4

There are tons of quant related blogs out there, some of which contain relatively sophisticated content, others less so. Have a look at the following, which aggregates blogs: MoneyScience Otherwise I could point you to bank/sell-side research. Have a look at the freely available Reuters Messenger (RM), they maintain channels where you can be permissioned ...


4

First of all Fed traders do not necessarily buy from primary dealers. In fact Fed buys most treasuries in the secondary market and that can include sell-side investment banks or even large fund houses that may not have primary dealer status. Keeping this in mind, essentially anyone who has large chunks of treasuries to sell which the Fed might be fond of ...


4

A good starting point Macroeconomics by Blanchard http://www.amazon.co.uk/Macroeconomics-MyEconLab-Pearson-Access-Package/dp/0133103064/ref=dp_ob_title_bk


3

Clearly the money markets are likely to freeze up in a crisis situation. They did exactly that in 2008. Specifically: A) people don't want to lend money unsecured to banks, so bank commercial paper goes below par in the market. B) understanding this , people try to liquidate money market funds containing bank cp at par, so a run develops on money market ...


3

Volatility changes over time. Even if daily returns are normal, assuming the conditional volatility each day is known, the unconditional distribution of daily returns will have excess kurtosis. For example, if daily returns have a standard deviation of 1%, 90% of the time, and a standard deviation of 3%, 10% of the time, the presence of the high-volatility 3%...


3

Here is one recipe, in case you can live with Spearman rank correlation. (Which you should: linear correlation is often not appropriate in the non-normal case. And in the normal case, there is almost no difference between the two correlation types.) Generate samples of your $k$ features with all the desired attributes. These samples may be random or ...


2

I think you may have made a mistake in your interpretation of #1. Putting aside Akshay's concerns (which are actually quite relevant), you can find commercial paper data and other relevant interest rates at the Federal Reserve's H15 data release page. There you will find CP rate data for financial and non-financial firms, as well as the 3 month Treasury ...


2

This may have been correct earlier on - but now, with the CP market all but frozen up, this is not such a good indicator. Moreover, corporate credit is quite robust these days and still, we are talking of an impending recession - simply put, the credit risk has passed on to the sovereigns. Hence a better proxy would be municipal paper/peripehral EU bonds vs ...


2

Here is a good explanation by the SF Fed. In a nutshell, there is the current account (trade deficit/ surplus) financial account (asset bought/ sold overseas) and the capital account (intangible assets, usually negligible). The sum of the three for each country is zero by definition. Therefore the trade deficit must be accompanied by a financial account ...


2

Take logs of both sides, i.e. $$\log Y=\log A+ a \log K +(1-a)\log L$$ This gives: $$\Delta\log Y = \Delta\log A + a \Delta\log K +(1-a) \Delta\log L$$ Then use that $\frac{d}{dx}\log x= 1/x$, which yields $\Delta\log x=\Delta x/x$. Apply that to each log-diff above.


2

To evaluate the impact on your FX portfolio of an increase in LIBOR, or any other rate for that matter, you must know: Which currencies you have exposure to Which positions have a floating rate exposure and to what rate. You can then model the relationship between LIBOR and those variables. Without that information, you cannot do anything. For example, ...


2

List of books: Romer’s book on Advanced Macro, whatever John Taylor’s latest macro book is, Minsky’s Keynes book and his Stabilizing an Unstable Economy book, Cassidy’s How Markets Fail, Shillers’ Animal Spirits, Debunking Economics by Keen, Meltdown by Woods, General Theory by Keynes, and (probably) Post-Keynesian Economics by Lavoie. That is only a ...


2

I do not think such figure exist in its per-canned form. However, for the most part, any pension/social security/annuity provider needs to have an idea of that, since it is their current and future liability that we are talking about. A quick and dirty way would be to look at US Social Security's funds, and get an estimate of how underfunded they are (so you ...


2

Cholesky (or SVD or any other approach based on matrix multiplication) only works for normal distributions, which your features cannot be, given that they have values within finite intervals. To see why Cholesky does not work, assume two additional features, which are independent uniform $(U_1,U_2)$. Now you want to create features with correlation $\rho$ ...


