Feb

15

 1. One wonders whether the days of extreme unpleasant weather in NY, like today when it's snowing and freezing, tend to have an inordinate negative expectation.

2. To what extent can quantile regression , a technique studied by Roger Koenker in Quantile Regression be used to improve market results? One often is confronted with situations where the market has moved a certain amount, and one wonders if it is likely to continue or fail or remain stable. By focusing on say the likelihoods of getting to the 3/4 point of the data once one has exceeded the median, interesting results can be gleaned.

3. It was ludicrous to hear Smith apologizing for not being able to play in the Knicks Sacramento game when his not playing was the only chance that the Knicks had to win. It reminds one of the market salesman who apologizes for his inability to get you an allocation of a hot public issue, or the adviser who's very bad but apologizes when he is out of the office and can't help you with the trades. There's a great joke about the two brothers who lose all their money in commodities and one brother tells the other he's going to tell his broker to meet the Bad One. And the other brother tells him not to do it, as the broker might not help them in future.

4. The magnificent book Blundering to Glory by Owen Connerly recommended by Mr. Jovanovich has many insights into Napoleons modus operandi that are illuminating and fascinating. I like that during the height of the battle of Waterloo he purposely disseminated the false rumour that Grouchy was entering the battle and would save them in order to rally his troops. He liked to say that "The whole art of war consists of a well reasoned defense, extremely circumspect, and a bold and rapid offense". Great advice for market people rarely taken. It is interesting to compare Victor Hugo's description of the battle of Waterloo in Les Miserables with that of Connerly. The former leads one to believe it was all a matter of fate, and the latter puts much emphasis on the strategic decisions and arrival of the Prussians. I like that when Napoleon spotted the Prussians marching into the battle, he asked his depute what the news was: "Bad Sir, they are Prussians."

5. The latest Gavekal piece has an interesting implication that the Chinese banks stocks are vastly undervalued. I always learn much from reading Gavekal, but never can figure out what to do based on their analysis, as they like to ride on both halves of the camel.

6. The market has gone up 7 days in a row, an is now at the open in the 1800 to 1810 decile and is in dangerous territory. As Gavekal would say, its dangerously close to being absorbed by the Round, but on the other hand, it's usually not bearish when it opens big down after a big run on the upside. Ill go with the upside down man today and speculate that the flexions will not be discommoded at the auction.

7. One has enjoyed studying differential equations on Youtube and finds that the lecture in the MIT open courseware series are uniformly excellent and thought provoking.

8. The book Mavericks by Jack Schaefer is one of the most enjoyable I've ever read, and makes one want to rush out and buy a Mustang for my young kids. It confirms once again that Schaefer is the best Western writer I've ever read. Schaefer truly respects and admires the men he is writing about in the same way that Stubby Pringle is heroic. By the way, Stubby makes a cameo appearance in Mavericks, worth the reading in and of itself. The problems that the hero encountered in the 650 mile race to Nebraska are reminiscent to the ascent we must all face in our trading every day, against the evil owners of the Thoroughbreds who are so much better capitalized and will stop at no evil in order to do us in.

9. The stock bonds ratio a week ago was at its lower level since October and is still some 8% down from its October highs.

10. I find few limit orders on the books at the number 13 in any market, and wonder whether that's a good place to put ones orders in. Whenever I try to put an order in before a big announcement, to take account of erroneous front running by high frequency boys who front run the number because they get it early, I miss my limit by one tick unless it's going to go against me by a full standard deviation or two.

Kora Reddy submits: 

With the help of the NOAA, I found this.

The database goes back to 96

$SPY changes in percentages, t(1) is the one day later in % , t(2) is the $SPY change % 2 days later .

