<t>I think the rating agencies clearly dropped the ball in that any time a large class of AAA rated stuff goes to 50 cents on the dollar, it was not bad luck, but rather a bad rating. When a 1 in 1000 event happens, more than likely your probability was incorrect. But the rating agencies feed off th...

<t>I don't know any fund manager interested in a 8ish return 18ish vol strategy. If you can sell them on the Sortino angle, more power to ya. I think 1.0 Sharp(e!) is the hurdle at most shops, though strangely some fancy up to 2.0 (the implausibility I find amusing). I am prohibited from telling you...

<r>I worked at my old employer from Feb 2004 through Aug 2006. They are currently litigating against me for violating their confidentiality agreement in what I consider to be a back door attempt to apply a perpetual noncompete, or if I fight it, a very expensive couple of years (see unsealed litigat...

<r>I'm Eric Falkenstein, who wrote that criticism of Taleb (at <URL url="http://www.efalken.com/papers/Taleb2.html">http://www.efalken.com/papers/Taleb2.html</URL>). It is a composite of criticisms I leveled at Taleb while blogging at Mahalanobis--I thought I would consolidate them into that post. M...

<t>I think crowlogic is correct. You basically have two polar opposites making money trading or investing as a price taker (brokers are a different animal). On one hand, salesmen, who network, cajole, and manage people well. This works for illiquid markets. For liquid markets, a more analytical mind...

<t>Pipes used to be a classic, whereby you buy seasoned (ie, existing) equity at 10% below last value, and all you have to do is hold it for 3 months before they tell the existing stockholder who were diluted (suckers!). This is risky because investors are generally infusing a money losing operation...

<t>Converts used to (back in 2001) have significantly higher yields and implied vols than comparable securities (often on their own leaps or bonds). I think the CDS market finally killed that, since the arbs could separate the risk, and CDS are now liquid enough to make such arbs practicle. Pairs tr...

<t>I stopped reading these forums because loudmouths would monopolize threads and take the signal/noise ratio to 0. Kicking out those who are rude, and constraining those who are obtuse or verbose, is necessary to make forums interesting and useful. Democracy is a lousy way to present ideas. Moderat...

<t>Masden, not to steal Aaron's thunder, but I think Henry George went down because taxes on fixed assets are totally borne by consumers in the long run. In the short run the wealthy eat it, but in the long run it *all* gets passed on. Intuitively this is obvious: in equilibrium profitability is the...

I'd go with Fisher's "The Theory of Interest", New York, 1965 (reprint of 1930 edition). Might be a later statement, but this is easy to get and probably closer to when the ideas had real impact.

<t>MP, perhaps trend trading is really 'spread trading', in that one expects a correlation to imply that if X goes up, so must Y: their spread is stationary, or cointegrated Thus buying Y due to X rising is due to expectations for mean reversion in the spread, rather than the 'trend' in X (since no ...

<t>I usually find Aaron's stuff insightful and pointed. This article, however, left me blank. What's the take-away, that investors would like better accounting, and finance quants can help? Investors have always wanted, and will always continue to want, better accounting, so that's not really intere...

<t>'Fundamental Value' is a theoretical concept that varies in its precise definition depending on the point being made. It is a simplification, an abstraction, but one that serves a purpose: to isolate the important relationship being illustrated. For example, it could be the equilibrium value of s...

<t>drona, first, don't ever think you know better than the NY specialist what's available to 'lean on' for IBM and the other listed stocks, and second, this advantage is greater for these thieves relative to the OTC broker-dealers. Anthis, the price of a seat makes the value of the monopoly zero to ...

I love when specialists say they get paid to take risk. Risks like that don't deserve the kind of compensation those monopolists on the NYSE and AMEX get.