enters the game and finds it is hard to compete with, because the selling point is no longer functionality, quality or brand recognition but the product per se.
5) scalability
6) legal concern. it can only be a natural monopoly not a coercive monopoly. people still have a choice but the choice
how can you build something like that?
Natural Monopoly and Its Regulation Richard Posner
here is the more orthodox version of Natural Monopoly, e.g. 1) high fix cost infrastructure: utility, high way etc. 2) high economy of scale industry(idea size v.s. market size), first move overwhelm new comer before reach bureaucratic stage 3) few competing standards, due to positive feedback, one standard eventually dominates
another interesting episode of municipalization and monopolistic competition between water companies in 1890s.
another example: Common Carriage Competition, power market deregulation e.g. California Electricity Crisis(TBR)
Anti-Competition Tactics
April 8th, 2010
The court used the efficiency argument, i.e. forbid unlawful maintenance of advantage, but encourage competition on the merit. the doctrine has been relax recently in exclusive contract (burden of proof is on showing alternative to achieve similar lawful objective for plaintiff). The court is trying to draw a line between antitrust and anti-meritocracy. However, system robustness of financial sector cannot be addressed along this line of reasoning, i.e. a bank gain dominant position through meritocracy, yet the result, although increased the efficiency, reduced the robustness of the system. this type of short-term v.s. long-term trade off is not addressed here.
explicit collusion e.g. chip dump, 1) money laundry possibility 2) unfair game combined odds v.s. single hand.
implicit collusion, stag hunt. 1) increase complexity of price (hidden tax, fee, negotiable pricing) 2) risk based pricing (credit rating etc. ) which make price comparison more difficult. 3) equity analyst conference (this is rather ambiguous).
implicit collusion can lead to cheating and price war, so how to determine the Nash equilibrium? anti-collusion regulation should focus on regulating the payoff, but how? my feeling is when opportunity is abound, player are more likely to collude, but when the pie shrinks to a threshold level, cheating become advantageous(prison dilemma), and implicit collusion break down to become Bertrand/Cournot competition. This idea need to be formalized.
- Cartel (OPEC, Fed, Coal, German economy during interwar etc. mean life time 8 years, extra profit 25%)
- Asia Racing Federation( HK Jokey Club contribute 12% of government Tax revenue, which is 13.8% of GDP(300b))
- Seven sister(standard oil (esso(SO NJ) + mobile(SO NY)) +Chevron(SO Cal))+ Royal Dutch Shell+BP(APOC->AIOC->BPAMACO->BP/SO indiana)+Amarco+Gulf oil(BP+Kuwait JV->Chevron) 50~70 -> OPEC
- New seven: ARMCO+GAZPROM+CNPC+NIOC+PDVSA(venezuela)+Petrobras+Petronas
- Zaibatsu
- Bidding Rig (Sam Zell used this in EOP deal): [1]sub-contract bidding,[2]bidding suppressoin [3] complimentary bidding [4] bidding rotation.
- Tying generate ‘lock-in’ in consumer behavior (MS’ defense is probably IE & file explorer is different use of same piece of software, while file explorer is part of its main product). related to freebie marketing (legal, e.g. Rockfeller’s give away 8 million kerosene lamps in China; Comcast give away DVR; Prince give away CD The Mail on Sunday(this is a brilliant case!); printer; game console; bundle with addictive materials; sample, affiliate marketing):: lose leader(supermarket sell sugar milk at lower price to attract customer, auto dealer/RE agent bait and switch strategy)
- Contract Tying: section 106 of Bank Holding Company Act, measure against tying loan practice (loan bundle with an issuance deal?)
- Product Churning cinema selling drink(small cup at $5, big cup at $6), wine dealer sell wine, RE agent sell house (overpriced second choice v.s. fairly priced but more expensive property).
- Vendor lock-in (product specification->industrial standard setting) car stereo vender use special design to affect dashboard design of car to achieve lock-in, membership card, gift card, rebate card in bookstore, vacuum cleaner and specially designed dust bag. Flash(95% online video). IBM: product specification in development line punch card->reader->tabulator->printer->mainframe->OS->application. MS: windows API, file format, outlook data format, etc. Apple: bundle iTune with ipod through .ACC (creative? sony? only device manufacturers)
- Essential facility: AP v.s. United States; Lorain Journal v.s. United States; Otter Tail Power v.s. United States. a boundary case, but IP related product could be deemed as ‘essential facility’.
- Third Line Forcing: per se prohibited. supply on condition that purchaser acquire from a third party.
- pattern misuse.
