Ho John Lee’s Weblog

• IPv6 Deployment: A Very Complex Time Bomb with an Uncertain Trigger Date
  On the coming transition to IPv6. “what seems increasingly certain is that, if hundreds of thousands of people don’t get busy making backbones and servers ready, routable ipv4 hits a wall by the 2010 - 2011 time frame.”
  (tags: internet networking network router trends policy)

We had a noticeable earthquake a few minutes ago this evening. Nothing too severe, but the hanging lamps were swinging back and forth a few inches, and the house was shaking for 15-20 seconds. Apparently it was magnitude 5.6, somewhere near Alum Rock.

• Risk Management for Hedge Fund Portfolios (PDF)
  Presentation slide overview on risk management approaches and metrics (value at risk, extreme value theory), and applications to portfolio evaluation
  (tags: hedgefund quantitative finance investing trading risk management)
• Bizzaro Market Is Killing the Grizzled Veteran
  Cramer summarizes the weirdness of the market lately. “Lots of things make no sense to people and it is killing them, particularly those who have been in this business for years and years.”
  (tags: stock market trading culture trends)

• Technology Review: The Blow-Up
  Tech Review narrative on quantitative funds and this summer’s market action, opening with the International Association of Financial Engineers conference in August
  (tags: quantitative finance markets trading strategies economics statistics risk management culture)

• Money for Nothing - SilverSeek.com
  Interesting if true. Does Morgan Stanley sell physical silver bars to clients, charge them for storage service, and actually hold nothing other than a short sale?
  (tags: commodities silver precious metals markets trading economics banking fraud risk management)

• Minyanville - Unusual Suspects
  Todd Harrison comments on the plunge protection team or other invisible intervention, and the change in market trading behavior over the past few years.
  (tags: trading markets finance risk management government regulatory policy culture)
• Cara 100 at a glance
  Summarized table for Bill Cara’s core watchlist, with performance and RSI on multiple timeframes.
  (tags: stock investing trading)

• Spydertrader’s Jack Hershey Futures Trading Journal
  Huge thread on EliteTrader with discussion on Spydertrader’s implementation of Hershey’s trading methodology, along with daily chart annotation and comments, mostly on ES
  (tags: futures trading technical analysis)
• Portfolio123 - Stock Trading Systems, Quantitative Analysis with Multi-Factor Trading Systems, Model Portfolios, Simulation, Ranking, Screening, Backtesting, Fundamental and Technical Factors
  Online screening and backtesting service
  (tags: stock investing trading porfolio screening finance)

• Select a Candidate 2008
  Answer the 11 questions below to find out which candidates are most aligned with your views and opinions. From Minnesota Public Radio
  (tags: 2008 election president politics quiz)
• ‘Lazy portfolios’ ride overseas allocations to juicy returns - MarketWatch
  Some sample index portfolio alternatives to typical mutual fund portfolios
  (tags: investing personal finance asset allocation)
• Bill Rempel, a.k.a. NO DooDahs! - Stock-Screen-A-Palooza
  A collection of four filters, which Bill labels GARP, Quant MixTape, High Relative Value, and P/S I Luv You.
  (tags: stock trading investing quantitatve finance screening)

• Stock Valuation Tool (Price Check) | SmartMoney.com
  Online valuation calculator, fills in consensus eps and growth rate based on ticker
  (tags: investing stock valuation calculator finance)

This afternoon I was in the audience at the CNBC Fast Money show, which was taping on the road at the Computer History Museum. Many of the attendees were customers at Charles Schwab, which is holding a local workshop for active trading clients this weekend. People seemed to be in good spirits despite today’s down market.

In addition to the cast of Fast Money, we had Paul Otellini from Intel, who brought along a UMPC and a silicon wafer. Also making an appearance was the Trading Goddess, although I may have been the only one who recognized her handle during the Q&A session.

The Computer History Museum has an interesting collection of preserved techno-rubble. In the past, I’ve worked with a remarkably large number of the items displayed in the exhibits. I also enjoyed the Cray-1 sitting out near the entrance.

