tag:blogger.com,1999:blog-213068062011-04-21T13:59:11.807-04:00Marc Shiversnoreply@blogger.comBlogger811100tag:blogger.com,1999:blog-21306806.post-707185908259170552008-04-05T12:20:00.000-04:002008-04-05T12:24:10.438-04:00

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-54208600406038592552007-10-05T10:45:00.000-04:002007-10-05T10:50:57.414-04:00

Click for larger image. Hat tip, Statistical Modelling...

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-66185718082921279322007-09-09T11:16:00.000-04:002007-10-03T19:16:25.234-04:00

QuantLogic 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-1150654726904736272006-09-03T01:15:00.000-04:002006-09-03T11:25:14.660-04:00

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-1154792889898596992006-08-05T11:15:00.000-04:002006-09-03T01:15:13.256-04:00

This 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-1151606751391247352006-06-29T14:45:00.000-04:002006-06-29T14:45:51.703-04:00

The 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-1150257441469759002006-06-13T23:52:00.000-04:002006-09-03T18:00:00.813-04:00

Ok, 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-1150167688608059052006-06-12T22:51:00.000-04:002006-06-13T11:42:31.610-04:00

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-1150154392849390482006-06-12T19:19:00.000-04:002006-06-12T19:31:36.873-04:00

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-1149819489026210162006-06-08T22:18:00.000-04:002006-06-08T23:04:56.116-04:00

... 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-1149563789202501012006-06-05T23:04:00.000-04:002006-09-03T11:21:32.026-04:00

I 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-1148650574576294172006-05-26T06:36:00.000-04:002006-06-07T10:23:27.696-04:00

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-1147904206189884262006-05-17T19:06:00.000-04:002006-06-17T15:51:10.046-04:00

While 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-1147286501540516872006-05-10T14:41:00.000-04:002006-05-12T09:36:15.853-04:00

Very 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-1146429320595227572006-05-03T07:35:00.000-04:002006-05-18T18:43:38.616-04:00

From 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-1146423951161186152006-04-30T15:05:00.000-04:002006-04-30T15:07:08.433-04:00

In 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-1146269608724375822006-04-28T19:53:00.000-04:002006-04-28T20:19:58.373-04:00

...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-1146230826301362032006-04-28T09:17:00.000-04:002006-04-28T09:27:06.670-04:00

Paul 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 afternoon

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1146170920642763922006-04-28T07:48:00.000-04:002006-06-09T23:45:37.780-04:00

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?” is

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1145997807460669292006-04-25T17:18:00.000-04:002006-04-25T19:57:16.176-04:00

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-1145978323379817292006-04-25T11:16:00.000-04:002006-04-25T11:18:44.200-04:00

The 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-1145633564385756862006-04-21T11:37:00.000-04:002006-04-21T11:39:52.843-04:00

Economist 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-1145390595679735992006-04-18T16:03:00.000-04:002006-04-18T16:28:59.446-04:00

Read 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 recent

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1145388697430470652006-04-18T15:31:00.000-04:002006-04-18T15:40:30.356-04:00

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-1144616122442221022006-04-14T13:45:00.000-04:002006-04-14T19:24:19.173-04:00

Martin 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 of

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1144725664216828632006-04-11T23:21:00.000-04:002006-04-12T09:20:44.230-04:00

...to solving really hard problems is the brutal, unsentimental elimination of all that is not necessary:Suppose that you are given a problem to solve, I don't care what kind of problem—a machine to design, or a physical theory to develop, or a mathematical theorem to prove or something of that kind—probably a very powerful approach to this is to attempt to eliminate everything from the problem

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1144777873227661822006-04-11T12:51:00.000-04:002006-04-11T23:57:14.196-04:00

My new hometown of Chicago deservedly tops the list of best skylines, at least among U.S. cities (and gets my vote for best-lit skyline in the world)......easily beating the depressing concrete jungle of New York City:Now if only Wall Street and all of my NYC friends would move here...

