tag:blogger.com,1999:blog-213068062012-04-15T21:07:23.843-04:00QuantLogicMarc Shiversnoreply@blogger.comBlogger81125tag:blogger.com,1999:blog-21306806.post-707185908259170552008-04-05T12:20:00.000-04:002008-04-05T12:24:10.438-04:00Why They Call Them "Liar Loans"...This is from a paper called Did Securitization Lead to Lax Screening? Evidence from Subprime Loans 2001-2006 (Spoiler Alert: the answer is yes.)This is a graph of no-doc and low-doc mortgage origination by FICO score. The red line is the 620 FICO cutoff for securitizing the loans.The graph below shows the subsequent delinquency rates for loans on either side of the cutoff (615-620 FICO scores, Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-54208600406038592552007-10-05T10:45:00.000-04:002007-10-05T10:50:57.414-04:00So That's What ANOVA means...Click for larger image. Hat tip, Statistical Modelling...Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-66185718082921279322007-09-09T11:16:00.000-04:002007-10-03T19:16:25.234-04:00The Talking FedQuantLogic is mitosizing!Going forward I'm splitting off all the Federal Reserve related stuff and posting them at a new blog: The Talking Fed.Here's the RSS feed.The first two posts are up now:Getting up to speed...Anatomy of a Recession (Ed Leamer at Jackson Hole)Topics related to quantitative finance will stay here at QuantLogic.Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1150654726904736272006-09-03T01:15:00.000-04:002006-09-03T11:25:14.660-04:00Is Your Desk Cluttered?It's rare that I come across something that strikes me as both absolutely true, but generally under-appreciated. This quote by Charlie Munger (Warren Buffet's partner) is one of them:I have said that in my whole life, I've known no wise person over a broad subject matter area who didn't read all the time--none, zero. Now I know all kinds of shrewd people who by staying within a narrow area can Marc Shiversnoreply@blogger.com4tag:blogger.com,1999:blog-21306806.post-1154792889898596992006-08-05T11:15:00.000-04:002006-09-03T01:15:13.256-04:00The Politics of Quant TradingThis reminds me of what it's like to convince a non-quantitative boss to devote more capital to quantitative trading strategies: So for aspiring quants and quant-traders, here are some hard-learned words of wisdom: never take a job working for someone who knows less math than you do.Marc Shiversnoreply@blogger.com4tag:blogger.com,1999:blog-21306806.post-1151606751391247352006-06-29T14:45:00.000-04:002006-06-29T14:45:51.703-04:00FOMC Statement, June 29 2006The FOMC raised rates 25 bps, as expected, but the statement emphasized several factors that are working to restrain growth and inflation, notably the lagged effect of previous interest rate hikes and ongoing productivity gains, which are keeping growth is unit labor costs down. Fed funds futures are now pricing in slightly lower odds of additional tightening, but are still expecting another Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1150257441469759002006-06-13T23:52:00.000-04:002006-09-03T18:00:00.813-04:00The Evolution of DanceOk, this is completely off topic, but I can alway use a good laugh. Make a note of what's playing when you first start to smile. I'll bet the music that does it is from your high school years.Thanks to Brad for the link.Marc Shiversnoreply@blogger.com6tag:blogger.com,1999:blog-21306806.post-1150167688608059052006-06-12T22:51:00.000-04:002006-06-13T11:42:31.610-04:00Bernanke Explained...Brad DeLong explains the recent market turmoil, monetary policy and Ben Bernanke in just 202 seconds during his morning coffee. Watch it twice, then watch it again, then forward to your friends. It's good stuff.And if you want to get a more detailed picture of what Brad's talking about, read these two Bernanke speeches from 2004: The Logic of Monetary Policy and Central Bank Talk and Monetary Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1150154392849390482006-06-12T19:19:00.000-04:002006-06-12T19:31:36.873-04:00Bernanke's Not A Bird...I don't usually repost other blog posts here, preferring instead to simply syndicate the ones I like in my QLReadingList feed, but occasionally I read something that resonates so strongly that I wish I had written it:Econbrowser: Hawk or dove?The pundits continue to be frustrated in their efforts to pigeonhole the Federal Reserve