SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by gardener3
December 7th, 2013, 9:36 pm
Forum: Economics Forum
Topic: Is free trade the problem?
Replies: 96
Views: 24505

Is free trade the problem?

<r>I was reading this article on the negative effects of deindustrialization (<URL url="http://rodrik.typepad.com/dani_rodriks_weblog/2013/10/on-premature-deindustrialization.html"><LINK_TEXT text="http://rodrik.typepad.com/dani_rodriks_ ... ation.html">http://rodrik.typepad.com/dani_rodriks_weblog/...
by gardener3
December 7th, 2013, 9:32 pm
Forum: Economics Forum
Topic: Is free trade the problem?
Replies: 96
Views: 24505

Is free trade the problem?

Germany did become very competitive in the 90's. Canada went through a similar transformation under the Liberal government. But, Germany benefits greatly from not having their own currency. Constant devaluation gives them a tremendous competitive edge.
by gardener3
November 22nd, 2013, 5:23 pm
Forum: Economics Forum
Topic: Is free trade the problem?
Replies: 96
Views: 24505

Is free trade the problem?

<t>QuoteSaid another way, few people would argue that making trade free-er (eliminating trading barriers) is stimulative in the short run ... stored wealth canbe used to purchase more products as they become cheaper. The question is whether the overall reduction on the demand side is a depressing fo...
by gardener3
October 17th, 2013, 2:02 pm
Forum: Off Topic
Topic: Nobel Laureates in Economics - 1969 - 2009
Replies: 32
Views: 37256

Nobel Laureates in Economics - 1969 - 2009

<t>QuoteOriginally posted by: ThinkDifferentQuoteOriginally posted by: exneratunriskAfter reading Polter's links more carefully and after more thinking.: If Fama were Newton, would Shiller be EinsteinShiller's work not an update, it's a completely different interpretation of the same empirical evide...
by gardener3
October 17th, 2013, 1:55 pm
Forum: Off Topic
Topic: Nobel Laureates in Economics - 1969 - 2009
Replies: 32
Views: 37256

Nobel Laureates in Economics - 1969 - 2009

<t>QuoteOne can interpret the strong version of EMT: stock movements are not forecastable - even not with insider tradingFama got the prize for this kind of "anti-behavioral finance theory"Shiller got the prize for a kind of inefficient market hypothesis - applying behavioral finance wisdom, like, l...
by gardener3
September 14th, 2013, 7:25 pm
Forum: Trading Forum
Topic: Selling Strangles into a low but rising volatility market
Replies: 11
Views: 9049

Selling Strangles into a low but rising volatility market

<t>QuoteNobody wants to "lose money on the average day" to make a killing once every 10 years. And nobody wants to go broke every 10 years. There aren't many examples of the first. Things that come to mind are lottery tickets, long-shot bias on the racetrack or listed calls. The second describes all...
by gardener3
September 11th, 2013, 3:57 pm
Forum: Off Topic
Topic: Remembering 9/11
Replies: 32
Views: 35941

Remembering 9/11

<t>My work was in midtown. Walking on 42 to work that morning and looking down on 6th I could see the towers. Coming back it was all smoke and dust. When the planes hit, we went where there was a TV. Like everyone else, I watched in complete disbelief when the first tower collapsed. I watched it go ...
by gardener3
August 29th, 2013, 3:22 pm
Forum: Student Forum
Topic: Asset pricing models: Merton-style bond pricing vs. CAPM
Replies: 20
Views: 8611

Asset pricing models: Merton-style bond pricing vs. CAPM

<t>On the moody's study: I am surprised they were able to find so many defaults (but still a tenth of that of firms with EDFs even ignoring the time frame). Looking at the chart, the improvement in prediction seems insignificant. Btw, the difference in P & Q can also be due to sentiment or over/...
by gardener3
August 29th, 2013, 3:08 pm
Forum: Off Topic
Topic: Britain Preparing Contingency Plan for Intervention in Syria
Replies: 128
Views: 9778

Britain Preparing Contingency Plan for Intervention in Syria

<t>QuoteAre you serious? chemical (and let me include biological, and nuclear) are beyond horrible. These weapons have a destructive capacity greater than 'infections acquired while in hospitals'No, they don't. In warfare, economic sanctions have been by far more deadly than WMDs. John Mueller had a...
by gardener3
August 28th, 2013, 6:38 pm
Forum: Student Forum
Topic: Asset pricing models: Merton-style bond pricing vs. CAPM
Replies: 20
Views: 8611

Asset pricing models: Merton-style bond pricing vs. CAPM

<t>QuoteOriginally posted by: And2This argument is easy to resolve by doing factor analysis of dataset with (say) CDS and without. Though those studies were done in better (more liquid) times, and there may be objections to results in the current marrkets, they would definitely apply to the timefram...
by gardener3
August 28th, 2013, 6:37 pm
Forum: Student Forum
Topic: Asset pricing models: Merton-style bond pricing vs. CAPM
Replies: 20
Views: 8611

Asset pricing models: Merton-style bond pricing vs. CAPM

I wasn't trying to suggest that spreads are not important in prediction, but that determining empirically if and how important they are is very difficult.
by gardener3
August 28th, 2013, 2:03 pm
Forum: Student Forum
Topic: Asset pricing models: Merton-style bond pricing vs. CAPM
Replies: 20
Views: 8611

Asset pricing models: Merton-style bond pricing vs. CAPM

<t>On 1&2: Both the time series and the cross section of companies that have liquid CDSs or corp bonds is very limited. The former market was almost non-existent when KMV was launched. And merton distance-to-default (given its unrealistic assumptions and the strong functional form it imposes), d...
by gardener3
August 26th, 2013, 1:51 pm
Forum: Student Forum
Topic: Asset pricing models: Merton-style bond pricing vs. CAPM
Replies: 20
Views: 8611

Asset pricing models: Merton-style bond pricing vs. CAPM

<t>QuoteIt seems to me Merton's model (the structural model) is mostly about default risk and bankruptcy, which is mostly idiosyncratic, and so part of the noise in CAPM. That might explain the disconnect.Default risk is not idiosyncratic. You have huge spikes during recessions: QuoteIf you really w...
by gardener3
August 26th, 2013, 1:47 pm
Forum: Student Forum
Topic: Asset pricing models: Merton-style bond pricing vs. CAPM
Replies: 20
Views: 8611

Asset pricing models: Merton-style bond pricing vs. CAPM

<t>QuoteOriginally posted by: alfreduxHi everybody,Essentially I would like to talk about the difference between two types of asset pricing models.On the one hand:Structural bond pricing models that specify stochastic processes for a firm's asset value and the short rate, both driven by observable s...
by gardener3
August 1st, 2013, 7:02 pm
Forum: Economics Forum
Topic: a quick explanation of QE and inflation
Replies: 49
Views: 14427

a quick explanation of QE and inflation

<t>QuoteOriginally posted by: farmerQuoteOriginally posted by: gardener3Yes, the returns should be equal (after adjusting for risk), but you are claiming the FED is causing a mispricing. If there is mispricing then valuations must change.Valuations need not change. If the amount of foot traffic on a...
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