Very little activity on the first day of futures trading. Apparently the CME received a flurry of interest in the market--lots of phone calls and requests for information--but very few participants were willing to put their skin in the game.
There is a very real concern that this market may be so thin as to be ineffective. In fact, it may become biased and merely reflective of the prevailing sentiment in the overall housing market. Unless speculators or long-term hedgers are willing to go long, this market simply won't work.
Continue reading "Day 1 CME Housing Futures" »
The Chicago Mercantile Exchange launches exchange-traded housing market index based futures and options market. We've discussed these quite a bit on the Patrick.net blog; most recently on this thread.
The CME's official web page for these new markets can be found here.
Live real-time futures quotes are here.
You can track the San Francisco Bay Area's futures prices here. SFRY is the index.
Direct closing quotes from the CME are here.
In this thread we solicit trading strategies from our readers. Speculation or hypothetical hedging are strategies are both welcome. We'll select the best portfolios we come up with and track them to see our hypothetical performance.
Continue reading "CME Housing Futures and Options" »
A lot of discussion lately centers around an apparently growing feeling among many people that things are changing. The is no shortage of uncertainty in today's economy, that much is for sure. In threads I host on Patrick.net (a Bay Area real-estate focused blog), recurring topics of interest include the real-estate bubble, risks to the mortgage-backed security industry, overall credit risks, the US current account deficit, the weakness in the USD, oil and energy prices, and inflation (or deflation) risks.
What is one to do? Can a reasonable person either hedge themselves or perhaps even speculate on the future in a responsible manner? This discussion is about what exchange traded funds (ETFs) one might use, and how to use them responsibly.
Continue reading "Using ETFs as Hedges and Speculations" »
From the March 13, 2006 Financial Times: ”Opposition grows to earnings forecasts”. With Pfizer joining a growing group of heavyweight companies opting to eschew the practice of providing earnings guidance, a consensus is forming among chief executives, analysts and regulators against the practice.
Continue reading "On Corporate Earnings Forecasts" »
An interesting application of genetic algorithms (GA) and neural networks came up in a previous discussion relating to portfolio optimizations. Of course, the classic portfolio optimization problem is primarily a linear system based on maximizing the sharpe ratio, which essentially relies upon measures of mean CAPM return and standard deviation.
Newer techniques like the Black Litterman model also involve quite a bit of linear programming, but also inject a degree of heuristic judgement. The question is, could GAs be applied to such optimization problems to produce a more flexible, self adaptive model?
Continue reading "Genetic Algorithms and Portfolio Optimizers" »
Very little activity on the first day of futures trading. Apparently the CME received a flurry of interest in the market--lots of phone calls and requests for information--but very few participants were willing to put their skin in the game.
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