Blog: Is Market Optimism a fool's hope? "There was never much hope. Just a fool's hope . . ." -Gandalf
Blog: Some Good News on the Inflation Front I often feel like I'm Doctor Doom these days. So I'm happy to report some good news. You probably noticed that while most analysts have credited the Fed rate hikes with bringing down inflation, I haven't been convinced that's the case. The
Blog: Inflation glide path - Linear or Non-linear? When it comes to inflation, investors are using "two dimensional thinking"
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.
Newsletter: The Fractal Market Hypothesis, the Infinite Variance Syndrome and the Nature of Risk Markowitz and Mandelbrot were both right. Previously unpublished research.
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: Recognition for Dr. Harry Markowitz - the Founder of Quantitative Finance. Harry Markowitz was not just the father of Modern Portfolio Theory.
Blog: Is the Fed truly "Anchoring" Inflation Expectations? "Well anchored" inflation expectations to the 2% target are another Fed pipe dream particularly if viewed using the Fractal Market Hypothesis.