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1144689378343191552006-04-10T12:48:00.000-04:002006-04-10T14:22:50.450-04:00

WorldMapper is a great website that publishes cool distortions of world maps. Here's an undistorted map:And here's one where the countries are sized in proportion to how many passenger cars each country has:In 2002 there were 590 million cars in the world. That is one for every ten people: 140 million cars in the United States, 55 million in Japan. This contrasts with just nine million cars in

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1143838991911601222006-04-09T13:56:00.000-04:002006-04-09T14:54:46.486-04:00

Bloomberg Magazine had a great cover article last month about the new field of Neurofinance, which studies brain activity when making investing and economic decisions. The article mostly profiles the research of Brian Knutson, a professor of neuroscience and psychology at Stanford.That research has found, among lots of other interesting things, that most people respond neurologically to trading

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1144599168182111272006-04-09T12:12:00.000-04:002006-04-09T12:49:42.256-04:00

The Heritage Foundation, politics aside, publishes some thought-provoking research. It's latest report is a somewhat alarmist, but well-informed, analysis of the the potential vulnerabilities inherent in a global energy market that is dominated by unstable Middle Eastern oil producers: Reducing U.S. Dependence on Middle Eastern Oil: "To protect its energy security, including its economic health

Marc Shiversnoreply@blogger.com1tag:blogger.com,1999:blog-21306806.post-1144265715839895402006-04-05T21:34:00.000-04:002006-04-05T21:56:01.896-04:00

Richard Fisher is perhaps most recently remembered, regrettably, for his "eighth inning" comments from June of 2005, regarding when the Fed would stop raising interest rates:We are clearly in the eighth inning of a tightening cycle … We have the ninth inning coming up at the end of June.The Fed was at 3% then, which would put them in the 15th inning now.So with that kind of track record, why read

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1144209329066998502006-04-04T23:55:00.000-04:002006-04-05T19:24:22.503-04:00

Dallas Fed President Richard Fisher gave a speech yesterday that sounds like it was ghost-written by Tom Friedman: About two years ago, I was in London on business for Kissinger McLarty. I received a call from the head of Japan’s equivalent of the Business Roundtable, the Keidanren, asking me to “pop over tomorrow to give a luncheon and dinner speech.” ...I said I would be glad to do it if they

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1144192034271334122006-04-04T19:07:00.000-04:002006-04-04T22:54:41.530-04:00

The seemingly endless obsession with other people's money continues with New York Magazine's list of salaries of well-known New Yorkers. Aside from the usual suspects of CEOs and hedge fund managers, here are some standouts:Chelsea Clinton; Consultant, McKinsey & Co.; $120,000Tina Fey; Performer and head writer, Saturday Night Live; $1.5 millionSarah Jessica Parker; Gap spokeswoman; $38

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1143929077252834462006-04-01T17:04:00.000-05:002006-04-01T17:45:55.820-05:00

NPR's Jim Zarroli interviews Barton Biggs on his new book, Hedge Hogging, and shines some light on what it's like to start and run a hedge fund. The anecdotes are pretty funny, and right on the money. The word "obsessive" seems to come up a lot, appropriately enough....NPR now provides a welcome separate RSS feed for Zarroli's business-related stories, here.

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1143865944663573212006-03-31T23:32:00.000-05:002006-05-27T13:36:18.970-04:00

Top Hedge Fund Earners of 2005, according to Trader Monthly Magazine:1. T.Boone Pickens - estimated 2005 earnings $1.5bn +2. Stevie Cohen, SAC Capital Advisers - $1bn +3. James Simons, Renaissance Technologies Corp. - $900m - $1bn4. Paul Tudor Jones, Tudor Investment Corp. - $800m - $900m=5. Stephen Feinberg, Cerberus Capital Management - $500 - $600m=5. Bruce Kovner, Caxton Associates - $500m -

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1143848045489938602006-03-31T18:28:00.000-05:002006-04-01T14:00:14.800-05:00

