Archive for April, 2011

29
Apr
11

Gráfico du Jour: Impacto del USA QE2

(Fuente: Forex Blog)

28
Apr
11

Video: Hayek vs. Keynes (Round II)

24
Apr
11

Gráfico du Jour: VIX y su numerología…baja

(Fuente: Barrons*)

________________________

*: Esta fuente, tiene un buen debate sobre el VIX. Y Condor Options tambien tiene algo para decir al respecto.

22
Apr
11

Exploración Offshore y Valor de opción

The BP Gulf Coast Oil Spill, Option Value, and the Of shore Drilling Debate

In the wake of recent unrest in the Middle East, rising gasoline prices have politicians from both parties  scrambling to ramp up domestic oil production. Perhaps ironically, this scramble coincides with the one  year anniversary of the BP Gulf Coast Oil Spill, the single largest of shore oil spill in history.
This regulatory report examines the economics of increased domestic oil drilling, in light of large uncertainties associated with this activity. Many of the most important factors for making smart choices about oil drilling are uncertain: future oil prices cannot be perfectly forecasted; science has a limited understanding of the scope and consequence of environmental damages from oil exploration, production, and accidents; and the rates of technological innovation for both production improvements and cleanup  technologies are dii cult to predict.
The primary finding of this report is that, unless uncertainty is incorporated into the economic models used to determine whether oil drilling is appropriate, the United States will allow too much drilling, too soon, and with too much risk. h is reality should be rel ected in how the Department of the Interior structures the sale of leases to extract of shore oil—but presently, it is not.
A major l aw with the rhetoric currently dominating both sides of the political debate over domestic oil drilling is the focus on gasoline prices. In fact, expanding domestic drilling will have practically no ef ect on, and so should not be motivated by, gasoline prices. Economic analysis of oil markets shows that expanding domestic oil production is “not likely [to] have a signii cant impact on prices that consumers pay at the gasoline pump now or in the future.” Because the United States is engaged in global oil markets, even relatively large domestic changes in production will be swallowed by the larger global supply and demand,  leading to only negligible changes in price.
If increasing domestic oil production is economically justifier, it will not be as an ef ective or ei cient  response to rising gasoline prices. Rather, the choice would only be justified because the benei ts of  drilling (namely, revenue from the operation) outweigh the costs (like the production costs and the risks  of environmental damage from accidents). Consequently, to make that choice, the full extent of both the benefits and costs of drilling must be examined.

Link al Paper

22
Apr
11

Combo: Minima Varianza + R

Quantivity esta generando muy buen contenido a lo loco! Nada mejor que redireccionarlo. La tematica: portfolios de minima varianza y rotación sectorial. Hasta aca nada superlativo, el premio esta en los codigos de R!

Minimum Variance Portfolios

Minimum Variance Sector Rotation

22
Apr
11

Gráfico du Jour: Exposición a Grecia y compañia

(Fuente: Forex Blog)

Recuerdos

Humor

15
Apr
11

Fun & Finance: capítulo 7, Volatilidad

En esta septima entrega -y gracias a los escenarios virtuales- Gaston visita a Leo. Quien le explica sobre Volatilidad, como se mide y que estrategias hay para tradearla.

Para un mayor disfrute de este video, le recomendamos que lo vea desde Vimeo directamente en Alta Definición.

13
Apr
11

Gráfico du Jour: Estado de los Bancos Europeos

(Fuente: FMI, FT Alphaville)

13
Apr
11

Refutando la Teoría de Portfolio

Siempre es un lujo redireccionar los post de Quantivity, en esta ocación hay un deleite de papers para el refute de la Teoría de Portfolio.

Despite intellectual tradition, the mountain of contrary evidence is simply too overwhelming:

  • Decades of counterexamples to CAPM
  • Increasing cross-asset correlations worldwide, dramatically reducing diversification efficacy
  • Two market bubbles, amply validating behavioral finance to those working in tech and finance
  • Quantification across many marketplaces, rapidly accelerating since 2007
  • Rise of “volatility” as a proposed asset class, going back to Derman in 2003

 

07
Apr
11

Gráfico du Jour: CDS Latam, Argentina y Venezuela te rompen la escala

(Fuente: CMA)




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