Ho John Lee’s Weblog

Got a relatively weak bounce today after yesterday’s excitement.

Here’s a look at today’s market heat map after the close. There’s a lot of green, but this was pretty unenthusiastic.

I wasn’t too impressed with John Thain on CNBC today explaining yesterday’s weirdness with the NYSE trading and reporting systems. The official story seems to be that the systems that compute the DJIA got backlogged with transactions, and separately an internal messaging system for floor traders also got backlogged, so they’re upgrading their servers. Today they had to delay closing a number of stocks to allow transaction queues to clear at the end of the day. Thain mentioned a volume of over 20,000 msgs/second. This is all plausible, but not reassuring. It sounds like something that would happen to a growing e-commerce site, not one of the world’s largest stock exchanges. I wonder how much reserve throughput they can actually deploy. If we get a “real” market crash, they’re going to have to handle a lot more than the 2.4 billion shares they traded yesterday.

• Bloomberg.com: Dow Jones Says Data Problems Accelerated Dow’s Drop
  More on the problems with the NYSE hybrid system during this afternoon’s selloff. NASDAQ seems to have mostly been OK with the volume.
  (tags: stock market trading risk management)
• Feb. 27, 2007 Stock Market Recap » Trader Mike
  A look at the DJIA, SPX, and QQQQs after today’s broad selloff, plus a laundry list of negative indices from Stockcharts.
  (tags: stock market technical charting trading risk management outlook)
• Schneier on Security: List of Default Router Passwords
  Pointer to several lists of default passwords for routers and network equipment.
  (tags: sysadmin networking security wireless password)
• After a Rough Morning, A Data Backup Jolts The Blue-Chip Average - WSJ.com
  …traders resorted to writing buy and sell orders on a dry-erase board…”Go manual if you can,” said Art Cashin, a longtime floor broker for UBS, to traders at about 4 p.m. “Take paper if you have to.”
  (tags: stock market trading risks)

Today was a notable down day for most investors. This is a snapshot of the WSJ’s market heat map after today’s close, as monochromatic as I’ve ever seen it. (Update - see TraderMike’s recap of the intraday trading.)

It’s interesting to observe that diversification across asset classes and markets didn’t help you today. All 30 Dow stocks closed down. 99 of 100 Nasdaq-100 stocks closed down. Nearly all of the S&P 500 closed down. Oil, gold, and other commodities closed down. Emerging markets closed down. Basically, equities and commodities got sold, and the proceeds went to cash and bonds. (Update - here’s the summary from today’s Worden Report: “Zero Industry groups advanced while 239 declined. There was one winner in the Nasdaq-100, two in the SP-500 and zero in the Dow. HalfPoint+ Movers were seven against 2174. The Leadership Index was 34 versus 2228.”)

• deal architect : Holy Cow!
  Yet another list of cow analogies, this one with an international flavor. “INFOSYS - You have two cows. They freely roam the streets of Bangalore. People worship them and give them right of way because they are at Level 5 of the Cow Maturity Model.”
  (tags: global business humor consulting fun random)
• MyBlogLog Bans Blogger; Backlash Begins
  Discussion of MyBlogLog banning and unbanning of Shoemoney, startup goodwill vs post-acquisition by Yahoo etc
  (tags: socialsoftware web2.0 hacking identity security community blogging)
• TradingMarkets | Improved R2 Strategy
  A short term trading filter based on RSI(2).
  (tags: stock market trading strategy)
• Filtering Wall Street: Williams %R
  A comparison of RSI(2) vs Williams %R filter for short term timing.
  (tags: stock market trading strategy)
• TraderFeed: Five Guiding Principles of Trading Psychology
  (tags: stock trading psychology education)
• TraderFeed: Five Guiding Principles of Short-Term Trading
  (tags: stock trading education)
• The movie magic is gone - Los Angeles Times
  …In this culture, the intrinsic value of a movie, or of most conventional entertainments, has diminished. Their job now is essentially to provide stars for People, Us, “Entertainment Tonight” and the supermarket tabloids, which exhibit the new “movies”
  (tags: movies culture society editorial)
• The Post Money Value: A Fatal Paper Cut
  …don’t go to the office supply store and buy those fill in the blank shareholder agreements and stock certificates. Make sure when you start, you start with the structure that will allow you to take professional money sometime in the future.
  (tags: entrepreneurship vc startups finance business)

