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悬赏 The VaR Modeling Handbook - [悬赏 1 个论坛币] 文献求助专区 lipj 2013-4-19 5 1651 kansundou0 2022-10-1 10:53:59
Cp^1在theta=pi下的临界行为、Haldane猜想和 普适类 外文文献专区 可人4 2022-3-7 0 209 可人4 2022-3-7 19:04:00
Making M&A Deals Happen attachment 金融学(理论版) koalachen2013 2013-1-26 7 3488 meya~ 2017-9-14 18:27:55
bootstrapped critical value 与asymptotic critical value 区别 爱问频道 lixianpinglxp 2013-9-4 1 1298 见路不走 2016-1-10 22:34:16
中国企业的国际化——以华为为例 attachment 世界经济与国际贸易 chbjycy 2013-8-3 29 3339 wuguangyuan 2013-10-8 09:59:43
Managing Supply Chain Risk and Vulnerability Tools and Methods for Supply Chain attachment 运营管理(物流与供应链管理) Toyotomi 2013-2-19 1 1431 olderp 2013-9-16 08:05:51
悬赏 nature:Flickering gives early warning signals of a critical transition to a eutr - [!reward_solved!] attachment 求助成功区 qijiongli 2013-9-2 1 1089 宝木1988123 2013-9-2 09:44:19
ADF检验的疑问。 EViews专版 qinleilei_2002 2013-8-21 10 3180 qinleilei_2002 2013-8-24 17:08:16
悬赏 For a critical cultural political economy - [!reward_solved!] attachment 求助成功区 peter 2013-8-19 1 1277 感谢那是你 2013-8-19 17:08:23
Three Paths to Profitable Investing Health Care Infrastructure, and the Environm attachment 金融学(理论版) koalachen2013 2013-8-19 0 1098 koalachen2013 2013-8-19 01:07:47
悬赏 求助外文文献1篇,十分谢谢! - [!reward_solved!] attachment 求助成功区 changjiang0202 2013-8-15 1 617 liuningzheng 2013-8-15 10:15:38
【独家发布】A-Christmas-Carol 《圣诞颂歌》 attachment 版权审核区(不对外开放) 苹果六人行 2013-7-8 0 446 苹果六人行 2013-7-8 15:40:38
悬赏 求文献一篇 - [!reward_solved!] attachment 求助成功区 liugp1982 2013-6-22 1 880 Toyotomi 2013-6-22 10:37:48
悬赏 Alternative refrigerants R123a, R134, R141b, R142b, and R152a: critical tempera - [悬赏 1 个论坛币] attachment 求助成功区 zgj1984411 2013-5-13 1 842 Toyotomi 2013-5-13 14:36:00
悬赏 请热心人帮忙 两篇外文文献,非常感谢 - [!reward_solved!] attachment 求助成功区 kuangda2010 2013-4-28 5 983 hello_xn 2013-4-28 18:53:53
帮我解释下这个单位根检验结果。郁闷死的啦 EViews专版 meizijane 2013-4-27 1 1414 sjlg5201314 2013-4-28 13:59:40
Three New Lessons of the Euro Crisis 真实世界经济学(含财经时事) gongtianyu 2013-4-11 1 1910 gongtianyu 2013-4-11 23:40:14
悬赏 文献求助+Analysis of critical success factors of world-class manufacturing pract - [!reward_solved!] attachment 求助成功区 y77 2013-4-6 2 966 y77 2013-4-6 11:14:08
用eviews做实证分析产生了相反的结果,求解惑 新手入门区 xf3442XF 2013-3-31 2 1557 gaoxiang13149 2013-3-31 16:59:18
悬赏 ADF检验求助! - [!reward_solved!] 求助成功区 liuhanghuang 2013-3-31 2 1436 nina52011 2013-3-31 14:33:07

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分享 An Introduction to Econophysics
accumulation 2015-3-1 00:54
This book concerns the use of concepts from statistical physics in the description of financial systems. Specifically, the authors illustrate the scaling concepts used in probability theory, in critical phenomena, and in fully developed turbulent fluids. These concepts are then applied to financial time series to gain new insights into the behavior of financial markets. The authors also present a new stochastic model that displays several of the statistical properties observed in empirical data. Usually in the study of economic systems it is possible to investigate the system at different scales. But it is often impossible to write down the 'microscopic' equation for all the economic entities interacting within a given system. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behavior of economic systems without first having to work out a detailed microscopic description of the same system. This book will be of interest both to physicists and to economists. Physicists will find the application of statistical physics concepts to economic systems interesting and challenging, as economic systems are among the most intriguing and fascinating complex systems that might be investigated. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and wellformulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems. This book is intended for students and researchers studying economics or physics at a graduate level and for professionals in the field of finance. Undergraduate students possessing some familarity with probability theory or statistical physics should also be able to learn from the book. DR ROSARIO N. MANTEGNA is interested in the empirical and theoretical modeling of complex systems. Since 1989, a major focus of his research has been studying financial systems using methods of statistical physics. In particular, he has originated the theoretical model of the truncated Levy flight and discovered that this process describes several of the statistical properties of the Standard and Poor's 500 stock index. He has also applied concepts of ultrametric spaces and cross-correlations to the modeling of financial markets. Dr Mantegna is a Professor of Physics at the University of Palermo. DR H. EUGENE STANLEY has served for 30 years on the physics faculties of MIT and Boston University. He is the author of the 1971 monograph Introduction to Phase Transitions and Critical Phenomena (Oxford University Press, 1971). This book brought to a. much wider audience the key ideas of scale invariance that have proved so useful in various fields of scientific endeavor. Recently, Dr Stanley and his collaborators have been exploring the degree to which scaling concepts give insight into economics and various problems of relevance to biology and medicine.
