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Ok since as it is pointed out 9 out of 10 derivative player banks are U.S., so the counterparty risk is pretty much the U.S. sovereign credit, given that any major bank in question will get nationalized. Currently U.S. CDS are around 80bps level, but can the U.S. really default - there will just...

Interesting piece, but 1. i don't see a link to derivatives unravelling and hyperinflation eluded to at the beginning of the piece. i am more inclined to see value destruction and deflation. 2. the notional value of derivatives cited is not sufficient to draw the conclusions made. if a...

In the 1970s-80s there was a 10 year period from the oil price shock in 1973 to peak in 1982 and back down by mid-1980s. This time it's broken through $40 in 2005, peaked in 2008 and is already back down. So - the inflation is over?

<a href="http://tinypic.com" target="_blank"><img src="http://i37.tinypic.com/20urj0k.gif" border="0" alt="Image and video hosting by TinyPic"></a> **commodities index vs. gold <a href="http://tinypic.com" target="_blank"><img src="http://i33.tinypic.com/9kyq9t.gif" border="0" alt="Image...

folks, thx a lot for the feedback. seems like these do not offer any decent backtesting features. appreciate your help.

I use Bloomberg and Reuters as data sources. I haven't had a chance yet to look into these vendors' backtesting features. Would appreciate any comments or other advice, maybe anyone knows good backtesting software which integrates w/these. Thx.

i'd add the following to the asset clases listed above: bonds, cash and commodities. in addition to diversifying across asset classes, geographical diversification across some asset classes, such as real estate, interest rates and equities, is something to consider. i've read a paper recently on...

excellent journal, looking fwd to more. i've seen a number of academic papers showing abnormal returns related to index inclusions/exclusions. guessing there are institutional players in this strategy still, though competition might have affected returns. have you considered hedging for this...

I didn't say anything about short-term vs long-term. I presume it's common knowledge that value investing is long-term oriented. I don't have at my hand the statistics on correlation between the U.S. GDP and Japan GDP, but my guess is that there is some correlation. I am not a macro expert, but...

i like the 17 years of declining prices and the discount to nav part of the story. but i am missing the sound fundamentals part of the equation in your arguments. if the u.s. economy goes into recession, my guess is japan will follow. just because something has substantially declined in price...

LOO is a fill or kill type order which gets entered into the opening auction and gets executed at the opening print. A limit order before the opening gets you executed only after the opening print has been "printed".

i am not an expert by any means, but i have looked into the subject - there is a lot of info here if you search the threads, as well as on some other forums, concerning optimal db architecture for financial series data - i ended up having a separate table for each security - this made data...

You can get it through REDIPlus, Goldman's execution platform. I think you can also subscribe directly from NYSE. When I looked for this info a year or two ago I found a free news service which released this info daily. Unfortunately I can't remember the site, you can try googling. All the best.

"The fund is currently shorting junk bonds against Treasuries and the ABX index" anybody know what minimal account size and what broker will let one do these trades, i presume this is all done OTC? thx.

how does your API take into consideration when an exchange goes down? thx.

if i recall correctly from 40yotrader's posts, he used a modified, reverse-martingale (or anti-martingale? ; i am not sure if the terminology is equivalent) i.e. increasing position size after winning and decreasing after losing.

thanks, appreciate the feedback - isn't it surprising that they are pushing software which will have no support in 2 years? i am not too concerned about the MCE support, since i have gotten into the habit of upgrading to a new laptop every 1-1.5 years; it's "fun" to monitor how for about the...

incidentally, i am about to order a new Dell Inspiron laptop; it seems the model i want comes only with MCE or Pro, XP Home is not an option; i don't want to pay extra for Pro - i currently run XP Home - is anyone aware of any potential incompatibilities between MCE and off-the-shelf software...

i tested some odd lot orders on both NYSE and NASDAQ stocks a few weeks ago and they were all executed nearly instantly at TIMBR - all were under 100 shares.

good point, i think this process is called nonparametric bootstrapping, and was discussed in a recent thread here on ET. i looked up bootstrapping after somebody on ET posted an interview with Eckhardt (sp?) who mentioned it and said he prefers to work with raw data rather than summary...