Standard Oil NJ v.s. United States This is an interesting case because the court is specifically addressing my concern for point 1) I pointed out in the previous post, i.e. is size and power the reason a company is guilty of (an implied doctrine of Sherman 1890), therefore should subject to antitrust lawsuit? the court concluded that ‘a contract offended Sherman 1890(basically a reinterpretation of Sherman 1890 IMO) only if the contract restrained trade ‘unduly’…’ despite the ambiguity of what constitutes ‘unduly’ restrain, this opinion is more inline with ‘common good’ reasoning that I advocates.
Copper
April 8th, 2010
Imagine the inconceivable, as much as most people would not believe that copper would lost 70% of its peak value in mid 2008, it had been inconceivable for most for imagine copper would rise 300% at beginning of 2009. This is the nature of risk, a minority game.
Bust the Trust
April 8th, 2010
the issue of competition law can be viewed from two perspectives. 1) The protection for the unprivileged 2) the competitiveness and efficiency of market and national economy. related to 1) is consumer protection, e.g. regulation against predatory sales/lending practices. The legal argument is similar to the one that a certain drug need to be controlled and criminal should be incarcerated, the boundary of ambiguity is in determine what constitute predatory practice, and what is normal fair dealing. Clear line could be drew on extreme cases,e.g ban heroine, imprison murderer etc. However, the tricky point is competition by definition is an activity with certain predatory nature. so it seems to me that in essence antitrust law is about penalize the successful and dominant much less about the practice in competition. anti-competition degenerates itself to be anti-meritocracy For 2) I found it more appealing an argument which based one the principal that ‘common good’ should be looked after. The need for this type of regulation can be demonstrated in game theory setting. My preference of 2) over Schumpeter argument for lassei-faire is that the creative destruction process he described, which is essentially an uncoordinated activity, is not the most efficient way for the transition. History has told us that many wars, violence, destruction is unnecessary in retrospect to achieve the goal. Regulation is necessary to bring the social and human cost down in the inevitable creative-destruction precess.
Sherman Act 1890(make it illegal),
Clayton Act 1914(kill it at inception, M&A, Board of Director),
Robinson-Patson Act 1934(FTC jurisdiction, anti-price discrimination),
Celler-Kefauver 1950(cross shareholding to reduce competition, Japanese failed to address this issue)
Hart-Scott-Rodino 1974(very detailed code concerning pre M&A announcement)
shift of legal doctrine in 70s e.g. prove conspiracy is plausible not merely conceivable (Bell Atlanta corp v.s. Tombly) antitrust backfire to labor movement as well, i.e. cartel of labor
Standard Oil v.s United States
[Theodore Roosevelt 45: William Howard Taft 74]
European Union competition law
Anti-Competition Practice:
Case Study: Take EOP Private -continue
April 5th, 2010
Judging from two analyst reports, one from prudential equity research and one from Stifel Nicolaus. according to Predential’s logic, FFO (fund from operation) estimated to be 2.2+/- which is not to far away amongst analysts, times an REITs wide multiple which is in the range of 8.5~15 with EOP at high range of 14(predential estimiated around 12). The share price of EOP should be, accordingly, 25 dollars. Stifel Nicolaus took a different approach, given the recent Bacon Fund II deal, with estimated EV of 500 dollars per Sqrft, with current EOP price, the implied EV is only 300 dollars per sqrft. Going forward, if the REITs market is to be driven by Privatization deals instead of Real Estate fundamentals, EOP had at 50% premium in any situation when PE get interested. Market and valuation would anchoring itself according to the previous benchmark deals rather to the fundamental discounted cash flow analytics. And this is exactly what happened, the final deal price is 50% higher than the price at time when analyst publish those reports. Tishman/KKR + CalPERS rumor has been circulating way before Norando/BS submit any serious bid. Question remained open that how could the high bids from PE being justified, but if one trace the flow of asset all the way down to the final end, i.e. pension, endowment etc. and dig deep enough into their thinking process & analysis framework, you would see all those compelling arguments about diversification/alternative investment, with complexed, but essentially a dress-up mean-variance asset allocation engine(with historical performance + adjustment as input), the conclusion is not so difficult to draw. – the logic above has its flaw, EV would depend on quality of portfolio, a comparison between EOP property and Bacon II is needed to draw a sound conclusion.
implied EP trading around replacement cost, despite of high quality portfolio. replacement cost 360/sqrft (similar situation across REITs).
Here is what happened to EOP share price during the bidding war.
lesson can be learned from this:
1. valuation doesn’t really generate much prediction power, it obscure the game/dynamics/strategical aspect of the playout.
2. know who is involved, who could potentially get involved, what’s their relationships, what’s their motive (desire/fear) is the first step. this including buyer, seller, facilitator, financier etc. etc.
3. a historical perspective is important, recent deals in the same domain, recent deals in similar domain. recent trend in the market, overall economy. recent activity of bidder, seller, entrepreneur, capitalist, financier, investor, regulator etc. then it’s boarder historical perspectives (RJR case definitely defined BS’ strategic movement)
4. focus on immediate but broader implication of the deal, whose interest is infringed(RE fund in this case), and predict their movement along this line. Norford/CSX railway deal is an good example.
