No Noise Only Alpha


 

Clippings: Tensorflow and Google Next ’17 [0.20]

Posted on Aug. 7, 2017, 12:12 a.m. by No Noise Only Alpha @ [source]

After looking through the 2 videos below, one will get a much clearer picture of the math formula and a understanding behind the jargons of overly hyped buzz words like “deep learning”.

Dropout best done at layers with the highest degree of freedom.

clearer formula made math model network neural picture progression videos

 

Recap: Trading the Curve jargons [0.03]

Posted on Aug. 5, 2017, 10:15 a.m. by No Noise Only Alpha @ [source]

The model parameters are calibrated by fitting the model to near-risk-free market rates (OIS, Libor) outputting that the risk-neutral rate probability distribution. However, there are still debates on whether the FNY model accurately captures this premium, as small changes to the starting point of calculation and holding periods does significantly change the magnitude and positivity of the premium.

belly carry fixed leg maturity rate roll Swap swap rate yield

 

Yesterday, I was short AUDUSD ahead of the Lowe’s speech. Along with those who are shorting US bonds given “relatively soon” QT and higher YTM expectations, a shock came when inflation expectations was revised downwards (Yes, if you are ahead of the curve, last 4 months inflation was below expectations, despite Fed’s own part of thinking that Philip’s Curve rule will stand true and strong, going ahead of the curve to hike.

ahead DXY expectation fed inflation market positioning rate trade usd

 

It used to be a bane for short-term rate models to have negative interest rates. Cash has alternatives besides holding debts with a fixed income and naturally, creator of the closed form analytical formula to tight pricing options with its sensitivity parameters to market variables and its underlying, Fisher Black, used the max(Shadow rate,0) to create a Zero-Level Bound on policy rates, on which banks in the country and countries who pegged against them benchmark.

debt ECB factor option policy rate Shadow rate till tree ZLB

 

Capital Asset Pricing Model (CAPM) [0.10]

Posted on July 2, 2017, 10:44 a.m. by No Noise Only Alpha @ [source]

While I am a believer of APT more than of CAPM, I will share some of my findings on CAPM. This is also the main reason why I believe APT over CAPM, as risky assets carry a bundle of different risk exposure, not just ERP, which means it can be in overlapping good times to reap yields as well as in bad times to tolerate through drawdowns.

alpha asset capm higher market portfolio return securities spx weighted

 

Basel I Minimum Capital Requirements [0.05]

Posted on June 3, 2017, 11:19 a.m. by No Noise Only Alpha @ [source]

In the business of taking risk on both sides of the balance sheet, holding capital is necessary to provide protection against unexpected losses. Beyond banks holding banks, the Basel Committee considered bank’s holdings of capital issued by other banks or deposit-taking institutions , in equity or other capital forms.

asset bank bond capital capital reserve debt financial holding member subsidiary

 

FRM part I review (May 2017, Singapore) [0.13]

Posted on May 21, 2017, 4 a.m. by No Noise Only Alpha @ [source]

Finally, after weeks of intensive study of financial concepts from a non-finance major undergraduate, I managed to get through this. FRM learning objectives, I would say, lean towards ALM (asset liability management), debts, counterparties and collateral/margin/leverage concepts.

asset beta concepts exposure factors FRM outperform regime VaR yield

 

Let’s hear a story on China and its currency.

The rapid depletion of the foreign reserves in 2015 led to a turnaround of public opinions, from whether there is welfare loss in having excess foreign reverses, to whether the foreign exchange reserves were adequate.

china currency domestic economy exchange rate Export foreign market RMB Yuan

 

We all ever once heard contributors at Bloomberg talked about ineffectiveness of the Taylor rule to prompt Fed hiking earlier, or your macroeconomics professor talking on Purchasing Power Parity and Interest Rate Parity. However, we can further extend to 2 floating dimension on the curve slope and rate differential.

bank basis bond currency funding market spot Swap usd yield

 

The U.S. Commodity Futures Trading Commission (CFTC) releases its Commitments of Traders (COT) reports at every Friday 1530 EST (or Singapore time Sat EST+13) for aggregate positions of at least 20 or more traders hold positions equal or above the reporting levels established by the CFTC.

We look for higher number of reportable traders for reliable net statistics.

CFTC foreign futures Longs market net position relevant stock trading

 

Since 2008, anyone who’s observant knows once VIX – the weighted average implied volatility for SP500 well diversified components based on CBOE model and calculations – exceeds 20, it hints at market fear of Financial market correction or correlation breakdown, where both correlation and volatility spikes. This allows us to have a view of how fearful the market is pricing in for the next few months ahead.

contango contracts exposure futures higher implies market pricing scenario vix

 

A simple view of sector rotation [0.06]

Posted on Feb. 6, 2017, 9:30 a.m. by No Noise Only Alpha @ [source]

Continuing when my previous post here, market cycles leads economic cycle. This article aims to give a brief descriptive (not predictive) overview of how asset managers shift their exposure to sectors – according to the current style of investment, say, growth strategy – where expectations of future earnings revision are very positive – or in defensive strategy – where sectors are the next alternative to a somethings considered “risk-free” and they can remain invested while less vulnerable (still vulnerable, since correlation breakdowns when the market is in turmoil) – or value strategies – where sector is undervalued or in anther words, the expected risk premium has subside due to fading risk factors.

asset current defensive expectations growth market positive remain strategy vulnerable

 

We heard the news. Trump’s opponents argued that his protectionist will bring back jobs to native Americans, but endanger America’s position as the leader of technology and finance in the world.

bond equity fiscal long managers policy put rate selloff trump

 

The fastest way to test the profitability of a trading model generating signals is to do a simple backtest (which means no hindsight biases i.e at least 1 period of timeframe lag from signal even if you timeframe is in milliseconds) using historical time series.

Spillage really matters when the trade model is tested on live markets.

 

Many have understood the downsides of historical dervied indicators, that is, having no predictive value. That said, we do see many traders in a small team with no quants having moving averages on their charts, and this explains why prices have ‘reflex behaviours’ at moving averages bouncing off and coming back, flirting with these key levels, till market is tire of its action before it starts its perpetuated ascend or descend.

forecast fractual idea key levels market model Pk Tr wave

 

When it comes to learning a language which takes days and weeks, you will be careful of which language to use for the job scope. This will affect what becomes the most familiar language on your resume when searching for jobs, and affects your chances of employability in the industry you are interested.

affect common data functions implicit language memory pointer python type