• Econbrowser: Natural gas and crude oil prices
  Comments on the relationship between crude oil and natural gas demand and prices.
  (tags: commodities trading oil energy gas finance investing)
• Australia’s farmers | Dried up, washed out, fed up | Economist.com
  On drought in New South Wales, where wheat farmers have gone bankrupt after selling wheat futures to finance crops that subsequently failed.
  (tags: commodities trading wheat agriculture finance investing)
• YouTube - The Long Johns - The Last Laugh - George Parr - Subprime
  John Fortune & John Bird explain the subprime crisis, in a talk show interview of “George Parr, investment banker”.
  (tags: finance investing subprime risk management humor culture video)

John Fortune & John Bird explain the subprime crisis, in a talk show interview of “George Parr, investment banker”.

• JkDefrag v3.26
  GPL disk utility for Windows, also links to other PC utilities.
  (tags: windows sysadmin free disk software tools)
• India considers curbs on foreign inflows to shares
  This accounts for the roughly 6% drop in Indian ADRs today, IBN HDB INFY INP TTM etc.
  (tags: global markets trading investing india financial government regulation risks)
• Sensex, Nifty down over 9% on P-note scare - The Economic Times
  Indian stock market opens down, closes for an hour. Finance minister Chidambaram says “no need for alarm”.
  (tags: global markets trading investing india financial government regulation risks)

• Feld Thoughts - CTO vs. VP Engineering
  On the need for separate leadership for longer term technology vision vs managing development teams as startups grow.
  (tags: technology management startup business entrepreneurship)
• The Perplexed Investor: Contrahour/Martin Armstrong
  Nice graphic based on a 8.6-year business cycle timing model, with theoretical dates worked out.
  (tags: technical trading investing finance economy)

• MESA market cycle overview
  An overview of using the maximum entropy spectral analysis (MESA) method for estimating market cycles and trending / non-trend behavior
  (tags: stock futures trading market technical analysis)

• The twelve days of crisis « Investment Postcards from Cape Town
  On the twelfth day of Crisis the markets sold to me central banks succumbing, over-hyped underwritings, hedge fund Boards all leaving, LBO refinancing, eight salesmen bilking, seven ‘bonds’ accruing, six fleeced investors, $500 gold calls, foreclosure
  (tags: finance investment trading risk management humor culture)
• Considerations for gold investors, tech stocks and emerging markets | Dr. Marc Faber
  Investors have reached a crossroad: Either you believe that the expansionary monetary policies of central banks will lift asset prices further or you take the strongly contrarian view that they will not work and that the world will sink into a deflationar
  (tags: monetary policy trends economy investing trading strategy)
• Annals of Finance: The Blow-Up Artist: Reporting & Essays: The New Yorker
  An extended profile of Victor Niederhoffer written from interviews spanning this summer’s market crisis.
  (tags: hedgefund finance risk management investing trading culture)

• VICTOR HIT AGAIN
  Niederhoffer, father of modern hedge funds, who lost his entire $130 million portfolio in 1997 in the Asian currency crisis, shuts down his Matador fund after losses in the subprime mortgage meltdown.
  (tags: hedgefund investment culture risk management trading investing)
• A runner dies as heat ravages Chicago Marathon; 250 hospitalized - CNN.com
  85 degrees in Chicago for this year’s marathon, water stations run dry, and they end the event early.
  (tags: marathon running health fitness)
• RSI
  An online screener for Bill Cara’s RSI-7 daily/weekly/monthly methodology applied to Cara 100 stocks.
  (tags: finance investing technical trading tools)
• The Future of Web Startups
  Paul Graham on what happens when starting a web business becomes a commodity. Among other things: more companies, younger founder, more acquisitions.
  (tags: startups vc funding investment business siliconvalley culture trends)
• AMBER WAVES OF GRAIN - YouTube
  Oscar and company stop for a look at fields of corn and soy beans during their road trip from New York to Las Vegas.
  (tags: futures commodities trading video)

• What Happened to the Quants in August 2007? (PDF)
  Amir E. Khandani and Andrew W. Lo examine correlated losses in long/short funds in August 07. “We hypothesize that the losses were initiated by the rapid unwinding of one or more sizable quantitative equity market-neutral portfolios”
  (tags: hedgefund quantitative finance markets stock trading risk management economics research)
• Fat Tails, Tall Tails, Puppy Dog Tails (PDF)
  Presentation by Dan diBartolomeo on fat tails in observed portfolio returns and and overview of models attempting to account for skewed distributions of actual outcomes.
  (tags: quantitative finance statistics trading risk management)
• Credit Suisse Tremont Hedge Fund Index
  Hedge fund performance data, updated monthly.
  (tags: hedgefund investment performance benchmark finance)