Briefly Speaking

作者:Victor Niederhoffer
日期:2010/11/17

1. The bonds are acting more like the S&P futures of the old days, and the S&P futures are acting more like the bonds of the old days. This is the kind of co-evolution that one sees so much between plants and animals. My statement would have to be quantified, but it is patently apparent to my many followers.

2. The biggest mistake a person can make in life or markets that is easiest to correct is getting in over the head.

3. The Knicks are like the person who has a system that is guaranteed to fail because of poor money management or excessive slippage. They are endlessly creative in losing. They cant win because they have a bad coach, and what Marbury says about the coach having a system that worked 10 years ago but is not applicable could be said about most market systems. Marbury is a reprehensible personage in my book, typified by his refusal to play when asked last year. No wonder no coach will touch him, aside from the fact that he's a shooting star who's not fast or accurate enough to be good anymore, but even a reprehensible person could say something true because he's not beholden to anyone. In case, I am always inspired by the many ways the Knicks have of losing, (they're currently on a 6 game streak). Yesterday they lost never being ahead at any time during the game. Considering the number of minutes, it's highly improbable, although I would guess it's true in 15% of all games. In any case I looked to see how many times the market is up each hour of the day, and whether that's bullish or bearish. I found no regularities, except that it's bullish for the fest of the day if it's happened every hour until 300 pm, except that it hasn't worked for the last 2 years. Surprisingly the market registers up every hour of the day 1/4 of all days, and it's down every hour of the day, about 22% of all days.

4. It is an interesting exercise to estimate the expected move of a dependent variable from an independent variable being up or down on the day given it's correlation. I have found a useful approximation to be that the expected value is the mean change + 90% of the standard deviation. For example, if the correlation between bonds and stocks is 0.20 and the standard dev of stocks is 10, then when bonds are up, you can expect stocks to be up 1.8. I don't believe it sensible to give a closed form solution of this, given all the mixed up distributions and varying parameters, and relations between the absolute deviation and the standard deviation, and up or down, although one is certainly possible.