Here the list of the 10 lowest paid jobs (out of 427 categories):418 Maids and housemen $16,646419 Early childhood teachers' assistants $16,138420 Food preparation occupations, n.e.c. $16,109421 Teachers aides $15,284422 Baggage porters and bellhops $14,970423 Substitute teachers $14,841424 Attendants, amusement and recreation facilities $14,637425 Bartenders $13,284426 Waiters'/waitresses'

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1143847727346670502006-03-31T18:22:00.000-05:002006-04-11T16:28:40.276-04:00

From the BLS's most recent National Compensation Survey, here are the top 25 highest paying professions in the U.S.:1 Physicians $128,6892 Airplane pilots and navigators $128,4063 Medical science teachers $121,2304 Judges $118,1345 Optometrists $116,4036 Lawyers $105,7167 Managers, marketing, advertising, and public relations $103,7048 Chief executives and general administrators, public

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1143573663684957262006-03-28T14:21:00.000-05:002006-05-10T14:58:10.906-04:00

"The slowing of the growth of real GDP in the fourth quarter of 2005 seems largely to have reflected temporary or special factors. Economic growth has rebounded strongly in the current quarter but appears likely to moderate to a more sustainable pace. As yet, the run-up in the prices of energy and other commodities appears to have had only a modest effect on core inflation, ongoing productivity

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1143568136450004092006-03-28T12:48:00.000-05:002006-03-28T13:13:42.140-05:00

Paul Kasriel puts out some of the best economic commentary around. He's on my rather short must-read list. Unfortunately, Norhtern Trust provides neither rss feeds nor email updates for his sporadic commentary, so I'll plan on including them in the QL feed.His latest piece looks at today's FOMC meeting:The drama on Tuesday around 2:15 pm EST won’t be that the Fed raised the funds rate by 25

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1143475572869630602006-03-27T18:06:00.000-05:002006-03-27T18:21:08.446-05:00

When I was in grad school in the mid 90s, finance academics largely dismissed individual investors as "noise traders," meaning that they didn't know what they were doing. Noise traders are people who, for example, buy and sell stock because Jim Cramer tells them to. There were plenty of papers documenting how little talent individual investors, as a group, had for picking winning stocks. The

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1142966579588407602006-03-26T19:14:00.000-05:002006-03-27T11:25:42.346-05:00

Each quarter when companies report their earnings, there are usually a handful of companies whose earnings are either surprisingly good, or shockingly bad. You can immediately recognize these companies by the post earnings announcement jump or plunge in their respective stock prices. So far so good. But now fast forward, say, three quarters. If you take a look at all the stocks that had

Marc Shiversnoreply@blogger.com1tag:blogger.com,1999:blog-21306806.post-1143316303346041742006-03-25T15:44:00.000-05:002006-03-25T15:49:39.576-05:00

This week's Economist profiles Vinod Khosla's efforts to transform the energy industry through his investments in alternative energy, specifically ethanol. The most notable part of the article is this very telling anecdote:The OPEC cartel is suspected by some of engineering occasional price collapses to bankrupt investment in alternative energy. Mr Khosla concedes that after he made his ethanol

Marc Shiversnoreply@blogger.com1tag:blogger.com,1999:blog-21306806.post-1143302378024645982006-03-25T11:05:00.000-05:002006-03-25T16:46:52.250-05:00

I've been using two new Google services recently, and they rock.The new Google Finance is MUCH better than Yahoo. If you haven't seen it yet, click over. Your first impression is probably going to be "huh, that doesn't look that impressive... there's not much stuff here." Now try typing in a stock ticker... cool, huh?Google Reader is only in beta, so it's still got some kinks to work out, but

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1143141043786016292006-03-23T18:05:00.000-05:002006-03-24T15:21:08.710-05:00

...your doctor or the weather man?The chart below summarizes results of two studies that looked at overconfidence in meteorologists and doctors. The hollow dots show meteorologists average accuracy of rain forecasts versus their predicted accuracy. The solid dots show the same for doctors' pneumonia diagnoses. Contrary to popular perception, weather forecasters are nearly perfectly