个人分类: 金融学|0 个评论
分享 1994 Redux? But Not In Bonds
insight 2013-6-16 16:59
1994 Redux? But Not In Bonds Submitted by Tyler Durden on 06/15/2013 19:17 -0400 Bond Borrowing Costs Capital Formation Central Banks China Copper CPI ETC Exchange Traded Fund fixed Germany Gross Domestic Product High Yield Housing Market Hyman Minsky India Mexico Monetary Policy Recession recovery Switzerland Trade Balance United Kingdom Yield Curve In UBS' view, 1994 is critical for guiding investing today. The key point about 1994 was not that US bond yields rose during a global recovery. But that the leverage and positioning built up in previous years, on the assumption that yields would remain low, then got stressed. The central issue, they note, is that a long period of lacklustre growth, low rates and easy money induces individual investors, funds, non-financial corporates and banks to reach for yield. In many cases, they gear up to do it. And as Hyman Minsky warned; in this way, stability breeds leverage, and leverage breeds instability . Via UBS: 1994 Redux? ... Sebastian Mallaby has written an excellent account of the 1994 bond market blowout in ‘Hurricane Greenspan’, chapter eight of his book ‘More money than God’ (Bloomsbury press, 2010). In his depiction of the legendary hedge fund trader Michael Steinhardt – he describes how hedge funds, and a range of other financial institutions, chased convergence trades from 1990-1993 . They played term carry (borrowing short term to buy long dated bonds within the US) . They ran cross regional carry trades (borrowing in Germany or the US to buy Italian Spanish bonds as these countries prepared for EU membership) . And they rushed to buy assets that were priced off convergence trades ; emerging market property, peripheral banks. They even bought defensive growth stocks (with the idea that the PE on a defensive growth stock should converge to the inverse of the 10 year yield). We argue below that the set-up today is very similar to that in early 1994 . The danger in these trades is that a cyclical recovery, especially a global cyclical recovery, will cause yields to rise and compel policy makers to withraw accommodation. And that this can induce an outsized reaction in all the convergence trades ultimately priced off treasuries, as leverage is removed. This is why the central lesson from 1994 is that , after a long period of easy money, when a cyclical recovery kicks in and policymakers are setting to remove accommodation, at all costs avoid convergence trades and avoid assets that are priced off convergence trades . And the popular convergence trades of the past months have been; Emerging market credit Emerging market property Southern European sovereign debt Peripheral European sovereign debt US mortgage backed securities US and global high yield debt Global defensive growth stocks. So what brings us to think that we can use 1994 as a guide to investing for the rest of 2013? In the section below we highlight several key developments from 1990-1995 and the comparison with the current situation ; 1990-Feb 1994 The Fed ran a very easy monetary policy from 1990-early ’94 in an attempt to reflate the US economy in aftermath of the SL crisis. We have seen lower rates even easier monetary policy since 2009. US growth remained lacklustre throughout 1990-1993, going through a series of moderate ‘mini-cycles’. We have seen even more lacklustre growth over the past four years. US 10-year treasury yields fell from 9% to 5% from 1990-early 1994, as a recession and then disinflationary pressure pushed down inflation expectations. Treasury yields fell from 4.3% in 2007 to 1.4% in the summer of 2012. US banks hoarded treasuries. Lending remained lacklustre. Corporates hoarded cash paid back debt. From 1990-1994 Capital flowed into emerging markets . Asia boomed. The former USSR saw large inflows also. Capital flowed heavily into emerging markets from 2009-11, although it then slowed in 2H11 2012 as the Fed ended QE2. Credit spreads tightened from 90-94, and from 09-13. Commodities remained in the doldrums from 1990-1994. This was unusual, given