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Anomalies
Outliers, aberrations, fat tails, trouble at the mill and maybe something good once in awhile
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Junk Bond Funds Just Experienced A Six-Sigma Event

Junk Bond Funds Just Experienced A Six-Sigma Event | Anomalies | Scoop.it
It's like flipping heads 29 times in a row.
Ellie Kesselman Wells's insight:

I don't have much to add. This is an all-time record outflow. Source data is good, Goldman Sachs and Lipper.

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Noisy Information and Fundamental Disagreement

Ellie Kesselman Wells's insight:

Very noisy! "We study the term structure of disagreement of professional forecasters for key macroeconomic variables."

 

Conclusion - There is great uncertainty about the short term AND long run, even by those who should know. Downward sloping GDP, in the U.S.A. and globally, is conceivable, rather than an extremely low likelihood catastrophic scenario.

This tells me that there is an unusual lack of confidence, and fear.

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High-speed Trading: Is It Time to Apply the Brakes?

How fast is high-frequency stock trading? In the time it takes to read this sentence, tens of thousands of high-speed, computer-automated transactions can occur. Winning traders edge out rivals by intervals measured in nanoseconds. Fans of the practice say that high-frequency traders add crucial liquidity to the stock market. Critics dispute that claim and highlight, instead, lurking perils for the global financial system.


Via Complexity Digest
Ellie Kesselman Wells's insight:

Yes! It IS time for some greater introspection about this, before there are even worse problems. Right now, there is very little understanding of risks to most people, including the voting public. European regulators seem to have a more realistic view and be willing to act upon it than in the U.S.A.

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Ellie Kesselman Wells's comment, January 27, 2013 1:45 PM
Yes! ;o) It is time. Thank you!
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ETF Investors: Ratings Methodology Comparison

ETF Investors: Ratings Methodology Comparison | Anomalies | Scoop.it
Ignore Ned Davis Ratings And Think Twice About S&P Ratings... The forecast ratings are roughly normally distributed with high "kurtosis," or infrequent extreme deviations, as opposed to frequent modestly sized deviations...
Ellie Kesselman Wells's insight:

Detailed, mostly accurate description of criteria used by S&P, Fidelity, Ned Davis, Morningstar and others.

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Earnings Roundup: Company-Issued Guidance at Its Most Negative Level on Record

Earnings Roundup: Company-Issued Guidance at Its Most Negative Level on Record | Anomalies | Scoop.it

The current N/P earnings guidance ratio of 11.4 for Q4 2013 is the worst on record.

Ellie Kesselman Wells's insight:

S&P 500 companies have issued negative expected earnings guidance 103 times and positive guidance only 9 times. This 11.4 negative-to-positive (N/P) ratio is the highest (worst) on record, ever. The highest N/P ratio prior to this quarter was 6.8 for Q1 2001. 

* The data is incomplete, as it was collected in late November.

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Did the CIO have a Kodak moment?

JPMorgan's Chief Investment Office was given an edict to try to reduce risk-weighted assets, as part of a firm-wide initiative in the face of regulatory changes...

 

Ellie Kesselman Wells's insight:

The default of Kodak in January 2012 was a credit event that would certainly have influenced JP Morgan's CIO's decisions leading up to the "London Whale" in May 2012. Eastman Kodak was part of many credit default swap indices. Kodak's filing for bankruptcy on January 19th led to a variety of idiosyncratic risk exposures in JPM's synthetic credit portfolio.

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In Search Of An Absolute Strategy

In Search Of An Absolute Strategy | Anomalies | Scoop.it
Most hedge funds claim to produce positive absolute returns. The reality is sobering: most strategies still largely depend on stock market performance and those not incorporating equities haven't kept their promises either.
Ellie Kesselman Wells's insight:

Natural motivation for a brief discussion of skew and kurtosis

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How Fama Went Wrong: Measures of Multivariate Kurtosis

For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The emergence of crises can be ...
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