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My sincere apologies IntradayBill. Please let me know where I did wrong things to you in the past... It's definitely not my intent.

Very famous papers - thanks so much! I like these papers! I got 1-6, do you think 7-12 exist?

Points well taken Bone! Thank you for pointing that out to me! Will do...

Nice book with great Amazon review. Ordered one and will read when it arrives... Thanks a lot!

Do you guys think these trades make sense at all? How can one reliably forecast inflation into 30yr period?

For example, Gartmans always has a bunch of numbers, e.g. the current progress of plantation in percentage 35% vs. last year 65% for corn, and he also compared it to 5-yr average... And also the estimated acreage 56.57 million vs. 57.00 million, etc. Are these numbers helpful to trading...

Points well taken Bone! As you can see - I am asking some "deep" questions - I know you are against "generalization" for this matter... as you said, "generalization" is dangerous. But I cannot seem to clear my mind: During 2008-2009, the vols were huge. Yet the best performing funds...

Wow, you are relating "trend-following" and "mean-reverting" to market profiling? Welcome! We always welcome new ideas and new perspectives! I've heard about the name, but never used it. I have downloaded your plot - how shall I make sense of it? Thanks a lot!

What do you mean? I hope I am also contributing by asking questions. Lets take this particular thread as an example - as you can see, I have read lots of literature on trend-following and mean-reverting...and I have read conflicting statements. And I don't agree with people using vol to...

Why? Option Expiration Date?

Thank you for your hints! :=)

I agree with your observations. But I've also read literature saying that a large vol is good for trend-following ... strange.

Mike, I was talking about the autocorrelation of the price series not the vol series. And you went even more extreme - you are saying that any promising system has source of returns driving by VOL. On the other hand, I agree with you, if vol is a purified tradable time series, we can...

http://www.bloomberg.com/news/2011-06-29/morgan-stanley-said-to-suffer-trading-loss-after-wager-on-u-s-inflation.html "Traders at the bank bet that inflation expectations for the next five years would rise in Treasury markets, while forecasts for the next 30 years would fall, according to two...

I just don't understand why people universally think of using volatility here... as I pointed in my other post, a straight-line with constant slope has a vol = 0 ... but it's perfect for trend-following... I am afraid that vol is only a secondary factor there, there is a more significant...

There are a few things that I really don't understand: A typical low-vol price series is a straight-line. It has 0 vol. It should be the perfect setting for trend-following system but worst for mean-reverting. Maybe we should define "trend-following" and "mean-reverting" system first...

Hi all, Lets say you have a basket of strategies: A, B, C, D A is really high frequency, based on real-time tick data; B is mid frequency, based on 30min bars; C is low frequency, and daily, every day, at End of Day, you might or might not have some trades; D is ultra low frequency...

The positions data are always at least 1 week delayed... Anybody really trades on these delayed positions data?

Hi all, I am a newbie in the fixed income market and I am trying to develop my views about things such as US treasuries, etc. Could you please recommend some good readings/blogs/reports/newsletters that can help me develop views and an edge? Thanks

We are approaching end of 2nd Quarter... the stocks typically will be up? What about Option Expiration date? thanks