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Joel Nelson
Lives in 東京
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Designed to serve as a set of new benchmarks as well as to provide investable underlyings and analysis tools for investors, today SSE and CSI together announced the ...
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OSE released their monthly futures and options summary yesterday. Slightly strange in that it doesn't have any mention of the JNIV futures (and late anyway - end of June for a May trading summary!?). Does highlight a growing night session especially for N225 Mini's - 1/3 of Mini volume done at night in May.
先物・オプションレポート最新版. データの取扱いについて. 2012年6月号(Vol.24 No.6). 2012年5月の概況. 日経225先物 取引高は,165万3323単位(対前年同月比54.6%増,うちナイト・セッション33万6496単位:対日中比25.6%)となった。 日経225mini 取引高は,1187万7341単位(対前年同月比69.1%増,うちナイト・ ...
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Joel Nelson

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The +Financial Times had a recent article re: the Axa case demonstrating a need for quant funds to prioritize and increase the scope of legal. The article suggests even having legal review and codify workflows for things like data cleansing and bug fixes.
Although large funds won't look forward to the increased costs, won't this become yet another competitive advantage for them over smaller funds? If this becomes something that sponsors expect to see, this could be another major barrier to entry for a start up quant fund.
#quant #hedgefund #legal
It sounds like an episode from the TV drama The Good Wife. Ambitious government (SEC) lawyers end the career of Barr Rosenberg, the most distinguished and influential quantitative analyst (both academ...
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+Reuters article on Chinese regulation changes intended to promote expansion of the domestic brokerage business. Among other details, the article mentions plans "to slash the investment threshold for brokerages' wealth management products for individuals to 10,000 yuan from 50,000 yuan".
SHANGHAI (Reuters) - China is rolling out sweeping brokerage reforms to nurture future global investment banks that officials hope could eventually compete with the likes of Goldman Sachs
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CHi-X Japan to offer shares, size, and restricted list pre-trade risk checks at the PTS. Looks like they collaborated with CS for the implementation.
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SKOR, Korea Small-Cap ETF from IndexIQ, made +IndexUniverse's "Top 10 Surprising ETF Closures" list. IndexIQ's announced July 6th they would redeem all outstanding units Aug 22 2012. AUM was about $6M end June 2011.
ETF closings are hardly surprising, but some do leave a bit of surprise in their wake.
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Have been thinking loans and CLO's are potentially very appealing. This article from +Pensions & Investments highlights gives examples of many pensions getting involved in this market.
Consultants are starting to steer pension fund clients into leveraged loans and other forms of private credit, little understood investments into which few funds have ventured before.
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Korean FSC's English blog posting some comments on plans for revisions to the Capital Markets Act. Re: markets, pretty much in-line with news flow since last year - showing a lot of caution, but wanting to move ahead with promoting alternative trading venues (ATS) while prioritizing central counterparty clearing for OTC derivatives by end 2012.
Reasonably, the biggest issue rising as a hot potato in the Korean financial circles is legislating the revised plan of the Financial Investment Services and Capital Markets Act (also known as the ......
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OptionsCity to try out a App Store type model for automated trading strategies and algos. Maybe not a bad idea for execution algorithms?
Chicago – OptionsCity Software, a leading provider of electronic trading solutions,announced today that it has launched Algo Store™, an online algor
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One of the few global market neutral tenders I have seen so far this year. The alpha mandates are "unfunded" though - is this the most common arrangement for European/US pensions?

"... we don't allocate any capital at all to the (active) manager,"
Mr. Ragnartz said. "They have to finance their own positions"
AP7, Stockholm, is searching for 10 managers to run a notional €2 billion ($2.6 billion) in unfunded and market-neutral equity and currency.
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-1 Asia dark pool
Chi-East Pte Ltd., the dark-pool stock operator jointly owned by Singapore Exchange Ltd. (SGX) and Chi- X Global Inc., is closing down after trading volumes failed to meet its expectations.
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Joel Nelson's +1's are the things they like, agree with, or want to recommend.
FT Alphaville » Risk on/risk off is changing
ftalphaville.ft.com

A cornerstone of the FX markets since the onset of the global financial crisis has been the negative correlation between the USD and US data

Macro Man: Losing one's conviction
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Team Macro Man are really struggling. Struggling to find something to say that they haven't said already and struggling to work out why

Econbrowser: U.S. GDP: not a recession, but still not very encouraging
www.econbrowser.com

A key reason to be concerned about continuing below-average GDP growth is Okun's Law, which originally held that to get the unemployment

Return of the Mac
www.economist.com

FOR more than 25 years, The Economist has been producing Big Mac indexes. At last, this burgernomics thing seems to be catching on.

You cannot understand the economy without...
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“You cannot understand the economy without understanding the markets, and you cannot understand the markets without trying to beat them.” -

Calculated Risk: A Different Look at Inflation: MIT's Billion Price Project
www.calculatedriskblog.com

A top ranked economics and finance blog with a focus on the housing market

Japanese Equities Herald Return to Inflation
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Are Japanese equities signaling that the country's era of deflation is finally coming to an end?

Alea
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johnlempka liked this. fish-knife liked this. pegobry reblogged this from alea · alea reblogged this from rustbelts · artyucko said: “in the

Social Networks and Japanese Democracy: The Beneficial Impact of Interpe...
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Ikeda and Richey aim to determine whether Confucian values in Japan -- such as obedience to hierarchy and a preference for social harmony ov

Humans think like monkeys goo.gl/NhQ7S— Alea...
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“Humans think like monkeys goo.gl/NhQ7S — Alea (@Alea_) February 20, 2012” Abstract When information is incomplete but a choice must be made

Court Overturns Conviction of Ex-Goldman Programmer
dealbook.nytimes.com

A federal appeals court reversed the conviction late Thursday of Sergey Aleynikov, a former Goldman Sachs programmer found guilty of stealin

Econbrowser: Inflation expectations and the Fed
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The inflation rate over the longer run is primarily determined by monetary policy, and hence the Committee has the ability to specify a long

Econbrowser: Wealth creation
www.econbrowser.com

It's a strategy that works for individuals, and can work for the entire nation as well. If you can figure out a way to find resources wh