Blog: Glass half-empty/full paradox comes to the markets
It's not how the market glass looks, but how it got there that matters.
Edgar E Peters
Blog: The Murphy's Law Approach to risk management
The expert knows more and more about less and less until he knows everything about nothing. -Mahatma Gandhi
Newsletter: The Fractal Market Hypothesis, the Infinite Variance Syndrome and the Nature of Risk
Markowitz and Mandelbrot were both right. Previously unpublished research.
Blog: When good news is bad news
When good news is bad news, the market is priced for perfection. Market conditions have turned Fragile.
Blog: Implied Vols may be losing their power
In the Market Uncertainty State Indicator (MUSI), I use implied volatility indices to measure equity risk, and an additional one for liquidity risk. They are the S&P VIX, the EuroStoxx VSTOXX, and the Oil OVX. For liquidity I combine these with the MOVE index, a measure of US
Blog: Is the Fed "Waiting for Godot?"
"Nothing happens, nobody comes, nobody goes. Its awful!" -Estragon
Blog: China's Minsky Moment?
Would a Minsky Moment in China spread to the rest of the world making Global Financial Crisis 2, or would it remain local?
Newsletter: Is the bond market going wayback?
A recent article in the Wall Street Journal suggested that it might be a good time to discuss the Inflation Level Regime Indicator (ILRI) and what it means for bond yields. In that article the author says that the "rule of thumb was that 10-year Treasury yields should be
Blog: "Soft Landing Predictions" of cycles past
The soft landing bandwagon is getting full, but history is against it.
Blog: Central Banks and "The Logic of Failure."
Studies of complex decision making may help us understand future monetary policy.