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Jack2019
Jack2019
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Last month when FOMC meeting decision went out that fed would start to exit QE3, immediately we saw a deleveraging effect: SPY went down, GLD went down, and LQD (bond) went down, but US dollars went up.

AnMost of all, I would like to know what's everyone's view on what was driving these market movements after the announcement.

Also, an interesting idea is that the covariance structure at these kind of special moment would degenerate to $ee^{t}$ form, which means a perfect correlation.

I wonder if there is any reference on quantitative research on deleveraging's measurement, detection and prediction?

Another way to understand the event is by applying signal analysis, for example the impulse response view. I wonder if anyone has a comment on how the trend/reversal formation for event like this?

By the way, I got a vote down for my previous post because of "common knowledge to those who study finance". As someone who worked for a hedge fund prototyping a high dimensional trading strategy with sharpe ratio >1.8, I really don't know this knowledge would be common. Why The reason is obvious, because the market is of a high dimension monster, so there would never be one or two factors like in "classic" economy view that you see on TV or in textbooks, as every one who really practice with serious investment would know. So why not let us be a little bit more open so people from different background can participate, so that everyone can learn ?

Last month when FOMC meeting decision went out that fed would start to exit QE3, immediately we saw a deleveraging effect: SPY went down, GLD went down, and LQD (bond) went down, but US dollars went up.

An interesting idea is that the covariance structure at these kind of special moment would degenerate to $ee^{t}$ form, which means a perfect correlation.

I wonder if there is any reference on quantitative research on deleveraging's measurement, detection and prediction?

Another way to understand the event is by applying signal analysis, for example the impulse response view. I wonder if anyone has a comment on how the trend/reversal formation for event like this?

By the way, I got a vote down for my previous post because of "common knowledge to those who study finance". As someone who worked for a hedge fund prototyping a high dimensional trading strategy with sharpe ratio >1.8, I really don't know this knowledge would be common. Why not let us be a little bit more open so people from different background can participate, so that everyone can learn ?

Last month when FOMC meeting decision went out that fed would start to exit QE3, immediately we saw a deleveraging effect: SPY went down, GLD went down, and LQD (bond) went down, but US dollars went up.

Most of all, I would like to know what's everyone's view on what was driving these market movements after the announcement.

Also, an interesting idea is that the covariance structure at these kind of special moment would degenerate to $ee^{t}$ form, which means a perfect correlation.

I wonder if there is any reference on quantitative research on deleveraging's measurement, detection and prediction?

Another way to understand the event is by applying signal analysis, for example the impulse response view. I wonder if anyone has a comment on how the trend/reversal formation for event like this?

By the way, I got a vote down for my previous post because of "common knowledge to those who study finance". As someone who worked for a hedge fund prototyping a high dimensional trading strategy with sharpe ratio >1.8, I really don't know this knowledge would be common. The reason is obvious, because the market is of a high dimension monster, so there would never be one or two factors like in "classic" economy view that you see on TV or in textbooks, as every one who really practice with serious investment would know. So why not let us be a little bit more open so people from different background can participate, so that everyone can learn ?

Source Link
Jack2019
Jack2019
  • 121
  • 3

To understand FOMC events and its impact on the market

Last month when FOMC meeting decision went out that fed would start to exit QE3, immediately we saw a deleveraging effect: SPY went down, GLD went down, and LQD (bond) went down, but US dollars went up.

An interesting idea is that the covariance structure at these kind of special moment would degenerate to $ee^{t}$ form, which means a perfect correlation.

I wonder if there is any reference on quantitative research on deleveraging's measurement, detection and prediction?

Another way to understand the event is by applying signal analysis, for example the impulse response view. I wonder if anyone has a comment on how the trend/reversal formation for event like this?

By the way, I got a vote down for my previous post because of "common knowledge to those who study finance". As someone who worked for a hedge fund prototyping a high dimensional trading strategy with sharpe ratio >1.8, I really don't know this knowledge would be common. Why not let us be a little bit more open so people from different background can participate, so that everyone can learn ?