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According to Wikipedia: "Broadly speaking, StatArb is actually any strategy that is bottom-up, beta-neutral in approach and uses statistical/econometric techniques in order to provide signals for execution. Signals are often generated through a contrarian mean-reversion principle, but can...

It is a very very interesting paper but it only tests mean reversion: "We presented a systematic approach to statistical arbitrage and for constructing market-neutral portfolio strategies based on mean-reversion." There are many many approaches to stat-arb that are based on a lot more...

Supposedly the Fed purchases Thursday were light. Also there is new supply (auctions) coming next week after a two-week gap. And news reports are reporting sovereign credit downgrades that may affect the U.S. eventually.

It looks as if the TBond options are traded out only about one year.

A new virtual machine design (as well as language design) is needed for best multi-core performance. See http://geek.susanpotter.net/2009/04/scala-vs-erlang-debate-part-2-geek-off.html "The Erlang VM was built from the bottom up with lightweight processes (a.k.a. actors), therefore it...

With no new supply coming for the next 3 weeks, and in fact purchases next week, it should be up from here, no?

See http://java.dzone.com/news/javaone-brian-goetz-concurrenc "The tools we have in Java 5 are good enough to find coarse-grained parallelism (usually at the unit of a user request) and spread it over a small number of cores (2-8). However, these tools do not scale up to many-core boxes...

FYI as one point of view: "Conservative Fed is good reason to be a bull on bonds" Hugh Hendry http://www.ft.com/cms/s/0/c88c798a-398d-11de-b82d-00144feabdc0.html

Very good thanks.....

I am long ZB. I know that GBL is the Bund I want to get long that too after their May Day holiday today. JGB is the Japanese Bond what is GL (or JGB.GL)? Thanks

The issue I see with Clojure is that I have heard it said that the JVM is not well-suited to parallelism, so that you would not see the performance gains in a many-core environment that you can get with other functional environments.

The people who need the higher processing power are those who are doing things like real-time stat-arb against a live data stream of quotes of all equities and options. Granted if someone is just doing static analysis, not much power is needed. They might still gain from the lucidity of...

I am switching my systems modeling from other languages to OCaml or F# or Haskell. Besides the functional clarity, a very important reason is that these languages are well suited to execution on multiple cores/processors. They scale. C++/# will not, except by way of unsatisfactory...

Could you say what fraction might be using ACD type systems? If not using ACD, what type of approaches are they using? Thanks.

Is it true that a large percentage of floor traders in Crude (or the currencies) are using ACD type systems? If so, how can this work with so many traders using the same basic approach? Would it not tend to excessive false breakouts etc.? Thanks, Don

I guess you are right that it means that the market expects higher expected interest rates. However, I do not agree with those expectations. I expect the RMB to fall or at least stay constant. In fact, Chinese authorities have said it will not rise further.

The Chinese currency a week or so ago suddenly switched from being inverted (deferred months lower) to "normal" (deferred months higher in price). Can anyone explain this? Is it just market expectations? Whatever happened to "interest rate parity." During all of this time the spot...

Very very helpful - thanks a lot! I think I may like the Helios and PCM funds (subject to evaluation) because their price history best correlates with Markit ABX AAA graph (straight down) shown at http://blog.atimes.net/?p=788 suggesting that they are holding this type of security...

Good point - I amended my post to say "AAA or close to AAA". These particular ones were recommended in a prominent Fixed-Income newsletter.

How can I buy mortgage backed securities such as Popular ABS Mortgage Pass-through Trust 2005-A or GSAA Home Equity Trust 2007-A AF-3 A-3, or alternatively, a fund that holds AAA or close to AAA sub-prime mortgages securities such as these. I cannot find them listed at...