• Del.icio.us Pecha Kucha presentation creator
  Builds Pecha Kucha-style presentations of 20 pages displayed for 20 seconds each, using the most recent entries from a del.icio.us collection
  (tags: slideshow del.icio.us presentation generator tools)
• The Travelers’ Century Club
  For people who have visited 100 or more countries. There’s a list of 315 countries and territories, I haven’t counted how many I’ve been to (or would like to visit).
  (tags: travel fun random)

• MyBlogLog Trick - How To Surf The Web As ShoeMoney - ShoeMoney™
  I like some of the social aspects of MyBlogLog, but there are kinks to work out. Here’s how to modify their cookie to impersonate other users visiting instrumented sites.
  (tags: mybloglog socialsoftware privacy browser cookie security hacking)
• ImageChef - Customize Photos, Clip Art
  Build custom text into images using online image templates. An easy alternative to Photoshop for making decorative graphics.
  (tags: imaging photoshop web graphics blog image generator fun tools)
• TraderFeed: Designing a Robust Mechanical Trading Strategy: A Best Practice in Trading
  Some thoughts on automated trading system design and testing.
  (tags: stock trading strategy statistics finance ideas)

• Advance Stock Pattern Scanner — Kelly Criterion For Investors
  Online calculator for position sizing with modified Kelly criterion. Appears to overcommit (100%) position to high variance outcomes, not sure what’s up with that.
  (tags: stock trading strategy kelly probability calculator risk management)
• Neighboroo
  Google Maps mashed up with real estate, demographic, and census data. Interesting heat map visualizations.
  (tags: realestate googlemaps gmaps gis visualization demographics statistics maps mashups)
• StorageMojo » Everything You Know About Disks Is Wrong
  Comments on paper presented by Bianca Schroeder of CMU’s Parallel Data Lab on failure rates in commodity HDD arrays vs enterprise disk arrays. Cheap disks do pretty well.
  (tags: computer storage disk hardware research sysadmin computing resource planning)
• Inside AdSense: Enhance your site with Google search results
  New Javascript widgets from Google for putting news keyword search results on your blog or web site.
  (tags: google javascript widgets news search blogging software tools)

• The Big Picture | John Dorfman’s 9 Lessons
  A list from John Dorfman in his last column for Bloomberg this week.
  (tags: investing stock finance lists)
• HCPG Blog: Four Categories of Trading
  A simple taxonomy of short term trading approaches (and non-approaches).
  (tags: stock trading)
• Sony 1/1.8″ high speed CMOS sensor: Digital Photography Review
  Nice sensor - 6.4M-pixel images at 60 fps for video, and you can also capture individual still frames.
  (tags: digital camera electronics imaging photography sensor hardware trends)
• Failure Trends in a Large Disk Drive Population (PDF)
  by Eduardo Pinheiro, Wolf-Dietrich Weber and Luiz Andre Barroso at Google, looks at HDD failure statistics, which don’t always match what you’d think.
  (tags: computer hardware computing storage statistics disk failure research hosting sysadmin)
• 10 Things I Hate About Wall Street - Alan Farley
  A summary perspective of private trading off Wall Street.
  (tags: stock trading finance investing)
• Simulation Tools
  An extensive list of simulation tools, free and commercial, GUI-based and non-GUI.
  (tags: simulation software tools modelling finance applications programming resources)
• Random Numbers and Monte Carlo methods
  Link collection of resources related to Monte Carlo methods and applications.
  (tags: statistics probability simulation quantitative finance derivatives expectancy risk management resources math montecarlo)

My 10-year-old daughter and I went to see The Bridge to Terabithia yesterday. She read the book last year and wanted to see the movie, which has been advertised regularly over the past few months.

