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: Is the Yield Curve un-inverting or steepening? What would George Carlin say? Whichever you prefer, its not good news.
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 Previously unpublished research.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: 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: 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
Newsletter: El Nino and Commodities The El Nino Southern Oscillator appears to affect the demand for oil and the supply of grains.
Blog: Recognition for Dr. Harry Markowitz - the Founder of Quantitative Finance. Harry Markowitz was not just the father of Modern Portfolio Theory.