Bilal Hafeez
With the holiday period almost upon us, I thought I’d share my favourite TV shows. I’m sure you’ll find something you haven’t seen. And send me your recommendations too! Industry (HBO Max/Now TV) Probably the best show on TV and a worthy binge after Succession ended. It’s based in the world of finance and packs […]
Bilal Hafeez
There have been some shocks in 2023. A notable one was the US regional bank crisis – no one was expecting it. After all, US banks were supposed to safe after all the post-GFC regulation. When I say no-one, there was one person, Dominique, who wrote in late 2022 that a ‘grey swan’ event for […]
Richard Jones
Football Focus Football is fast becoming a theme for my Grey Swans. Last year’s was on the Magpies. This year? There are several tempting possibilities. I looked at a couple of scenarios – Manchester City winning the treble again, or Aston Villa winning the Premier League. The odds on the former, between 14/1 and 16/1, […]
Karl Massey
The markets obey a version of the Heisenberg Uncertainty Principle. There is a limit to the precision with which certain pairs of physical properties can be specified simultaneously. Instead of ‘position’ and ‘momentum’, finance has a ‘what’ and a ‘when’. For the sake of the Grey Swan construct, let us imagine this ‘what’ occurs next year in […]
John Tierney
Because of ageing and disabilities, labour force participation is set to fall to 60% in coming years (from 62.8% currently). Absent offsetting growth in productivity, that will lead to slower GDP growth and tax revenue to address the aging problem
Sam van de Schootbrugge
The summer months are upon us. This means fewer office distractions and fewer short-term deadlines, creating the ideal opportunity for researchers to get stuck into meatier projects. In academia, this summer lull brings in a surge of publications in the months that follow (Chart 1).
Sam van de Schootbrugge
A Review of Financial Studies paper examines the pitfalls of mean-variance portfolio optimisation. It confirms a well-known result - historical sample moments are suboptimal proxies for true means and variances, and that optimisation methods estimating these past values have poor forecasting performance.
Sam van de Schootbrugge
A new paper in the highly rated Review of Financial Studies journal explains how momentum profits are strongly linked to the performance of winners and losers during the formation period.
Sam van de Schootbrugge
A popular Swiss Financial Institute research paper, co-authored by UC Berkeley researchers, reveals the importance of following the right Twitter accounts.
Sam van de Schootbrugge
A new FEDS working paper uses Twitter chatter to build a measure of credit and financial market sentiment. The authors use Keyword Clustering alongside FinBERT to assign sentiment scores to tweets. They then average over tweets to create sentiment indices at different frequencies.
Macro Hive
As of July 2023, we believe oil stocks are an attractive investment (via the energy ETF XLE). As we wrote back in April, “energy companies continue to emphasize returning cash to investors over ramping up exploration and production. Returns will come via higher dividends and share buybacks.”
Sam van de Schootbrugge
A new CEPR working paper, co-authored by UCL Professor Stephen Hansen provides an overview of the methods used for algorithmic text analysis in economics.
Sam van de Schootbrugge
A new CEPR working paper, co-authored by UCL Professor Stephen Hansen provides an overview of the methods used for algorithmic text analysis in economics.
Thorsten Wegener
Why does the option guy feel the need to write about algorithmic trading you might ask? Because I think my ilk is kind of responsible, some say in a big way, for the Frankenstein monster that seems to run markets to a large degree nowadays.
Macro Hive
We explain how defensive stocks can help protect your investments during market downturns. By combining defensive stocks with other types of stocks, such as growth stocks or value stocks, investors can create a diversified portfolio.
Macro Hive
Is it a good time to buy bonds? We explain how bonds work and reveal the latest insights on bond investment strategies in our monthly analysis.
Julius Probst, PhD
One of the more worrying global trends in recent decades is that economic growth in advanced economies has fizzled out. The economic historian Robert Gordon suggests the US economy is struggling with demographic trends like a rapidly ageing society, but he also believes that the easy gains from innovation have been made.
Sam van de Schootbrugge
A new Federal Reserve Bank of New York paper investigates the link between bitcoin and macroeconomic fundamentals.
Bilal Hafeez
We take ourselves far too seriously, but someone who didn’t was American physicist Richard Feynman (1918-1988).
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