For movies that are based on a book, my general rule for my daughter is that you should try to read the book before you see the movie. In this case, I didn’t follow my own advice. Although this book is well known in children’s literature (winner of the 1978 Newberry Award), I never got around to reading it, and thus was utterly blindsided by the movie.

The movie advertisements make it look like mostly a fantasy and adventure story, kind of like Chronicles of Narnia or perhaps Neverending Story. It’s not. It’s mostly about friendship and pointless tragedy in middle school. I found it enormously disturbing. It pushed a lot of my emotional buttons, both as a parent today, and in recollection of being an odd kid out in a rural school system in the past.

Hello, dear readers. I had lunch with some friends the other day and they mentioned that I hadn’t posted in a while. Sorry I haven’t been paying much attention to this site lately, other than knocking back comment and link spam. I recently saw that Google Reader is starting to report subscription statistics, which prompted me to take a look. It’s been a while since I looked over the server logs, and I was surprised at the number of RSS subscriptions that have accumulated (i.e. it’s more than I can account for by friends, family, and random acquaintances). I didn’t know you were out there, but now that you’re decloaked and I can see you, I wanted to say hello.

Happy Lunar New Year. It’s the Year of the Pig.

Some are predicting conflict and misfortune:

“The Year of the Pig will not be very peaceful,” said Hong Kong feng shui master Raymond Lo…Pig years can be turbulent because they are dominated by fire and water, conflicting elements that tend to cause havoc, Lo said.

“Fire sitting on water is a symbol of conflict and skirmish,” he said. “We’ll also see more fire disasters and bombings.”

He noted that the Russian AK-47 rifle, a weapon of choice among insurgents around the world, was invented during a pig year.

“So it will not be surprising to see more gunbattles, murder with guns and bombing attacks in 2007,” he said.

Others see a good year for finance:

“Because of the water element in the Year of the Pig, the economy will continue to grow, which also paves the way for another round of interest rate hikes,” said Peter So, a celebrity fortuneteller in Hong Kong.

• YouTube - ATLAS Rope Ascender
  Powered device for climbing up ropes, from an MIT design contest.
  (tags: random gadgets military hardware mit)
• Wind, Solar Power to Run Rural Mobile Base Stations
  A project aimed at rural networking. “1,500 watts daily, and a six-kilowatt turbine with four solar panels” - seems like a high power budget.
  (tags: kuppam offgrid power wireless networking wind solar ict)
• The Hunt for RFI - Unjamming a Coast Harbor - GPS World
  Monterey Bay researchers tracking down GPS interference learn that a VHF/UHF TV antenna with built-in preamplifier can jam GPS reception for the entire harbor.
  (tags: gps rf engineering antenna hacking privacy security risks)
• Embodying Terror Networks: How Direction Creates Structure - Mitch Stripling (PDF)
  A paper on the structure of terror networks (Al Qaeda). Social network + “animating narrative”, rather than hierarchical or hub-based control.
  (tags: global terrorism military security asymmetric warfare startups business strategy)
• Global Guerrillas: TERRORIST NETWORKS: Advanced Topics
  Some comments on Mitch Stripling’s paper on terrorists and directional scale free social networks.
  (tags: global terrorism military security asymmetric warfare startups business strategy)
• Terrorists trading on bourses: NSA-Politics/Nation-News-The Economic Times
  Some cases of terrorist groups raising funds by market manipulation on the Bombay and Chennai stock exchanges. This would work especially well on thin markets.
  (tags: stock market trading risk management global terrorism finance trends)
• Vertical Solutions
  Introduction and a collection of papers on quantitative testing for trading system design.
  (tags: stock trading quantitative strategy finance risk management)
• The Big Picture | How Do You Define Your Reality?
  A good summary of the schizophrenic, conflicting outlooks and approaches to the markets, trading and investing.
  (tags: stock market trading investing finance economy)
• One million OLPC laptop orders confirmed - Network World
  Currently, the laptops cost around $130, but the goal is to whittle down the price to $100.
  (tags: olpc ruraldevelopment ict education digitaldivide)
• TechStars: TechStars 2007
  Sort of a micro-incubator, by Brad Feld, David Cohen, and others based in Boulder, Colorado. $5K seed grant, server access, and mentoring for the summer, for 5%.
  (tags: vc entrepreneurship startup venture funding trends)