Chair.There is an interesting tabular summary from Liz Rappaport Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1149819489026210162006-06-08T22:18:00.000-04:002006-06-08T23:04:56.116-04:00Rajan reads the Hedge Fund industry...... and hit's the bullseye.Raghuram Rajan, the IMF's research director, gave a speech today about the recent massive selloff in worldwide stocks and other risky assets. The picture he paints of hedge funds ain't pretty, but it sure is accurate:Monetary Policy and Incentives, by Raghuram G. RajanIn recent days, we have seen a retrenchment of investors from a broad range of risky assets, Marc Shiversnoreply@blogger.com2tag:blogger.com,1999:blog-21306806.post-1149563789202501012006-06-05T23:04:00.000-04:002006-09-03T11:21:32.026-04:00The CFA ExamsI took the CFA level III exam this past weekend. Now that I’ve taken all three exams, I have some thoughts on the experience.First, the curriculum is worth studying. I initially signed up for the exams after looking through a level 1 study guide and thinking that I wanted to know the material better. In fact, I think it’s fair to say that anyone working in investment management should know Marc Shiversnoreply@blogger.com9tag:blogger.com,1999:blog-21306806.post-1148650574576294172006-05-26T06:36:00.000-04:002006-06-07T10:23:27.696-04:00More Money, More Money, More Money (or Who's Got Paid in 2005)Alpha magazine just published its list of highest paid Hedge fund managers:1. James Simons $1.5 billion Renaissance Technologies2. Boone Pickens $1.4 billion BP Capital Management3. George Soros $840 million Soros Fund Management4. Steven Cohen $550 million SAC Capital Advisors5. Paul Tudor Jones $500 million Tudor Investment6. Edward Lampert $425 million ESL Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1147904206189884262006-05-17T19:06:00.000-04:002006-06-17T15:51:10.046-04:00Finding a Job in FinanceWhile browsing around the Wilmott Forums, I stumbled upon a really excellent article by Emanuel Derman about how to get a quant job in finance (pdf). It's packed with good advice:I grew up believing, and still believe, that quantitative finance is in essence a multidisciplinary enterprise. To be effective, you must learn finance, mathematics and programming. The latter is critical because most Marc Shiversnoreply@blogger.com1tag:blogger.com,1999:blog-21306806.post-1147286501540516872006-05-10T14:41:00.000-04:002006-05-12T09:36:15.853-04:00FOMC Statement, May 10 2006Very hawkish in tone again, even though they aren't saying anything they haven't said repeatedly in speeches since the last meeting. The key statement change is "further policy firming may yet be needed to address inflation risks." Expect a lot more Fed speeches that emphasize inflation risks and energy price pass-through. Nevertheless, unless we see significant increases in unit labor costs, Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1146429320595227572006-05-03T07:35:00.000-04:002006-05-18T18:43:38.616-04:00How To Start A RevolutionFrom Brad DeLong's Foreign Affairs review of John Kenneth Galbraith: His Life, His Politics, His Economics, by Richard Parker:To start a revolution, you need a doctrine that has three qualities:it can be summarized in a single sentence,it provides the young with an excuse for ignoring their elders, andit tells the young what they can do to further the revolution.He's actually referring only to Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1146423951161186152006-04-30T15:05:00.000-04:002006-04-30T15:07:08.433-04:00The Alaska PipelineIn 1975, Fairbanks Alaska was the richest city in the U.S. Back then, its average income was almost twice as high as Stamford, CT, which usually tops the list.Last week, PBS's American Experience began airing a fascinating documentary on just what made Fairbanks so very rich back then. The boom was fueled by the construction of the massive Alaska Pipeline:There were only two police officers Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1146269608724375822006-04-28T19:53:00.000-04:002006-04-28T20:19:58.373-04:00How do Republicans keep a straight face......while spouting so much nonsense about gasoline prices?The Democrats are just as bad. If I were a congressman of either party, I'd be too embarrassed to show my face to anyone with a three-digit IQ.Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1146230826301362032006-04-28T09:17:00.000-04:002006-04-28T09:27:06.670-04:00A Housing ConundrumPaul Kasriel, in today's Daily Global Commentary (pdf), looks at the new home sales data and scratches his head:The Housing Market Environment – Government Stats vs. Company StatsIt was reported yesterday by the Census Bureau that new single-family-home sales rose 13.8% in March. Hmm. All this talk about the housing sector weakening must be just that – talk. But wait a minute. Yesterday afternoonMarc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1146170920642763922006-04-28T07:48:00.000-04:002006-06-09T23:45:37.780-04:00Is the world running out of oil?With the relentless rise in oil prices over the past three years, that question has been asked a lot, with surprisingly little agreement on the answer and a lot of muddle thinking in the analyses. That’s perhaps understandable, since the issue is a complex one. But when you’re trying to tackle a complex problem, it helps to start by asking the right question, and “Are we running out of oil?” isMarc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1145997807460669292006-04-25T17:18:00.000-04:002006-04-25T19:57:16.176-04:00The Poor Stay Poor...I've been playing around with the BEA's Local Income data, and was struck by how much has changed since 1975, and how much has stayed the same. Back then, thanks to high oil prices, Fairbanks and Anchorage, Alaska were the two richest metropolitan areas (MSAs) in the country. The three poorest MSAs were Brownsville, Laredo and McAllen, all on the Texas-Mexico border.The graph below shows the Marc Shiversnoreply@blogger.com3tag:blogger.com,1999:blog-21306806.post-1145978323379817292006-04-25T11:16:00.000-04:002006-04-25T11:18:44.200-04:00Rich Neighbor, Poor NeighborThe BEA released their 2004 Local Area Personal Income (pdf) today, which gives average income by locality throughout the U.S. Here are the top and bottom ten:The BEA has local income data going back to 1969, with some interesting trends. More on that later.Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1145633564385756862006-04-21T11:37:00.000-04:002006-04-21T11:39:52.843-04:00The Undercover Economist, or How To Turn Wheat Into ToyotasEconomist David Friedman observes... that there are two ways for the United States to produce automobiles: they can build them in Detroit, or they can grow them in Iowa. Growing them in Iowa makes use of a special technology that turns wheat into Toyotas: simply put the wheat onto ships and send them out into the Pacific Ocean. The ships come back a short while later with Toyotas on them. The Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1145390595679735992006-04-18T16:03:00.000-04:002006-04-18T16:28:59.446-04:00How To Become A Fed Watcher, Step OneRead Janet Yellen's speeches. She's the president of the Federal Reserve Bank of San Francisco and a professor at my alma mater, Berkeley's Haas School of Business. But most importantly, she gives incredibly clear, understandable, and highly informative speeches. There is, I think, no better source for a broad, high-level understanding of the what's going on in the U.S. economy.Her most recentMarc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1145388697430470652006-04-18T15:31:00.000-04:002006-04-18T15:40:30.356-04:00What On Earth Can The Iranians Be Thinking?David Frum of the American Enterprise Institute has a nice Game Theory 101 level article on the Iranian Mullahs Nuclear Mind Games: Suppose, reader, that you were a mad Iranian mullah determined to obtain nuclear weapons at the earliest opportunity. Would you brag and boast and taunt the West--before you had actually finished your work? Or would you keep very still and quiet, denying everything Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1144616122442221022006-04-14T13:45:00.000-04:002006-04-14T19:24:19.173-04:00How To Think About GlobalizationMartin Wolf, economics commentator extraordinaire, gave a three-part lecture series about Fixing Global Finance at the School of Advanced International Studies at Johns Hopkins University last month. The lectures along with PowerPoint slides are all online at the link above.I just finished watching the first lecture, which provides a gripping (yes, gripping) and erudite retelling of the story ofMarc Shiversnoreply@blogger.com0