Posts Tagged ‘mercados


Paper: Diversificación, rebalanceo como soluciones…

Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle

Diversification return is an incremental return earned by a rebalanced portfolio of assets. The diversification return of a rebalanced portfolio is often incorrectly ascribed to a reduction in variance. We argue that the underlying source of the diversification return is the rebalancing, which forces the investor to sell assets that have appreciated in relative value and buy assets that have declined in relative value, as measured by their weights in the portfolio. In contrast, the incremental return of a buy-and-hold portfolio is driven by the fact that the assets that perform the best become a greater fraction of the portfolio. We use these results to resolve two puzzles associated with the Gorton and Rouwenhorst index of commodity futures, and thereby obtain a clear understanding of the source of the return of that index. Diversification return can be a significant source of return for any rebalanced portfolio of volatile assets.

Link al Paper


Gráfico du Jour: Perspectiva histórica…

(Fuente: EconomPic Data)


Gráfico du Jour: US, a ver como es la torta…

(Fuente: Global Macro Monitor)


Paper: Formación de Burbujas

Market efficiency, anticipation and the formation of bubbles-crashes

A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of its own private information, the public information and its own analysis. It then adjusts such opinion through the market as it observes sequentially the behavior of a group of random selection of other agents. Its choice is then determined by a local majority rule including itself. Whenever the selected group is at a tie, i.e., it is undecided on what to do, the choice is determined by the local group belief with respect to the anticipated trend at that time. These local adjustments create a dynamic that leads the market price formation. In case of balanced anticipations the market is found to be efficient in being successful to make the “right price” to emerge from the sequential aggregation of all the local individual informations which all together contain the fundamental value. However, when a leading optimistic belief prevails, the same efficient market mechanisms are found to produce a bullish dynamic even though most agents have bearish private informations. The market yields then a wider and wider discrepancy between the fundamental value and the market value, which in turn creates a speculative bubble. Nevertheless, there exists a limit in the growing of the bubble where private opinions take over again and at once invert the trend, originating a sudden bearish trend. Moreover, in the case of a drastic shift in the collective expectations, a huge drop in price levels may also occur extremely fast and puts the market out of control, it is a market crash.

Link al Paper


Como hacer dinero en microsegundos (1µs)…

…Ese es nombre de un articulo escrito por Donald MacKenzie. En el cual explora la transición hacia el trading electronico, algoritmico y de alta frecuencia. Explica muy detalladamente el Flash Crash. Y referencia varios algoritmos utilizados para hacer hacer plata (VWAP, spoofing). El unico pecado del texto: su longitud.


The trigger was indeed an algorithm, but not one of the sophisticated ultra-fast high-frequency trading programs. It was a simple ‘volume participation’ algorithm, and while the official investigation does not name the firm that deployed it, market participants seem convinced that it was the Kansas City investment managers Waddell & Reed. The firm’s goal was to protect the value of a large position in the stock market against further declines, and it did this by programming the algorithm to sell 75,000 index future contracts. (These contracts track the S&P 500 stock-market index, and each contract was equivalent to shares worth a total of around $55,000. The seller of index futures makes money if the underlying index falls; the buyer gains if it rises.) The volume participation algorithm calculated the number of index futures contracts that had been traded over the previous minute, sold 9 per cent of that volume, and kept going until the full 75,000 had been sold. The total sell order, worth around $4.1 billion, was unusually large, though not unprecedented: the SEC/CFTC investigators found two efforts in the previous year to sell the same or larger quantities of futures in a single day. But the pace of the sales on 6 May was very fast.


Por ultimo, en el escrito se habla de un paper de Hasbrouck y Saar, creo que es este.


Datos, Documentación y Conocimiento

Parece ser lo que proponen -en distinta prosa- Shiller y de Soto para prevenir futuras debacles económicas. O por lo menos, suavizarlas.

Posturas como estas alimentan el debate sobre la economía de la información.

Vale rescatar frases como tales:

“TODAY, our prosperity depends on finance, and on its associated disciplines of accounting and macroeconomics.” (Shiller)

“If we can agree that the recession wasn’t about bubbles but about the organization of knowledge, we can move on to restoring the systems that allowed the global economy to expand more in the last 60 years than in the previous 2,000” (de Soto)


Tabla du Jour: CDS Japón

(Fuente: Bespoke Investment Group)

Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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