the strong capital flows into emerging markets. But the implosion of the military/industrial complex in Russia from 1989 saw domestic demand for commodities collapse. Russia then exported nickel, aluminium, palladium, platinum, copper and oil to get hold of hard currency. Commodity prices came under intense pressure. This contrast is with the 2009-13 period – where capital flows restocking drove commodity prices higher from 2009-11, but where capital outflows, destocking and new supply drove prices lower in 2011/12. Headline CPI trended down , persuading many that there was no cause for rate hikes. We have seen a similar trend from mid-2001. The dollar trade weighted index range traded between 80 95 from 1990-1995 . An interesting development was that the dollar weakened while the US economy recovered through 1994, and while the Fed raised rates 225bps. The DXY has been range trading in a similar manner, broadly between 75 and 90 since 2009. The extended period of low rates and strong capital flows into emerging markets induced a huge build-up of leverage across financial non-financial institutions on a global basis . The strong flows of capital into emerging markets set off the procyclical growth dynamic we have described regularly. Capital inflows induce central banks to print their own currency to buy the dollars coming in. Bank deposits rise, and banks lend to construction and engineering companies. Growth inflation pick up. And with nominal rates sticky, real rates fall. That in turn incentivises procyclical gearing up to buy build houses, inventory and general fixed capital formation. The Asian tigers grew aggressively , and their stock markets boomed going into 1993. Emerging markets recovered in 2009/10, struggled into 2011/12 and then saw a patchy recovery until recently. The problem with the reflationary process in emerging markets is that it sows the seeds for its own destruction. Because the low real rates in EM induce excessive gearing fixed capital formation – compared to a more balanced allocation of capital, had real rates stayed steady above zero. This leaves misallocated capital, and the latent potential for bad loans to emerge when credit becomes scarce. It also causes a deterioration in the trade balance . Both make emerging markets increasingly dependent on capital flows to stay afloat. In many cases, emerging market governments will react to rising inflation by attempting to restrict credit growth (rather than raising rates). The problem with this is that it incentivises US dollar borrowing. Emerging market business finds it attractive to borrow in dollars when domestic inflation is rising , the domestic currency is appreciating, and domestic borrowing costs are higher than dollar funding. And it is even more attractive when the activity the loans are funding – from inventory building to FCF – sees price/cost rises. But when the trends reverse – the domestic currency depreciates, the dollar funding becomes more dear, the inventory values fall – then emerging market corporates can find themselves squeezed. Very rapidly. But it is not just EM . In the long history of financial crises, the ‘reach for yield’ during a slow growth and low yield environment has on multiple occasions set up the conditions for financial stress when yields eventually rose. The book ‘More money than God’ by Sebastian Mallaby (Bloomsbury, 2010), gives an excellent description of the leverage and yield enhancing structures that built up in the 1990-1993 period , and the carnage inflicted upon that leverage in 1994. Some examples include: Bank hedge fund carry trades – borrowing at the short end to purchase long dated bonds. Borrowing in USD and German marks to buy Italian and Greek long term debt Borrowing to buy high yield corporate debt. he use of interest rate swaps to generate yield enhancement. Leverage purchases of buy-to-let properties We have also seen a significant build up in leverage over the past four years . Buy-to-let investment has risen strongly in the US/UK/Switzerland/Scandinavia. Retail investors have become heavily exposed to credit through mutual funds and credit ETFs. Investors became very overweight long duration defensive growth and dividend yielding equities , at the expense of cyclical exposure. Investors have left themselves highly exposed to any kind of cyclical rally outside the US, as well as within it . Valuations (as we noted here ) are extremely varied. 