Thursday links: quant volatility

09Aug07

Another measure that shows market volatility is on the rise. “All or nothing” days abound. (via Bespoke Investment Group)

Mark DeCambre at TheStreet.com on the new “witching hour” for the stock market.

This volatility is taking its toll on statistical arbitrage and merger arbitrage funds. (via WSJ.com, Marketwatch.com, DealBreaker.com & naked capitalism)

Greg Newton at NakedShorts with two posts on the challenges of obtaining “independent” prices for complex securities.

The European Central Bank opens the cash spigots. (via FT.com)

FT Alphaville highlights a handy tool to keep track of the subprime winners and losers.

A look at high yield spreads. (via Bespoke Investment Group)

Michael Kahn at Barrons.com writes “…he credit crunch we’ve been hearing about is real, but not that bad in historical terms.”

Investment banks have been aiding their cause with a slew of new credit indices. (via DealBook)

Some money market funds are at risk to the subprime mess. (via WSJ.com)

Barry Ritholtz at the Big Picture on the “trouble with economists.”

How does 2007 compare with 1998? (via Real Time Economics)

Alea passes along some thoughts from the IMF on the subprime crisis.

Wilbur Ross likes subprime despite the risks. (via BusinessWeek.com)

Jon Markman at MSN Money on why private equity is now a “buy.”

James Altucher at TheStreet.com is “..loving stocks right now…”

Economist.com on the tangled relationship between prime brokers and hedge funds.

Felix Salmon at Market Movers is looking for a “risk-constant mutual fund.”

Morningstar (MORN) has a “unique niche in financial services.” (via Marketwatch.com)

CXO Advisory Group on research showing a marked difference returns from when the market is open and closed.

Paul Herbert at Morningstar.com highlights four newer, promising mutual funds.

Walter Updegrave at CNNMoney.com on chasing returns and the value of global investing.

Paul Kedrosky at Infectious Greed points to the video of Nassim Taleb on Charlie Rose.

Thanks for checking in with Abnormal Returns where your feedback is always appreciated.

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