Category Archives: Uncategorized

A Simple Hedging System with Time Exit

This post is a follow-up to the previous one on a simple system for hedging long exposure during a market downturn. It was inspired by H. Krishnan’s book The Second Leg Down, in which he referred to an interesting research … Continue reading

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Historical Default Rates Do Not Predict Future Defaults

Yesterday, Bloomberg published an article arguing that the current credit risk is low because the default rate is low, Insulated by cheap money from the QE era and bolstered by cash on their balance sheets, it remains rare for companies … Continue reading

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Are Collateralized Loan Obligations the New Debt Bombs?

Last year, in a post entitled Credit Derivatives-Is This Time Different we wrote about credit derivatives and their potential impact on the markets. Since then, they have started attracting more and more attention. For example, Bloomberg recently reported that collateralized … Continue reading

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Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets

According to Marketwatch, Goldman Sachs strategists just issued a warning regarding the volatility index, VIX, Goldman analysts Rocky Fishman and John Marshall said that the VIX, which uses options bets on the S&P 500 to reflect expected volatility over the … Continue reading

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Overnight Index Swap Discounting

The overnight index swap (OIS) has come into the spotlight recently, due to the widening of the Libor-OIS spread. For example, the Economist recently reported: WATCHING financial markets can be like watching a horror film. A character walks into the … Continue reading

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Can a Horse Racing System be Applied to the Stock Markets?

Bill Benter is one of the most profitable professional gamblers in the world. According to Wikipedia William Benter was born and raised in Pittsburgh, Pennsylvania.[2] As he grew up, he wanted to use his mathematical talents to make a profit … Continue reading

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VIX Mean Reversion After a Volatility Spike

In a previous post, we showed that the spot volatility index, VIX, has a strong mean reverting tendency. In this follow-up installment we’re going to further investigate the mean reverting properties of the VIX. Our primary goal is to use … Continue reading

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