Briefly Speaking, from Victor Niederhoffer
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