Posts Tagged ‘mercados



11
Jun
11

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

10
May
11

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.

01
May
11

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)

16
Mar
11

Tabla du Jour: CDS Japón

(Fuente: Bespoke Investment Group)

26
Feb
11

Gráfico du Jour: Compañias en bolsas

(Fuente: Felix Salmon)

23
Feb
11

Paper: Equity manda…

The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields

Abstract:
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anticorrelated; (ii) the change in central bank rates, as a proxy of the monetary policy of the central bank, should be a predictor of the future stock market direction. Using both monthly and weekly data, we found very similar lead-lag dependence between the S&P500 stock market index and the yields of bonds inside two groups: bond yields of short-term maturities (Federal funds rate (FFR), 3M, 6M, 1Y, 2Y, and 3Y) and bond yields of long-term maturities (5Y, 7Y, 10Y, and 20Y). In all cases, we observe the opposite of (i) and (ii). First, the stock market and yields move in the same direction. Second, the stock market leads the yields, including and especially the FFR. Moreover, we find that the short-term yields in the first group lead the long-term yields in the second group before the financial crisis that started mid-2007 and the inverse relationship holds afterwards. These results suggest that the Federal Reserve is increasingly mindful of the stock market behavior, seen at key to the recovery and health of the economy. Long-term investors seem also to have been more reactive and mindful of the signals provided by the financial stock markets than the Federal Reserve itself after the start of the financial crisis. The lead of the S&P500 stock market index over the bond yields of all maturities is confirmed by the traditional lagged cross-correlation analysis.

Link al Paper

21
Feb
11

Paper: Flash Crash, el impacto del HFT

The Flash Crash: The Impact of High Frequency Trading on an Electronic Market

Abstract:
The Flash Crash, a brief period of extreme market volatility on May 6, 2010 raised questions about the current structure of the U.S. financial markets. We use audit-trail data to describe the structure of the E-mini S&P 500 stock index futures market on May 6. We ask three questions. How did High Frequency Traders (HFTs) trade on May 6? What may have triggered the Flash Crash? What role did HFTs play in the Flash Crash? We conclude that HFTs did not trigger the Flash Crash, but their responses to the unusually large selling pressure on that day exacerbated market volatility.

Link al Paper

28
Dec
10

Finanzas 101: Valuación

Musings on Markets tiene un post descriptivo sobre valuación y mercados iliquidos.

(…)

To select assets within each asset class, you can either value each one on its fundamentals (intrinsic valuation), compare its pricing to how similar assets are priced (relative valuation) or price it as an option (contingent claim valuation). In each case, illiquidity can affect value.

(…)

Paper sobre el tema.

30
Nov
10

Acciones y Tendencias

Una nota de media mañana. Dinamic Hedge tiene un enumerativo post sobre -ciertas- tendencias que se observan en el mercado de acciones de USA.

(…)

Mutual Fund Monday: Mondays are considered a favored day for institutional buying.  I’m not sure if there is any hard evidence for this, but it is certainly an observable phenomenon in the last couple years.  I rarely fade an into Monday rallies.

4-Year Presidential Cycle: This is a long-term seasonality play that could be categorized under market cycles.  I pay very close attention to this one.  The major premise being that the second year of a presidential cycle can produce a meaningful bottom in the stock market.  The fourth quarter of the second year of a presidency typically produces large gains and the third year produces positive gains in all quarters.  This is in effect right now.

2-Year Tech Product Cycle: This one can also be categorized as more of a market cycle rather than seasonality.  Technology drives productivity.  Semiconductors roughly double their computational capacity every 18 months.   This continuous advancement of computational capacity drives new innovative product cycles. This relentless product cycle translates into roughly two-year observable market phenomenon where technology stocks create relative highs every two years.  Take a look at a chart of the Philadelphia Semiconductor Index SOX, to see what I mean.

(…)

Si desea profundizarse en el tema: Efectos Calendarios

26
Nov
10

Paper: Proclama del bonista

ICMA Sovereign Bond Consultation Paper

Introduction

For members of ICMA

Objectives of the consultation

1 ICMA’s primary objective is to support the creation of orderly and well-functioning international capital markets. In line with ICMA’s mission, this involves setting standards of best market practice, including on practical and technical features of market documentation.

2 Transparency has always been one of the fundamental pillars of the international capital markets. The purpose of ICMA’s Sovereign Bond Consultation Paper is to promote improvements in the standards of transparency relating to the issuance of sovereign bonds sold to investors internationally, and to propose standards of best market practice relating to their contractual terms and conditions. If sovereign issuers deviate from the standards of best market practice, it is proposed that this should be disclosed.

(…)

Link al Paper

(Via FT Alphaville)




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