{"id":20776,"date":"2013-01-08T23:16:27","date_gmt":"2013-01-09T03:16:27","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=20776"},"modified":"2013-01-08T23:16:27","modified_gmt":"2013-01-09T03:16:27","slug":"february-8-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=20776","title":{"rendered":"January 8, 2013"},"content":{"rendered":"

Interesting take on chaotic theories of markets<\/a>:<\/p>\n

Dr Tobias Galla from The University of Manchester and Professor Doyne Farmer from Oxford University<\/a> and the Santa Fe Institute<\/a>, ran thousands of simulations of two-player games to see how human behaviour affects their decision-making.<\/p>\n

In simple games with a small number of moves, such as Noughts and Crosses the optimal strategy is easy to guess, and the game quickly becomes uninteresting.<\/p>\n

However, when games became more complex and when there are a lot of moves, such as in chess, the board game Go or complex card games, the academics argue that players’ actions become less rational and that it is hard to find optimal strategies.<\/p>\n

This research could also have implications for the financial markets. Many economists base financial predictions of the stock market on equilibrium theory – assuming that traders are infinitely intelligent and rational.<\/p>\n

This, the academics argue, is rarely the case and could lead to predictions of how markets react being wildly inaccurate.<\/p><\/blockquote>\n

I wouldn’t call the subjects of the following story “quants”. I’d call them technical analysts. A technical analyst with a computer is simply a technical analyst, and is still going to lose money<\/a>:<\/p>\n

Hedge funds that use computers to follow trends lost money for a second straight year in 2012 as political debates over the U.S. fiscal cliff and Europe\u2019s sovereign-debt crisis roiled markets.<\/p>\n

The Newedge CTA Trend Sub-Index, which tracks the performance of the largest computer-driven, or quant funds, fell 3.4 percent last year after a 7.9 percent decline in 2011. David Harding\u2019s $10 billion Winton Futures Fund Ltd. slid 3.5 percent in 2012, its second annual decline since opening in 1997, investors in the pool said. Man Group Plc (EMG)\u2019s $17 billion AHL Diversified fund fell 2.1 percent, while BlueCrest Capital Management\u2019s $14 billion trend-following fund gained 0.02 percent, said the investors, who asked not to be identified because the figures are private.<\/p>\n

The performance of the funds belies their popularity with investors, who\u2019ve poured $108.2 billion into the pools since the end of 2008, according to Fairfield, Iowa-based BarclayHedge Ltd.
…<\/b>
Trend-followers try to profit by tracking momentum in prices, whether rising or falling. They often use technical indicators, such as moving averages or Bollinger bands, to predict movements for stocks, bonds and commodities. Quants use mathematical algorithms to decide when to buy or sell and rely on computers to respond to price signals in fractions of seconds.<\/p><\/blockquote>\n

Not only that, but quants do not necessarily engage in High Frequency Trading, either.<\/p>\n

OSFI’s Mark Zelmer gave a speech<\/a> at the 2013 RBC Capital Markets Canadian Bank CEO Conference:<\/p>\n

An important New Year\u2019s resolution for OSFI will be to assess which banks in Canada should be designated as domestically systemically-important (D-SIBs). We expect to announce our decision within a few months. Any bank receiving a D-SIB designation can also expect some additional prudential requirements, including having to carry more common equity. The extra capital requirements will take effect in January 2016; the start date for those that will be imposed internationally on globally systemically-important banks. This provides plenty of time for the designated banks to plan accordingly.
…<\/b>
Another important resolution for us this year is contingent capital. As of January 1, Canadian deposit-taking institutions are no longer able to include new issues of preferred shares and subordinated debt in their Tier 1 and Total Capital ratios unless those instruments carry Non-Viability Contingent Capital (NVCC) conversion triggers. Existing instruments are being phased out of regulatory capital at a rate of ten per cent per year. Like living wills and other resolution measures, these new instruments are an important ingredient in making sure that all deposit-taking institutions can be resolved in an orderly fashion in times of stress without taxpayers being the first port of call for new capital. OSFI is looking forward to the emergence of a market in Canada for NVCC preferred shares and subordinated debt instruments in 2013.<\/p><\/blockquote>\n

