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by yugmorf2
May 4th, 2015, 2:45 am
Forum: Trading Forum
Topic: Modeling Pegged Currencies
Replies: 3
Views: 5045

Modeling Pegged Currencies

<t>One model that has worked quite well historically is to measure the frequency of official pronouncements in the spirit of, "we are committed to maintaining the peg". Increased frequency and strength of such statements is a sure sign of growing difficulties in maintaining the peg. The costs of spe...
by yugmorf2
January 17th, 2015, 7:11 am
Forum: Trading Forum
Topic: Swiss Move to Drop Rate Limit Against Euro Stuns Markets
Replies: 14
Views: 5367

Swiss Move to Drop Rate Limit Against Euro Stuns Markets

<t>With the shock move by SNB grabbing everyone's attention, I wonder if the price action at the close (New York 5pm) went unnoticed. At about 16:50 New York time on Thursday, EURCHF free falls by about 3%, before fully recovering in the minutes after 5pm. I'm not sure what went on here, but am curi...
by yugmorf2
March 3rd, 2014, 2:12 am
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 790
Views: 72731

End of bitcoin?

<t>QuoteOriginally posted by: AlanAt the end of the day, I still don't get the appeal of bitcoins to non-criminals for transaction purposes.I can imagine that might be the case if acceptance is so low that the advantages cannot be fully realized. However, if bitcoin usage becomes ubiquitous, I can t...
by yugmorf2
December 20th, 2013, 2:21 am
Forum: Economics Forum
Topic: small december taper?
Replies: 8
Views: 6660

small december taper?

<t>The current economic cycle looks reasonably secure but the outlook for the next cycle is looking very uncertain under the current monetary policy regime. Asset prices are being artificially elevated by low forward guidance for fed funds and official intervention in the bond/mortgage markets. This...
by yugmorf2
December 5th, 2013, 4:02 am
Forum: Trading Forum
Topic: Bitcoins
Replies: 64
Views: 9972

Bitcoins

<t>QuoteOriginally posted by: Traden4AlphaI doubt a bitcoin-based financial system would be any better than a government run fiat system. The use of bitcoins would not eliminate the ability of central bankers or politicians to influence the amount of money supply sloshing around the economy. Althoug...
by yugmorf2
December 4th, 2013, 5:40 am
Forum: Trading Forum
Topic: Bitcoins
Replies: 64
Views: 9972

Bitcoins

<r>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: pcaspersQuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: pcaspersQuoteOriginally posted by: Traden4AlphaIt seems a lot less disrespectful waste of resources than cars with more that a 50 hp motor or houses with mor...
by yugmorf2
December 4th, 2013, 5:09 am
Forum: Trading Forum
Topic: Bitcoins
Replies: 64
Views: 9972

Bitcoins

<t>QuoteOriginally posted by: bearishQuoteOriginally posted by: royalflushVery interesting discussion. I think customers will more and more get addicted by Bitcoins especially as the newsflow is getting better and as it passed the 1000 USD. So you really want to be a Marketmaker in this one.No, I th...
by yugmorf2
October 25th, 2013, 2:36 am
Forum: Programming and Software Forum
Topic: The News Dissemination Problem under HFT
Replies: 28
Views: 8800

The News Dissemination Problem under HFT

<r>QuoteOriginally posted by: AlanQuoteOriginally posted by: yugmorf2QuoteOriginally posted by: AlanWould just drive the trades to London again. Really, I don't see the issue. So some people trade faster than others. So what? It's an honest edge, unlike some.According to this, 'some' are trading fra...
by yugmorf2
October 24th, 2013, 2:47 pm
Forum: Programming and Software Forum
Topic: The News Dissemination Problem under HFT
Replies: 28
Views: 8800

The News Dissemination Problem under HFT

<r>QuoteOriginally posted by: AlanWould just drive the trades to London again. Really, I don't see the issue. So some people trade faster than others. So what? It's an honest edge, unlike some.According to this, 'some' are trading fractionally ahead of the release time.<URL url="http://www.nanex.net...
by yugmorf2
October 17th, 2013, 12:35 am
Forum: Programming and Software Forum
Topic: The News Dissemination Problem under HFT
Replies: 28
Views: 8800

The News Dissemination Problem under HFT

<t>With the intention of promoting fairness and tipping the scales away from low latency momentum players, towards valuation players; I wonder if a more optimal solution (for society) might be to temporarily close the markets for say a minute, when major market moving announcements/data releases are...
by yugmorf2
October 9th, 2013, 6:18 am
Forum: Economics Forum
Topic: Did the Aussies get wealthy or just change the composition of their balance sheet?
Replies: 2
Views: 6876

Did the Aussies get wealthy or just change the composition of their balance sheet?

<r>Aussies are the wealthiest people in the world according to this article:<URL url="http://www.smh.com.au/business/the-economy/aussies-the-worlds-richest-people-credit-suisse-20131009-2v7qy.htmlIsn%27t"><LINK_TEXT text="http://www.smh.com.au/business/the-econ ... .htmlIsn't">http://www.smh.com.au/...
by yugmorf2
August 21st, 2013, 2:37 am
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 9732

Risk measure when you have very few historical data

One possibility might be to find an alternative data set that is highly correlated with your sparsely populated one, and then calculate your risk measures based on that. Possible?
by yugmorf2
July 15th, 2013, 7:27 am
Forum: Technical Forum
Topic: How does Renaissance Technologies invest?
Replies: 20
Views: 60789

How does Renaissance Technologies invest?

<t>QuoteOriginally posted by: investor82I can consistently beat the market. Up 25% since May when the market is flat, so if I can do it certainly a genius like Simmons and his team can do it. It's about looking for small patterns, inefficiencies to exploit. Second, always trust your intuition. If yo...
by yugmorf2
July 15th, 2013, 7:20 am
Forum: Technical Forum
Topic: FX vol surface - Cut time convention
Replies: 1
Views: 7354

FX vol surface - Cut time convention

I recall reading somewhere that NZD rolls at a different time of the day. Possibly it's broker dependent - can anyone confirm this?
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