5. focus on details of the terms designed, e.g. break-up fee, competition clause (zell’s focus) etc. those micro-structure would dictate the direction of the deal at later stage.
6. focus on small deals (previous REITs privatization deals), small deals herald a beginning, big deal conclude an end.
7. rumor rumor rumor. certain type you should ignore it, certain type you should absolutely on top of it.
8. focus on catalyst and see the ramifications, in this case its the PE fund, the abundance of liquidity, the alternative investment movement. The real world is a small world.
9. analyze character and reputation is important in order to predict the behavior and the response.
Case study: take EOP private
April 5th, 2010
John Schreiber: (black stone RE founder, worked at JWB, backed by GS, MS etc. )
John Snow: CSX + U.S. Treasury+ Cerberus
Steven Roth: Vornado (backed by JP, UBS, Lehman, Barcap, RBS
Barry Sternlicht: Starwood Capital(worked for Bluhm at JWB)
Neil Bluhm: Walton Street(backed Sternlicht to setup Starwood)
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what each party wants:
BS: significant foothold in RE portfolio, fee, avoid RJR situation
EOP: godfather price, auction
Vornado: complimentary of RE portfolio from EOP’s coastal property.
Starwood/Walton Street: compeition with BS, feeding institutional appetite for Commercial RE
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bargain chips
BS: finance, access to capital market, all cash offer, timing
EOP: unique portfolio, biggest opportunity. even out exposure to national market, no dominant position, effectively an index. not much EOP can do wrt to development and growth, option for strategic maneuver exhausted(therefore EV trading around replacement value).
Vornado et al.: the only contender from EOP’s stand point.
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contention point:
BS: break up fee, but at initial stage BS have no choice but to accept 200m, due to the uniqueness of the portfolio.
EOP: 1) avoid BS tires up capital market(esp JPM et al.), 2) avoid BS serve as a conduit(given BS’ agenda not likely to sell all of them, but BS is able use part of it to neuralize say starwood/walton street or other alliance) 3) lower break up feed for initial break up fee. send clear signal that a second suitor is possible.
Vornado: unable to offer all cash(this is a fatal blow), financing(cerberus then syndicate loan), timing, safty. the second offer send mixed signal with no actual improvement and make me doubt about the true intention of vornado.
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Sam Zell:
1. send out intention early. godfather price, public responsibility. lack of suitor because market don’t believe BS is a long term player( until jonathan gray gobble up 200m sqft property they start to realize. Capital market deal triumphs RE deal).
2. planning and constant valuation of opportunities and offering. allow world to spread, allow market to go up(Commercial RE market condition in favor of EOP during the bidding process), set condition for other participant in the auction. reduce debt ahead of time, to create opportunity. play hard on the advantage(uniqueness) to bargain for most important factor(not price, but measures to encourage participation). monitoring. take time to know BS and the rest. make time/plan for condition to mature and market sentiment to develop.
3. timing in orchestrating the bidding, Varnado’s bid is accepted only towards the end of BS-EOP deadline, which created much tension in the bidding war.
4. not sure if its a deliberated move by EOP, but in Sep 06, EOP tightened the national control by consolidating the management to Chicago. also the share buy back in 05~06 1.5b, issue of new debt 1b+.
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Schwarzman
perspective on RE: largely private owned by entrepreneurs. no committees, no lawyers special lawyers to protect interest in corp world, which make dealing making almost impossible. more opportunities, more imperfections, more possibilities to combine which is PE’s specialty(arbitrage: capital + combination). market condition favorable(vacancy rate, building speed etc.) the lastest frontier for institutional capital to play with.
EOP:
1. cap rates dropping rapidly(office building), vacancy rate 50% -> 11% rents going to spike.
2. sam visit BS in 1985! the very first day of BS. (no secretary, no telephone). delivery person with leather. sister worked with schwarzman in lehman, sister suggest sam to see schwarzman.
3. BS came in after BS learned EOP had a unsatisfactory flirtation with Varnado, BS did the deal with EOP in ten days (valuation, financing, raising equity), this is a significant advantage. BS has done another two REIT deal with brookfield 4b +10b early that year. mechanics is mastered, skills learned, channel established, broker relationship in place. 24b asset sold out of previous REITs privatization with decent spread. all is setup for EOP 39b deal.
4. BS in 2 month moved close to 50b RE, the spread for taking REITs private should be around 25% (60-47)/47. how to find that kind of spread(valuation, capital structure?, public/private, management, sum/divide)? and how to monetize and capture that kind of spread(access to finance, distribution)?
5. Steven Roth bid came in January, which is able to create maximum tension between the competing bidder given the short time frame to response.