1994 As macro activity in the US accelerated, corporates stopped hoarding cash and started to seek to borrow to expand their businesses. US banks, which had been hoarding treasuries, sold them to make way for increased corporate loans. Treasuries started to sell off . The Fed then responded to the steepening curve and the improving macro conditions by raising rates by 25bps in February 1994. This came as a surprise to the market, which was not aware of the Fed’s internal deliberations. The transcript of the February meeting indicates that Fed members were wary of a 1988/89 style spike in inflation if they did not start the process of tightening. Greenspan believed that the curve would flatten, as markets anticipated tighter policy moderated inflation expectations in the future. But that’s not what happened. The rise in rates instead dented the derivative trades predicated on no rise in yields, and it squeezed carry traders . That induced a more aggressive unwinding of treasury holdings, as leveraged carry trades unwound. And the Banks accelerated the sell off as they sold treasuries to make space for increased corporate lending. So the yield curve steepened over the year, with 10-year yields rising 306bps vs the 225bp rise in Fed funds. An array of casualties ensued , from Orange county, California, that went bankrupt due to its exposure to a series of exotic interest rate swaps. To a number of prominent hedge funds – which saw extreme losses in February 1994. Then there was the international fallout. The sharp increase in domestic demand for credit, combined with the increase in real rates induced powerful capital flows back to the US. This sucked liquidity out of several emerging markets, whose central banks had to retire domestic currency to repay the dollars exiting their countries. Soon, countries that had seen the most aggressive investment booms, which had done the most aggressive US dollar borrowing, and which suffered the largest current account deficits, came under intense duress. The Mexican peso crisis erupted, and the seeds were sown for a sustained deterioration in Asia, before the full collapse of the Asian crisis in 1997. One of the conundrums of 1994 was the US dollar. It would be logical to think that, with a sharp rise in US growth, in rates yields that the US dollar would have rallied. But it didn’t. It fell. An important reason was that the US recovery, while stronger than expected, was not a big surprise. But what was a surprise was the European recovery – after the sustained post-unification funk in Germany, and the Scandinavian banking crisis in 1992. In our view in commodity strategy – it was the relative surprises – which made Europe’s recovery much more unexpected, that triggered the currency move. This is particularly interesting today – with the broad consensus that the US dollar is going to rally, due to the more robust recovery in the US and the potential for tapering. But it is always worth keeping an eye on relative macro surprises. We see the potential for a counter trend fall in the US dollar . Now there are clearly some stark differences between today and 1994 . Back then interest rates were much higher. So 300bps on treasuries increased rates by three fifths. The same rise from the July low would treble rates. And certainly, the authorities are first talking about an extended period of QE tapering. We are still a distance away from actual rate hikes. The Fed is also much more transparent than it was under Greenspan in the early 1990s. Where conditions are similar is that a very large structure of leverage has built up on the back of low rates , from leveraged property credit buying, large retail exposure to yield enhancement products (high yield ETFs etc), earlier dollar leverage driven investment booms in emerging markets. So where are we now. It looks to us very similar to February 1994. The Fed’s continued insistence on talking tapering despite the recent rollover in US macro surprises has started to unsettle leveraged yield enhanced positioning . The US high yield ETF has come under severe pressure. The US mortgage spread has blown out relative to the US 30-year treasury yield. South African and Indian currencies are under pressure. India has responded by raising taxes on gold imports. In 1994, Mexico was the first to feel the brunt. Followed by South Korea in 1997. In 2013, South Africa is feeling the pressure. Although other emerging markets, notably China, continue to benefit. The next big question is; can the US withstand a higher cost of capital, like it did from 1994-98. In short, no! In the mid-late ‘90s, the US coped with a higher cost of capital in several ways. It enhanced productivity through a rapid adoption of tech. Corporates geared up, which ensured strong liquidity growth and ‘efficient’ balance sheets. Corporates went through a second round of ‘just in time’ inventory management and outsourcing. Consumers benefited from