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1143074090089779082006-03-22T19:30:00.000-05:002006-03-22T21:26:15.726-05:00

Anne Sibert has written a highly readable and very interesting survey of the good, the bad, and the ugly of decisionmaking by committee. She summarizes several decades of social psychology research on group dynamics and looks at what lessons might be applied to central bank governance.From the abstract:There is a small, but growing, economics literature on the importance and effects of

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1142873772384387142006-03-20T11:43:00.000-05:002006-03-20T11:56:12.493-05:00

A new paper explains why stocks with low price-to-book ratios should have higher returns. Interesting and clever.AbstractI use a putty-clay technology to explain several asset market facts. The key mechanism is as follows: a one percent increase in revenues leads to a more-than-one percent increase in profits, since labor costs don’t move one-for-one. This amplification is greater for plants

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1142813018600210092006-03-19T19:03:00.000-05:002006-03-20T11:58:47.170-05:00

TAIW: In Saudi Arabia, the workweek is Saturday through Wednesday. The weekend starts on Thursday.Who knew?Hat tip: Crossroads Arabia

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1142697912562820642006-03-18T10:26:00.000-05:002006-03-22T09:51:45.383-05:00

This picture is another reminder that the world can be a much different place outside of our own backyards. This is Veronica's backyard in the Niger Delta: "It is always like this," Veronica said, gesturing at the columns, more than 60 metres high, of vertical flame that leap and roar from a tangle of pipelines at the oil plant station across the road. "Every day, every night. We no get darkness

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1142623957033750092006-03-17T13:58:00.000-05:002006-03-18T11:17:58.970-05:00

PIMCO's latest Cyclical Outlook features an interview with Paul McCulley on their collective outlook for the housing market:Q: ...What conclusions did the firm draw about the U.S. outlook at the March Forum?McCulley: The U.S. outlook is all about the property market, which has been the wind beneath consumers’ wings this decade. The property market is rolling over, but at this stage we’re only

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1142367646382538012006-03-14T15:20:00.000-05:002006-03-15T09:09:25.266-05:00

David Friedman makes an interesting argument on his blog that, due to insecure property rights, Hotelling's analysis of natural resource depletion underestimates the rate at which oil prices should rise:Owners of oil underground can choose when to pump and sell it. If the price of oil is rising fast enough so that oil in the ground pays a higher return than money above ground, it pays to leave

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1142304760391907102006-03-13T21:30:00.000-05:002006-03-14T21:06:56.703-05:00

The IMF held a conference call today reviewing its assessment of the economic impact of a potential avian flu pandemic. They expect a sharp, but temporary, drop in global GDP due primarily to absenteeism. Yes, absenteeism:QUESTION: I was wondering if you have any sort of idea what kind of impact a pandemic would have on global GDP.MR. MACKENZIE [Assistant Director, Research]: I think … that a

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1141864722275479682006-03-10T19:37:00.000-05:002006-03-11T19:07:18.250-05:00

One of the reasons I started a blog was to keep track of the things I found interesting from day to day. My intention was to save whatever news, articles or research struck a cord and then see what themes emerged. Well, the undertaking has been an embarrassment of riches, as I've found more really worthwhile topics than I've had time to digest. As a result, the meatier and more

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1142012307727319602006-03-10T12:32:00.000-05:002006-03-10T12:57:47.846-05:00

This gets my vote for best read of the day: How to be an expert.Your kindergarten teacher was right after all: you just need to apply yourself.