XXX - Market closed
— - two events recorded on the same day 

Date    Type    Time    t    t(1)    t(2)
19-07-2013    Excessive Heat    AM    0.18    0.20    -0.21
08-02-2013    Winter Storm    AM    0.56    -0.02    0.16
31-01-2013    High Wind    AM    -0.24    1.03    -1.13
26-12-2012    High Wind    PM    -0.42    -0.13    -1.08
29-10-2012    Coastal Flood    AM    -    -    -
29-10-2012    High Wind    AM    XXX    XXX    XXX
18-07-2012    Excessive Heat    AM    0.74    0.26    -0.91
29-10-2011    Winter Storm    AM    XXX    XXX    XXX
28-08-2011    Tropical Storm    AM    -    -    -
28-08-2011    Storm Surge/Tide    AM    XXX    XXX    XXX
21-07-2011    Excessive Heat    AM    1.39    0.06    -0.56
16-04-2011    Coastal Flood    PM    XXX    XXX    XXX
01-02-2011    Ice Storm    AM    1.61    -0.20    0.22
26-01-2011    Heavy Snow    AM    0.39    0.25    -1.74
11-01-2011    Heavy Snow    PM    0.36    0.90    -0.17
26-12-2010    Blizzard    AM    XXX    XXX    XXX
04-07-2010    Excessive Heat    AM    XXX    XXX    XXX
13-03-2010    Coastal Flood    PM    XXX    XXX    XXX
25-02-2010    Heavy Snow    AM    -0.14    0.07    1.04
09-02-2010    Heavy Snow    PM    1.26    -0.20    1.04
25-01-2010    Strong Wind    AM    0.52    -0.43    0.48
19-12-2009    Heavy Snow    AM    XXX    XXX    XXX
01-03-2009    Heavy Snow    PM    XXX    XXX    XXX
12-02-2009    High Wind    AM    0.07    -1.08    -4.28
06-09-2008    Tropical Storm    AM    XXX    XXX    XXX
08-03-2008    High Wind    PM    XXX    XXX    XXX
22-02-2008    Heavy Snow    AM    0.62    1.26    0.75
09-01-2008    Strong Wind    AM    1.06    0.66    -0.81
16-03-2007    Winter Storm    AM    -0.27    1.20    0.55
13-02-2007    Winter Storm    PM    0.84    0.66    0.14
04-02-2007    Extreme Cold/Wind Chill    AM    XXX    XXX    XXX
20-01-2007    Strong Wind    AM    XXX    XXX    XXX
01-08-2006    Heat    AM    -0.49    0.68    0.26
12-02-2006    Heavy Snow    AM    XXX    XXX    XXX
18-01-2006    High Wind    AM    -0.40    0.39    -1.82
09-12-2005    Heavy Snow    AM    0.26    0.09    0.68
24-11-2005    Strong Wind    AM    XXX    XXX    XXX
25-10-2005    Strong Wind    AM    -0.21    -0.29    -1.06
16-10-2005    Strong Wind    AM    XXX    XXX    XXX
12-10-2005    Flood    AM    -0.79    -0.06    1.06
08-10-2005    Flood    AM    XXX    XXX    XXX
28-04-2005    Strong Wind    AM    -1.25    1.35    0.57
08-03-2005    WINTER WEATHER    AM    -0.38    -1.11    0.23
01-03-2005    Heavy Snow    AM    0.50    -0.05    0.04
25-02-2005    Heavy Snow    AM    0.99    -0.65    0.50
21-02-2005    Heavy Snow    AM    XXX    XXX    XXX
22-01-2005    Heavy Snow    PM    XXX    XXX    XXX
28-01-2004    Winter Storm    AM    -1.14    0.10    0.00
15-01-2004    Cold/Wind Chill    PM    0.25    0.40    -0.02
05-12-2003    Heavy Snow    PM    -0.70    0.67    -0.77
13-11-2003    High Wind    AM    0.02    -0.84    -0.50
07-04-2003    Heavy Snow    PM    -0.18    0.15    -1.32
17-02-2003    Heavy Snow    AM    XXX    XXX    XXX
05-12-2002    Heavy Snow    PM    -1.11    0.66    -2.76
01-10-2002    Drought    AM    4.80    -3.00    -1.01
11-09-2002    High Wind    AM    -0.63    -1.83    0.24
01-09-2002    Drought    AM    XXX    XXX    XXX
01-08-2002    Drought    AM    -2.62    -2.23    -3.49
29-07-2002    Heat    AM    4.87    1.30    0.25
02-07-2002    Heat    AM    -2.12    0.57    3.98
01-07-2002    Drought    AM    -1.95    -2.12    0.57
01-06-2002    Drought    AM    XXX    XXX    XXX
01-05-2002    Drought    AM    1.23    -0.38    -1.09
01-04-2002    Drought    AM    0.04    -0.55    -0.71
01-01-2002    Drought    AM    XXX    XXX    XXX
08-08-2001    Heat    PM    -1.85    0.30    0.34
06-03-2001    Winter Storm    AM    1.08    0.71    0.11
22-02-2001    Heavy Snow    PM    0.15    -0.68    2.13
21-01-2001    Winter Storm    AM    XXX    XXX    XXX
30-12-2000    Heavy Snow    AM    XXX    XXX    XXX
12-12-2000    High Wind    AM    -0.43    -1.38    -1.26
19-02-2000    Winter Storm    AM    XXX    XXX    XXX
27-01-2000    Extreme Cold/Wind Chill    PM    -0.40    -3.11    2.71
25-01-2000    Winter Storm    AM    1.14    -0.79    -0.40
21-01-2000    Extreme Cold/Wind Chill    AM    -0.21    -2.84    1.14
17-01-2000    Extreme Cold/Wind Chill    AM    XXX    XXX    XXX
04-07-1999    Heat    AM    XXX    XXX    XXX
18-03-1999    Strong Wind    AM    1.61    -1.68    0.20
04-02-1998    High Wind    PM    -0.13    -0.05    1.11
27-11-1997    Strong Wind    AM    XXX    XXX    XXX
01-11-1997    Strong Wind    AM    XXX    XXX    XXX
31-03-1997    Coastal Flood    AM    -2.12    0.66    -1.80
06-03-1997    High Wind    AM    -0.58    0.91    1.05
27-02-1997    Dense Fog    AM    -1.48    -0.29    0.66
13-12-1996    Coastal Flood    AM    0.26    -1.29    0.80
07-12-1996    Coastal Flood    PM    XXX    XXX    XXX
06-12-1996    Coastal Flood    AM    -0.60    1.47    -0.47
19-10-1996    Strong Wind    AM    -    -    -
19-10-1996    Coastal Flood    AM    XXX    XXX    XXX
19-03-1996    High Wind    AM    -0.21    -0.12    -0.25
07-03-1996    Winter Storm    AM    0.50    -3.24    1.16
25-02-1996    High Wind    AM    XXX    XXX    XXX
16-02-1996    Heavy Snow    PM    -0.40    -0.99    1.23
03-02-1996    Heavy Snow    AM    XXX    XXX    XXX
27-01-1996    High Wind    AM    XXX    XXX    XXX
19-01-1996    High Wind    AM    -    -    -
19-01-1996    Flood    AM    0.67    0.00    0.24
07-01-1996    Blizzard    PM    -    -    -
07-01-1996    Coastal Flood    PM    XXX    XXX    XXX
 


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  1. Shane Hurren on February 13, 2014 4:51 pm

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