the strong dollar and falling commodity prices – seeing their disposable incomes improve. And the disinflation in EM translated to a downtrend in yields from 1994, which allowed for an acceleration in the housing market and an expansion of household debt. But we have a number of concerns that hint at vulnerability. The first is that the potential for sustained disinflation over multiple years is less, because yields are already low . Consequently, there is less scope for a sustained recovery in housing – beyond the initial flurry of demand from rising household formation. The sharp rise in mortgage spreads is one hint that this transition may be more difficult. The spread on mortgages may be particularly important for the leveraged buy-to-let investors , who have been heavily involved in the recent surge in housing sales. Because we understand that a large part of the buying is from investors then seeking to rent out the properties, we suspect that the follow-through consumer demand may not be as aggressive as previously imagined . If a household buys a house, taking on debt, it opens the floodgates to increasing debt fuelled buying of cars, household furnishings and white goods. A very different psychology comes from paying a month up-front on a rental. You are much more likely to cut back, to be more frugal. Government debt levels are clearly extended , and the deficit needs to be cut to prevent further deterioration A more subtle point is that the extended expansion of government spending as a share of GDP in response to the financial crisis is crowding out the private sector, and reducing the productive potential of the US economy. This stands in stark contrast with the tight control of government debt in the early 1990s under the Clinton administration . These suggest that it is much less likely that we see the US enter a ‘high plateau’ of growth as we saw from 1995-98 , where the US saw a powerful productivity credit fuelled boom while the emerging markets deflated. And it makes it more likely that the US stays on a lower trajectory, interspersed with periodic recessionary slowdowns in the years ahead. The point at which the market realises this would likely herald a significant risk-off event. Average: 4.4 Similar Articles You Might Enjoy: Scott Minerd's Detailed Pre-Mortem On What Europe's Bank Run Will Look Like, And Other Observations Must Read: Jim Grant Crucifies The Fed; Explains Why A Gold Standard Is The Best Option Gold And Silver Correction Possible But Store Of Value Demand - Especially From Asia To Support Central Bankers Are Not Omnipotent Bill Gross On Minsky's Take Of The Liquidity Trap: From "Hedge" To "Securitised" To "Ponzi" Your rating: None Average: 4.4 ( 5
个人分类: treasury yield|16 次阅读|0 个评论
分享 The Widening Chasm
insight 2013-5-9 10:52
The Widening Chasm Submitted by Tyler Durden on 05/08/2013 12:58 -0400 Corruption ETC Gross Domestic Product Guest Post recovery Unemployment Submitted by Charles Hugh-Smith of OfTwoMinds blog , An independent, critical account of the American economy would soon raise questions about the structural causes of inequality. That some sectors of the economy will be doing better than others is natural. If you're a landlord or mobile-apps coding genius in San Francisco, the economy is excellent. Those working in the vast North American oil-patch are experiencing a boom economy. Realtors in resurgent markets such as Miami are having their best year since the top of the bubble in 2007. This can be viewed through any number of lens, one of which is the inherent inequality of capitalism: capital and labor flow to what is most profitable at this point in time, and capital and labor left stranded in low-yield, declining sectors suffer poor returns and lower wages. This inequality can be seen as the systemic cost of a dynamic economy in which capital and labor are free to move to better opportunities. It can even be argued that the more dynamic and fast-changing the system, the greater the inequality, as those who move fast enough to take advantage of new opportunities reap most of the gain (The Pareto Distribution of 80/20 is often visible in these sorts of distributions). Economic systems that can be gamed by bribery or purchased political influence are also inherently unequal, as those with power are more equal than those without power. This is the classic feudal society or crony-capitalist kleptocracy. Those benefitting within the crony-capitalist kleptocracy will of course claim that the society is a meritocracy and their advantages are the result of their own hard work and brilliance (and perhaps luck if they are honest enough to admit to being lucky). As a result, it is difficult