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1141959155988810422006-03-09T21:44:00.000-05:002006-03-11T17:18:48.960-05:00

The WSJ ran a front-page story today profiling a Paris-based math professor who teaches the equivalent of basic training for future quants:As derivatives have become one of the hottest areas for the world's biggest banks, Ms. El Karoui, 61 years old, has become an unlikely player in the business. Her courses at the prestigious Ecole Polytechnique and a state university, in such rarefied subjects

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1141946609294488362006-03-09T17:56:00.000-05:002006-03-19T13:55:54.470-05:00

Dan Yergin, chairman of CERA, has written an eminently sensible article on Energy Security in Foreign Affairs ($ req). His main point is simple: global energy interdependence is an unavoidable fact of life; the only way to achieve energy security is to ensure that the global energy supply chain is as robust to shocks as possible.The article is well worth reading in its entirety. Here are some

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1141781553185076392006-03-07T20:07:00.000-05:002006-03-09T15:11:05.383-05:00

Apparently, I was mistaken in my profile. The humuhumunukunukuapuaa is not Hawaii's state fish:Everyone thought the humuhumunukunukuapuaa was Hawaii’s state fish. As it turns out, the brightly colored fish with the excessively long name has been dethroned....The stubby-nosed, brightly striped and slightly aggressive little fish whose name few tourists even try to utter (it’s pronounced

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1141745937785111882006-03-07T10:38:00.000-05:002006-03-07T16:23:58.816-05:00

This article may well be the best thing I've read all year, even though it's three years old. Thanks to Tyler Cowen for the pointer:Caring For Your Introvert, by Jonathan Rauch:Do you know someone who needs hours alone every day? Who loves quiet conversations about feelings or ideas, and can give a dynamite presentation to a big audience, but seems awkward in groups and maladroit at small talk?

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1141743342943301452006-03-07T09:47:00.000-05:002006-03-11T21:19:27.660-05:00

Apropos the Dubai Ports World controversy:At the end of 2004, investors from Arab countries held just $4 billion in direct investment in the United States, according to Commerce Department data.British investors, by contrast, held $252 billion, Japanese investors held $177 billion, Dutch investors held $167 billion and German investors held $163 billion.From WaPo.com's MidEast Investment Up in

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1141671287357547172006-03-06T13:54:00.000-05:002006-03-06T23:25:25.020-05:00

The Center for Strategic and International Studies (CSIS) issued a new report last week analyzing the attempted terrorist attacks on Saudi Arabia's oil processing facility in Abqaiq.Excerpts:The Saudi security budget for 2005 ... includes $1.5 billion on energy security.... Surveillance from helicopters and F15 patrols operate around the clock, as do heavily equipped National Guard battalions on

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1141491048310014392006-03-04T12:35:00.000-05:002006-03-08T15:37:05.480-05:00

Here are some additional random snippets from Buffett's 2005 shareholder letter:On inflation pressures:In both our building-products companies and at Shaw, we continue to be hit by rising costs for raw materials and energy. Most of these operations are significant users of oil (or more specifically, petrochemicals) and natural gas. And prices for these commodities have soared. We, likewise, have

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1141492860888592222006-03-04T12:09:00.000-05:002006-03-04T12:22:21.533-05:00

Buffett is not a fan:Too often, executive compensation in the U.S. is ridiculously out of line with performance. That won’t change, moreover, because the deck is stacked against investors when it comes to the CEO’s pay. The upshot is that a mediocre-or-worse CEO – aided by his handpicked VP of human relations and a consultant from the ever-accommodating firm of Ratchet, Ratchet and Bingo – all

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1141487861901047982006-03-04T10:55:00.000-05:002006-03-04T15:42:29.310-05:00

More from Buffett's shareholder letter. In 2005, Berkshire lost $3.4 billion from hurricanes Katrina, Rita and Wilma. Here's his take on the global warming debate: It’s an open question whether atmospheric, oceanic or other causal factors have dramatically changed the frequency or intensity of hurricanes. Recent experience is worrisome. We know, for instance, that in the 100 years before 2004,

Marc Shiversnoreply@blogger.com1tag:blogger.com,1999:blog-21306806.post-1141487339370404032006-03-04T10:48:00.000-05:002006-03-04T19:25:01.213-05:00

Warren Buffett continues his perennial flogging of derivatives in his 2005 shareholder letter. The excerpt is fairly long. The entire letter, which is worth a read, is here. My favorite snippets are here. My comments on derivatives are below.Long ago, Mark Twain said: “A man who tries to carry a cat home by its tail will learn a lesson that can be learned in no other way.” If Twain were

