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He-he, I'll race ya to the nearest dealer...

Or they're smoking crack... I've been short 5y Bonos vs OATs for a while now, meself. Problem is that there's all sorts of fun and games in the mkt and Spain keeps getting squeezed. It's like they say: "no pain, no gain".

That may very well be the case for some exchanges, but, as I keep mentioning, people in the room, including yours truly, only do STIR and bond futures on a couple of exchanges (mostly STIR futures on LIFFE). LIFFE doesn't do icebergs.

This report is making some noise today... Starts off with a punchy line: "investors are smoking crack if they believe that Spanish banks are among the strongest in Europe", and goes on from there...

We were just talking about it in a STIR chatroom... One of the Masters (not I) pointed out that icebergs are not implemented by the exchange, but rather by whatever front end you're using. If that's the case, the answer should be a no-brainer...

I agree, johnny... CAPM is the first baby step and we're not even sure it's in the right direction, no more than that. But that's how science works... To me the two most important concepts that are extremely significant and not well-understood in any modern model, including CAPM, are...

With all due respect, RC, I disagree... I haven't seen a single concrete suggestion from NNT. You may very well be right, T-dawg, sophisticated maths might not be the answer. Maybe then answer is biology or neuroscience. Still it's worth looking if you ask me. Agreed, but, then again, our...

That's a pretty good summary of events here, Gub... Kudos.

Maybe Thunderdog is right, maybe he ain't... However, assuming that human behavior cannot ever be understood and/or predicted is not gonna get us anywhere, so I prefer to think that it's not the case. I might add that people at one point thought that radioactivity and stomach ulcers...

Based on my personal experience, I am reasonably certain that the answer is a) for Liffe and Eurex interest rate contracts (STIRs and bond futures). I am also somewhat certain that it's the case for CME and CBOT rates contracts as well, but not positive. I have no first-hand knowledge of what...

Well done, it's an impressive resume... As to Jump, yes, they're big. They hired one of my former colleagues (Eurodollars and cash bonds), who blew up in the fall of '07.

I have no problem with CAPM proponents or opponents, like yourself. People in behavioral finance (my personal favorite field) have been poking holes in CAPM and trying to come up with its alternatives for years. I have a problem with Taleb because, compared to the 'unsung heroes' I mentioned...

PM me if you like and I'll give you some names... You're not at Jump, perchance?

Yes, but whereas EVT at least attempts to be rigorous and systematic, NNT just wrings his hands, dramatically and epistemologically (a word he seems to be particularly fond of). I have personally not seen NNT offer anything productive. Most of what he says (incl the infamous 10 principles...

True, which is why I said I don't mind when Taleb goes on one of his rants about the people who have, intentionally or accidentally, misused the models. My problem is when he raves about the models themselves, without actually offering any useful alternatives.

Well, you have to ask yourself, has Taleb's screaming actually made ANY difference? Here's some examples of attempts at constructive analysis: 1. Behavioral finance research is all about problems with efficient mkts. Kahneman and Tversky's prospect theory, to name only the seminal...

What sort of basis you referring to? Bond basis, I assume, but could be LIBOR/OIS basis, 3s1s basis? I am also not entirely clear. Are you looking for people or are you looking for work? Also, when you talk about competition, do you mean outfits that would compete with you to attract...

Actually, now that I think about it, this should be doable, in a simplistic sorta way. You just assign custom weights to appropriate dates and use them for any interpolations you need to perform. The weights can be based on historical estimates or you can probably calibrate them to mkt prices...

Yes, but, as I keep saying, there are people in academia that do it a lot better than NNT. His only claim to fame, as far as I am concerned, is that he screams the loudest.

I don't know any widely used alternatives to CAPM, personally. I am sure you can google and possibly find some literature, but I can't give you names off the top of my head. Point is that CAPM is a model. It's based on some assumptions. Everyone apart from Taleb seems to realize that a...