to tease apart the capitalist functions of the U.S. economy from the cartel-state, crony-capitalist kleptocracy that I call neofeudalism. What we do know is that the top 1/10th of 1% is reaping most of the income gains. We also know that household debt has far outstripped the growth rate of the economy as measured by GDP, evidence that much of the prosperity is based not on wealth creation or savings but on expanding credit: And we know that real income (adjusted for inflation) has declined. Since this is the median household income, we can project that the bottom 90% are actually doing much less well than shown here, as income gains mostly flow to the top 10%. Individuals are not powerless to change their circumstance. This is the basis of the American Dream (and also the Chinese Dream, Mexican Dream, Iraqi Dream, etc.) The question then becomes: how is the system "wired," i.e. what are the obstacles, incentives and disincentives presented to individuals who are trying to better their circumstance? It's important to ask this question, and to be honest in our assessment of victimhood, oppression and individual responsibility. The widening chasm refers to both the income chasm between the financier class (1/10th of 1%) and the 99.9%, and the chasm between the real economy and the official narrative of the economy. The essence of propaganda is to substitute an officially conjured narrative for independent critical thinking. In the American propaganda narrative, the central state and bank are admirably supporting a "recovery" that though uneven in places is soundly on the path to widespread prosperity. The primary support of this narrative is ginned-up statistics (bogus unemployment rate, etc.) and asset bubbles inflated by easy credit to the masses and unprecedented low-cost credit to the financier class. These are the basic tools of propaganda: choose a metric that you can control or game, and make that the measure of success. In the Vietnam War, the body-count of enemy combatants was the metric chosen by the propaganda machine to measure success. Unsurprisingly, stacks of dead civilians were duly counted to boost morale and to mask the failure of the war's managers. Nowadays the unemployment rate is the new body-count: a metric that can be gamed to reflect an illusory success. Just erase tens of millions of people from the workforce, count every 4-hour a week job and dead-reckon a few million jobs were created outside the statistical universe (the Birth-Death Model of small business creation) and voila, the unemployment rate magically declines even as the economy and the job market stagnate. The other metric of choice is the stock market, which has been inflated by central bank policies and identified as the gauge of recovery by a political class anxious to deflect inquiries into its systemic corruption and monumental policy failures. The official narrative carefully leaves the kleptocracy, crony-capitalism and cartel rentier arrangements firmly in place. As noted above, those benefitting from the cartel-state neofeudalism defend their perquisites as "natural," i.e. the result of meritocracy. This adds another layer of propaganda persuasion to the official narrative. An independent, critical account of the American economy would soon raise questions about the structural causes of inequality by asking cui bono , to whose benefit is the system arranged? If we can honestly say that the system's primary source of inequality is a dynamic economy that rewards the top 10% who are best able to deploy skills and capital, then that suggests one set of potential remediations. If however we find the system is unequal largely as a result of its cartel-state structure, then that suggests a political and financial reset is needed to clear the deadwood of corruption, malinvestment and state/central bank manipulation of statistics, finance and credit. We had to destroy the economy to save it. Indeed. New video with CHS and Gordon Long: Peak Consumption Average: 2.9 Your rating: None Average: 2.9 ( 10 votes) Tweet - advertisements - Republicans: be careful what you wish for. A brewing White House scandal could ruin Obama AND the Republican Party. Login or register to post comments 6333 reads Printer-friendly version Send to friend Similar Articles You Might Enjoy: Guest Post: Analysis of the Global Insurrection Against Neo-Liberal Economic Domination and the Coming American Rebellion Guest Post: The Gathering Storm Guest Post: The Many Faces Of Deleveraging Guest Post: 2011 - Catch-22 Year In Review Guest Post: The Decline Of The American Saver And The Economy
个人分类: inequality|20 次阅读|0 个评论

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