Marc Shiversnoreply@blogger.com1tag:blogger.com,1999:blog-21306806.post-1141226826512098302006-03-02T23:44:00.000-05:002006-03-02T23:45:27.106-05:00

Since I'm on the topic of how to damage oil infrastructure (see previous post), here's a sure-fire way to do it: send in a cat-5 hurricane. According to the Mineral Management Service (MMS), six months after Hurricane Katrina hit, 24% of Gulf oil production and 15% of gas production is still off-line.The International Herald Tribune ran a nice article yesterday describing just how hard it is to

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1141266647542817172006-03-02T20:20:00.000-05:002006-03-02T20:28:36.093-05:00

The recent attempted bombing at the Abqaiq oil processing plant in Saudi Arabia raised concerns about just how vulnerable the world's energy supply really is.Stratfor's recent Terrorism Intelligence Report (available free via email here) does a great job (as usual) of getting to the heart of the matter:The energy industry is extremely easy to hit, particularly in the Middle East. There are

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1141062710054368472006-02-28T22:14:00.000-05:002006-03-05T10:48:35.126-05:00

A growing number of people are convinced that the next big thing in energy production is actually very tiny: genetically bioengineered microbes.Among them is Craig Venter, who's new firm, Synthetic Genomics, is profiled in the Washington Post:Craig Venter, maverick biologist, wants to cure our addiction to oil. To do so, he proposes creating a designer microbe ... to turn crops such as switch

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1141096728753814222006-02-27T21:37:00.000-05:002006-03-11T21:26:00.326-05:00

Bloomberg has started podcasting Tom Keene's Bloomberg on the Economy:Weekdays, Tom Keene interviews leading economists, politicians and strategists. Longer interviews that go beyond the headlines to provide a depth of economic analysis found nowhere else in the media. Podcast ready, these interviews address the economic news of the moment — and provide context and perspective that is a

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1140920342815165072006-02-25T21:15:00.000-05:002006-03-11T21:27:03.356-05:00

Excerpts:One of his projects is an attempt to incorporate evolutionary psychology and evolutionary dynamics into modern finance with his Adaptive Market Hypothesis .... AMH argues that investors use trial and error to establish rules of thumb in the markets. [T]hey confront changes in the market that render some strategies obsolete. The survivors innovate, and come up with new ways of making

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1140911919011691312006-02-25T18:35:00.000-05:002006-03-11T21:28:07.206-05:00

The Federal Reserve Bank of Richmond is now providing a very welcome podcast feed for (Bank President) Jeffrey Lacker's speeches. No such luck yet from the other eleven branches or the Board of Governors, but Atlanta, Chicago, Richmond and New York do provide very useful RSS feeds for research, speeches, and other announcements.

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1140757744561835842006-02-24T00:09:00.000-05:002006-03-11T21:29:29.450-05:00

Scott Adams has some advice for new graduates. Some of it hits pretty close to the bone:Your hard work will be rewarded. Specifically, your boss’s boss will reward your boss for making you work so hard.There’s no such thing as good ideas and bad ideas. There are only your own ideas and other people’s. If you want someone to like your idea, tell him he said it last week and you just

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1140634755502882822006-02-22T13:59:00.000-05:002006-02-26T14:16:26.286-05:00

According to a new study, our brains work better if we don't try to think too hard. The New York Times summarizes the study:The research team... had 80 students choose among four cars based on a list of attributes for each, like age, gasoline mileage, transmission and handling. After presenting the attributes in quick succession, the researchers instructed some students to think carefully about

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1140479692281993272006-02-20T18:44:00.000-05:002006-03-11T21:31:47.140-05:00

(clipped from Paul Danielson's blog comments)

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1140400606882362892006-02-19T20:56:00.000-05:002006-03-13T17:34:43.863-05:00

When I was in graduate school, my math advisor (Marvin Ortel) repeatedly drummed into my head this piece of wisdom about learning and understanding math. He said:If you can't draw a picture of it, you don't really understand it.Thankfully, it stuck. Here's a picture that perfectly illustrates why it's a bad idea to use aggregated data in statistical modeling (hat tip: Andrew Gelman):For the