• The Uncertainty Impact of Major Shocks: Firm-Level Estimation and a 9/11 Simulation (PDF)
  Paper by Nick Bloom at Stanford. A model for predicting stock market volatility in response to unexpected information such as financial or security crises. With Matlab code, via The Economist.
  (tags: economic stock market quantitative finance statistics modelling risk management terrorism security research)
• Data&Code by Nick Bloom
  Work in progress, with Matlab code and data, mostly related to modelling response to changes in uncertainty in the stock market.
  (tags: economic stock market quantitative finance statistics modelling risk management research)
• JavaScript Badges and Widgets Considered Harmful (by Jeremy Zawodny)
  “View Source” for widgets would be nice, although many of the providers seem to have an active objective of collecting the site data for themselves.
  (tags: web2.0 webservices web design development security widgets javascript trends)

• The Real Goldilocks - Minyanville
  …Just then, Goldilocks woke up, saw the three bears and screamed. “Help!,” she cried. “Print more money!” she demanded. “Buy something… anything!” she screamed. But it was too late.
  (tags: finance economy gold investing monetary policy humor)
• jkOnTheRun: How to measure anything with a camera and software
  On iPhotoMEASURE, an application which automatically computes sizes in digital photos based on a known target in the scene.
  (tags: digital photography software tools howto)

• Calculated Risk: Tanta on “Scratch and Dent” Loans
  Observations on problems in the subprime mortgage business as of January 2007, with interesting discussion in the comments.
  (tags: finance economy investing realestate risk management)
• EETimes.com - Plummeting prices make NAND appear almost free
  Oversupply of flash memory is driving prices down faster than historical trend, making solid state disk replacement for music, video, and media more attractive.
  (tags: semiconductor electronics economics industry trends media investing)
• Pipes: Rewire the web
  Finally had a chance to try this out. Neat tool for building unix-style filters for processing RSS feeds, with browser-based visual editor.
  (tags: yahoo rss feed filtering mashup programming web2.0 webservices application data aggregator hacking)

• Paul Kedrosky’s Infectious Greed: Two Cows and Venture Capital
  More cow analogies, from Mark Gilbert at Bloomberg. ”
  You have two cows. You repackage five of them into a Collateralized Lactating Obligation, pay for a AAA credit rating, slice the CLO into 10 pieces and sell it to investors, skimming the cream from th
  (tags: finance hedgefund vc investment business humor)
• Are Exchange-Traded Notes A Passing Fad, Or The Start Of Another Revolution?
  On the differences between newly introduced ETNs vs ETFs. ETNs are structured as a form of debt, introducing a degree of credit risk, but with some potential tax advantage.
  (tags: etf etn investing finance)

• January 2007 Bandwidth Market Report — invisiblehand.net
  Monthly report of internet IP transit costs on various networks, along with historical data and trend graph.
  (tags: internet network traffic data statistics economics finance market modelling)
• All About Alpha » Blog Archives » Beta arbitrage as an alpha opportunity
  A look at the risk-adjusted underperformance of high beta stocks, graph of predicted vs actual returns, and a case for an arbitrage strategy.
  (tags: finance investing quantitative beta arbitrage strategy risk management)

• QuoteTracker: Paintbar Alerts Tutorial — Move the Markets
  More on using QuoteTracker paintbar alerts to watch for dummy trades and other setups.
  (tags: stock trading charting tools)

• QuoteTracker Paintbars: Dummy Trade Entry — Move the Markets
  Automatically marks up dummy trades using QuoteTracker’s custom paintbars.
  (tags: stock trading charting)
• SPDRs: Correlation Tracker
  Returns list of most correlated ETFs as well as lists of individual stocks that are highly correlated and uncorrelated with a given stock.
  (tags: stock trading quantitative correlation strategy finance investing)

• AMG Data Services Mutual Fund Flows & Holdings AMGData
  Weekly, monthly, quarterly summary of net fund flows, posted on Thursdays
  (tags: finance investing economics data markets trading model)