1

The most authoritative source for those questions is the following book: Expected Returns: An Investor's Guide to Harvesting Market Rewards by Antti Ilmanen You can find a free shortened (but still exhaustive) version here: Ilmanen, Antti, Expected Returns on Major Asset Classes (June 1, 2012). CFA Institute Research Foundation 2012 - 1. Available at SSRN:...


1

These are good questions. 1: Yes. Similarly, consider absolute yield level as a regressand. 2: Regress on unemployment absolute AND difference. You can toss out any statistically insignificant (||<2). 3: Perhaps matching in time for observable and dependent variable is best; you can test lagged models, which is significant in the context of credit ...


1

I recently stumbled over an interesting study related to this question: Yaneer Bar-Yam et al. from the New England Complex Systems Institute (NECSI) published a study in 2011 that used "measures of collective panic" to "predict economic market crises". To cite a report about the paper: [...] Research analysts have found [that] high levels of collective ...


1

A Bit broad of a question, although here are a few ideas: Non Farm Payroll rate of change This is produced by the Bureau of labour statistics, and tracks total employed persons. Ideally one would seek the change in payrolls to view the health of the job market for a given month. pros: large sample size. cons: there is a bit of lag compared to the ...


1

I'm ot sure if it's the answer you're looking for but one commonly used method in practice is to simply take a long term average of the unemployment rate. The long term in this context means a period which covers exactly a full business cycle (either peak to peak or trough to trough). FYI. US business cycle dates can be found here (http://www.nber.org/...


1

Take a look at http://alephblog.com. There is a section with book reviews and a subcategory called "Macro Investing". I haven't read any of the books but the blog itself is recommendable. The reviews contain a full disclosure.


1

Expected Returns by Antti ilmanen is a good one. It examines the long term profitability of various strategies.


1

Your question is quite confusing, and obviously not straighforward if you don't give more context. In fact, considering the simpler New Keynesian model several answers are possible depending on calibration. The liquidity effect impact to an exogenous money supply shock can have several directions. Check the figures below from Gali (2001):


1

The money market fund could suffer principle loss during crisis and one of them publicly did during the crisis of 2008. I say publicly because there are funds that suffered large loss that would have had them 'break the buck' except their sponsoring organizations bailed them out. I urge you you check out this New York Fed research for a comprehensive look at ...


1

The concept of entropy in the financial field is related to the market efficiency and predictability one; the measure approximate entropy by Pincus (1991) is considered as a market efficiency measure and it has been empirically proven it is correlated to the main market efficiency measures as shown by Eon & Kim (2008) and Risso (2008). I suggest you to ...


1

There are many different options. The Fed has a Senior Loan office survey of whether credit conditions have tightened or loosened. Macroeconomic forecasters often use this as part of U.S. GDP forecasting models. Other market-based variables, such as VIX and the spread between various bonds, to get a sense of financial conditions. There are also some ...


1

A naive reason has been explained by Nassim Nicholas Taleb in his book titled Black Swan. In a deeper look, one should be aware that no historical data analysis can truly estimate the real tail risk of financial markets. By the same token, standard deviation, max drawdown, expected shortfall, VaR, Conditional Var... No single or combination of such ...


1

You are right, "exogeneous transaction costs" (transaction taxes, brokerage fees...) are related to illiquidity sources. In the literature, these costs impact prices because investors require compensation for its cost. Empirically, liquidity has been helpful to explain some market facts such that the small firm effect, the equity premium puzzle... Loosely ...


1

Extreme events in financial markets, like the crash of 1987, occur more frequently in the real world than a normal distribution would predict. The economic facts that drive those extreme events are varying. Such extreme declines have been observed over many different time periods (Tulip-mania for instance), which suggests that it is more likely inherent to ...


1

The peak-load wiki page is pretty poor. Public transit may not be the best example, especially since at most times it's close to zero marginal cost but tends not to be free. The bottom line up front difference is price discrimination is specifically intended to avoid charging an efficient price (in the basic microeconomic sense of market efficiency), ...


Only top voted, non community-wiki answers of a minimum length are eligible