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1139621449637977352006-02-10T20:30:00.000-05:002006-03-11T21:36:12.556-05:00

According to Bloomberg, Bush has nominated a 35-year-old White House aide to the Federal Reserve's Board of Governors:Bush's nomination of the 35-year-old White House aide [Kevin Warsh] -- a lawyer by training who would become one of only two members of the Fed's seven-member board of governors without a Ph.D. in economics -- has been greeted by criticism and bewilderment by some former Fed

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1138242374192517572006-01-25T20:02:00.000-05:002006-03-11T21:49:50.476-05:00

Today's WSJ Econoblog section presents a discussion between James Hamilton of Econbrowser and Kash Mansori of Angry Bear on The Perils of Forcasting. Dr. Hamilton provides a spot-on anecdote about just how much art there is to even the most quantitative investment process:I spoke recently with the manager of a fund with one of the best forecasting records of anybody in the business, and was

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1138216973200616332006-01-25T14:22:00.000-05:002006-03-15T20:35:53.700-05:00

Adam Lashinsky and Nelson D. Schwartz have a nice overview in Fortune this week about the mainstreaming of ethanol for fuel (hat tip, Daniel Gross), with major investors showing plenty of interest. It provides yet another reason to doubt that long-term oil prices can stay as high as they are today.The next five years could see ethanol go from a mere sliver of the fuel pie to a major energy

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1137985667647186502006-01-22T22:07:00.000-05:002006-03-12T01:10:06.526-05:00

In keeping of the theme of the previous Businessweek post, Andy Mukherjee has an excellent column about educational priorities:U.S. Students Need More Math, Not Mandarin: "Jan. 22 (Bloomberg) -- Fear of China is making Americans so nervous that some of them have stopped thinking rationally."...[U.S. Senate Foreign Relations Committee], noting that U.S. schools have fewer than 50,000 students

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1137959544135032052006-01-22T14:50:00.000-05:002006-03-12T01:12:22.526-05:00

... and it's about time. Business week published a cover story last week on how mathematicians are starting to insinuate themselves into virtually every part of the business world:The world is moving into a new age of numbers. Partnerships between mathematicians and computer scientists are bulling into whole new domains of business and imposing the efficiencies of math. This has happened before.

Marc Shiversnoreply@blogger.comtag:blogger.com,1999:blog-21306806.post-1137959424986993272006-01-22T14:18:00.000-05:002006-05-18T19:00:58.086-04:00

It's already three weeks into 2006, but I only today started noticing all the blogs posting prediction for 2006 (e.g. Calculated Risk). So here are some of my own:1. Housing prices will be flat in 2006 (+/- 2%), with only small declines on the coasts.2. U.S. real GDP will grow by 2.5%-3%, led largely by a continuation in consumer spending, and not by a CapEx boom.3. The Fed stops at 4.5%.

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1137877875265754882006-01-21T16:11:00.000-05:002006-01-21T16:28:42.796-05:00

There have been a raft of stories recently about the various and potential oil supply problems causing high oil prices. E.g.:Forget Cheaper Oil in 2006?: "Political turmoil in Iran and Nigeria, with the possibility -- however unlikely -- of U.S. intervention with Tehran, has traders back on edge"And no shortage of articles about accelerating oil demand growth. E.g.:World demand for crude to

Marc Shiversnoreply@blogger.com0tag:blogger.com,1999:blog-21306806.post-1137868777580945472006-01-21T13:27:00.000-05:002006-01-21T13:49:56.386-05:00

I've heard there's a new blog started every couple seconds. Most of them (I'm guessing deservedly) have only a handful of readers, if any. I suspect this will be one of those blogs. So why am I bothering? Well, because I see so much stuff pass through my rss reader each day that even the good stuff only gets a minute or two of attention. This blog is my way of saving the notes, articles,

Marc Shiversnoreply@blogger.com5