6. BS insists on matching right, which is an important tactics(how?).
7. in response to vonardo’s first bid(52), BS chose to ignore its matching right but proposed 54(with condition to pump up breakup fee 720m). vonardo forced to go 56. (50% stock means vonardo’s stock would go much lower if the bid get through, hence trade lower). the preference of sam is clear, perhaps clear to vonardo as well, the only party get hurt in the bidding war is BS, hence BS insist to increase breakup fee every time they increase the price, or else we are out. the breakup fee structure worked for BS and EOP but not for vonardo.
8. why no other people jump in during nov to feb? RE industry is used to buy asset cheap, EOP deal fowards 50 is certainly not cheap, therefore on Vonardo et. al. jumped out but nobody else. it’s a market where institution money jump into RE, but distress/grave dancer type.
9. towards the end of the negotiation, BS insisted on the valuation and demand that unless BS is allowed for channel out part of the acquired portfolio, BS is not able to pay up. initially BS depends on Sam, as price build up, now BS has more negotiation power as sam’s 50+ deal depend on BS doesn’t pull out, and the key is Vonardo is only able to pay upto 40% cash. what schwarzman termed as ‘riskless increases of price‘ which is in the interest of both EOP and BS.
Nature of technology -Arthur Brian
April 4th, 2010
1. Structure of Technology
- Modularity: engine, german general stuff, cerebellum.
- Recursive: aircraft->carrier->theater of battle.
2.Phenomena
- Technology is what capture a phenomena(physical/behavioral), put it to use and serve a purpose. e.g. burning + control->engine/power plant. wobble+doppler effect+filtering->identification->discover more phenomena.
- Subsystem is need to refine the main system to render a phenomenon usable.
- Combination of different phenomena drive technology forward.
- Science and technology share similar structure, one exists in theory, the other exists in physical world. one discover, the other exploit.
3. Domain
- new domain define future wealth and political power. 1. re-domain, but still serve the old purpose, 2. re-domain and generate new needs. e.g. mechanical, vacuum tube, transistor. stream->piston->jet
- good design contains some unexpected combination that shocks with appropriateness. rightness of choice given constrain to full-fill a purpose.
- re-domain redefine economics, canal -> railroad->express way->aviation.
4. Engineering
- a engineering design is a set of compromise, especially for one the edge project.
- the solution of compromise becomes the new building blocks: e.g.tort law, trade union, monetary system
5. Origin
- solution for a problem: economic opportunity, market; change of circumstances, social challenge; military
- subconscious search, conceptual, wide, obsessive. key revelation came in a rash and in a simple, appropriate and elegant form. embodiment of concept is a long process
- invention proceeds from a new phenomenon. refinement is as crucial as conceptualization itself.
6. Structure deepening
- initial version of invention is crude.
- complexity increase as technology becomes mature, supporting system to enhance performance and control. e.g. turbojet prototype of 1936 had a few hundred parts, modern version had 22,000 parts. so is tax code, custom, legal system, political system
- lock-in effect, in system design, supporting system, infrastructure, economics, and cognitive level
- the elaborated system is pushed to its limit, and eventually manifest the tension as cognitive dissonance and emotional mismatch, lack of security of human adapted to the technology.
- when fundamental limitation has been reached and realized, a burst of simplicity cut through stretched elaboration, the process repeat itself.
- scientific theory process in the same fashion, with accumulation of anomalies, eventually leads to paradigm shift.
7. Revolution and redomain
- early innovation is used sparsely in the system, e.g. horse carriage railway, steam engine backup
- scientific calculation->mainframe(big corp commercial)->PC->network
- journalist begin to promote it-> capitalist get interested->attract lunatics maniacs and they should prevail!-> crush(financially)->new domain survives, but become stable one of sobriety and hard work-> embedded into the economy became the real engine of the economy as predicted(embedded, mandate, ordinary, unnoticed, take for granted, IBMish)
- concentration of technology development(textile&stream&engine in Britain, chemistry industry in German, computer&bio in U.S.)
- real technology, on the edge development depends on ‘deep craft‘, anything cannot be transmitted except through person-to-person interaction, which is what needed to push the development to the edge. (Cavendish Lab, Hartford, Stanford(wireless telegraphy->electronics->bio->nano), Akron(Tire->polymer related), 上海轻工金融，兰州军工，天津工业. Deep social network, generation after generation, not liquid at all. less so nowadays but still-‘DEEP CRAFT’
- creativity is a misnomer for outsiders. craft, combination, mutual stimulation is the essence of innovation.
8. Mechanism of Evolution
- combination
- clustering of innovation along the time line, when key innovation came about.
9. Economy and Technology
- Economics as expression of technology
- cotton->labor->urbanization->victorian industrial economy
- Dickensian c