It was another mixed day for the Canadian preferred share market, with PerpetualPremiums up 7bp, FixedResets off 1bp and DeemedRetractibles down 5bp. Volatility was negligible. Volume was a little below average.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1461 %<\/td>\n2,491.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.28 %<\/td>\n3.64 %<\/td>\n28,356<\/td>\n17.96<\/td>\n1<\/td>\n0.2256 %<\/td>\n3,761.9<\/td>\n<\/tr>\n
Floater<\/td>\n2.79 %<\/td>\n3.00 %<\/td>\n55,156<\/td>\n19.75<\/td>\n4<\/td>\n-0.1461 %<\/td>\n2,689.7<\/td>\n<\/tr>\n
OpRet<\/td>\n4.63 %<\/td>\n-5.81 %<\/td>\n51,457<\/td>\n0.40<\/td>\n4<\/td>\n-0.1810 %<\/td>\n2,596.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.60 %<\/td>\n4.61 %<\/td>\n46,263<\/td>\n4.34<\/td>\n2<\/td>\n0.4626 %<\/td>\n2,892.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1810 %<\/td>\n2,374.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.26 %<\/td>\n-0.06 %<\/td>\n76,907<\/td>\n0.75<\/td>\n30<\/td>\n0.0669 %<\/td>\n2,341.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.82 %<\/td>\n4.82 %<\/td>\n135,583<\/td>\n15.80<\/td>\n4<\/td>\n0.1111 %<\/td>\n2,663.5<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.92 %<\/td>\n2.95 %<\/td>\n203,544<\/td>\n4.07<\/td>\n78<\/td>\n-0.0109 %<\/td>\n2,472.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.88 %<\/td>\n0.86 %<\/td>\n108,753<\/td>\n0.35<\/td>\n46<\/td>\n-0.0504 %<\/td>\n2,432.2<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-01-08
\nMaturity Price : 23.71
\nEvaluated at bid price : 25.67
\nBid-YTW : 2.85 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n84,715<\/td>\nNational crossed 75,000 at 25.30.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.25
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n61,993<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-01-08
\nMaturity Price : 23.84
\nEvaluated at bid price : 24.46
\nBid-YTW : 3.72 %<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\n58,459<\/td>\nScotia crossed 55,000 at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.92
\nBid-YTW : 2.73 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Premium<\/td>\n46,460<\/td>\nNational bought 16,300 from RBC at 25.79, then crossed 19,400 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.80
\nBid-YTW : 4.43 %<\/td>\n<\/tr>\n
RY.PR.L<\/td>\nFixedReset<\/td>\n44,800<\/td>\nRBC crossed 36,900 at 26.05.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.09
\nBid-YTW : 2.30 %<\/td>\n<\/tr>\n
ENB.PR.T<\/td>\nFixedReset<\/td>\n41,495<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.41
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
There were 26 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
TD.PR.I<\/td>\nFixedReset<\/td>\nQuote: 26.50 – 27.00
\nSpot Rate : 0.5000
\nAverage : 0.2997<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.50
\nBid-YTW : 2.09 %<\/td>\n<\/tr>\n

BAM.PR.C<\/td>\nFloater<\/td>\nQuote: 17.51 – 19.00
\nSpot Rate : 1.4900
\nAverage : 1.3056<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-01-08
\nMaturity Price : 17.51
\nEvaluated at bid price : 17.51
\nBid-YTW : 3.01 %<\/td>\n<\/tr>\n

CM.PR.K<\/td>\nFixedReset<\/td>\nQuote: 25.92 – 26.34
\nSpot Rate : 0.4200
\nAverage : 0.2602<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.92
\nBid-YTW : 2.73 %<\/td>\n<\/tr>\n

BMO.PR.P<\/td>\nFixedReset<\/td>\nQuote: 27.11 – 27.40
\nSpot Rate : 0.2900
\nAverage : 0.1650<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.11
\nBid-YTW : 1.68 %<\/td>\n<\/tr>\n

CU.PR.C<\/td>\nFixedReset<\/td>\nQuote: 26.20 – 26.45
\nSpot Rate : 0.2500
\nAverage : 0.1560<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.20
\nBid-YTW : 2.95 %<\/td>\n<\/tr>\n

BAM.PF.A<\/td>\nFixedReset<\/td>\nQuote: 25.98 – 26.21
\nSpot Rate : 0.2300
\nAverage : 0.1366<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.98
\nBid-YTW : 3.77 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Interesting take on chaotic theories of markets: Dr Tobias Galla from The University of Manchester and Professor Doyne Farmer from Oxford University and the Santa Fe Institute, ran thousands of simulations of two-player games to …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-20776","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/20776","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=20776"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/20776\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=20776"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=20776"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=20776"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}