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Here's your answer. Having a job = smart => Doing things that make you keep your job = smart thus if using CAPM = keep your job = smart using CAPM = smart The idiots are those who buy funds who use CAPM.

I'm not long anymore since quite some time (if I had been I'd be broke now) but this situation seems strange to me: 1) Stocks down 2) Yields 3) Gold up and making significant highs 4) Oil coming down but still pretty high imo Basically the story is "We won't have inflation and...

This is called summer chop. Earnings have been pretty good. Markets are all over the place and pretty disconnected from the readily apparant reality, especially the bond markets (and by "disconnected" I mean that investors are accepting very probable negative real returns for some currency...

Why? If something else goes wrong, they'll just change the rules again. I wouldn't be terribly surprised if there will be some relaxation of the ECB's wiggle room down the road if those pesky "speculators" don't get out of the way.

What? I meant that if you predict the ESTX50 correctly then the chances are very high that you also predicted the CAC40 correctly and high that you predicted the DAX while on both of these futures contracts the execution costs are lower if you hit the bid or take the ask.

Goedemiddag dan. The ESTX50 correlates very well with the CAC40 and good with the DAX. Analysis on the ESTX50 should apply to all core European equity indices afaik. It seems like a costly affair to me to daytrade the ESTX50.

Well, first and foremost earnings have broadly been pretty good and above exp and European financials rallied quite hard on the news that there is something that remotely resembles a solution.

From a liquidity perspective I consider the ESTX50 quite attractive. However would you mind explaining to me why you choose to daytrade an instrument that has such a huge tick size? Your size doesn't make liquidity a concern. Compared to the DAX it's like 10 times wider and about 4 times...

Hahahaha, what a world.

Yes, but that knowledge in itself isn't a trade able system. However if you are very short-term trading I think it helps your odds if you trade "towards" size in the book rather than away from it like the OP's strategy wants to do. Still even "trading towards size" isn't really a good system...

I haven't found bid/ask imbalances to be universally predictive of future price movements.

Try it on a simulator and see how it works out.

If their behaviour is this predictable just exploit it and take their lunch.

:/ It's somewhat rare but I don't see why it should be impossible or noteworthy they both went up. Maybe someone should explain that first, other than "because that's the most common case".

I'm so excited!

If you know of any retail level broker which offers Greek debt I'd be happy to know about that too. Edit: I hadn't read the thread after this post. So like I said in less words, there isn't an ETF or a retail-offered periphery-specific product on the market but if there is one I'd be...

You can't.

I should have been more specific. I meant intraday over the past 2 or 3 trading days. Of course over the long run there is going to be no correlation, but the market seems hyperfocused on this recently. Was curious if this was quantitatively noticeable and could be explained in this way.

Can anyone with a bloomie tell me what the (inverse) correlation between the equity markets and the IT-DE bond spread is now? A graph would be nice if it's not too much trouble :p

Yes. Bless those rosy-coloured glasses US hedge funds after all! :D This looks a bit opportunistic while the issues still largely stand. The main issue being that instead of saying "OK we'll fix this" the party line is "Damn those dasterdly hedgefunds!". It's not really the sort of stuff...