MetaFilter

What's the deal with your nickname? How did you get it? If your nickname is self-explanatory, then tell everyone when you first started using the internet, and what was the first thing that made you say "wow, this isn't just a place for freaks after all?" Was it a website? Was it an email from a long-lost friend? Go on, spill it.

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CONTENTS

• MeFI STATUS
• ABOUT MY NICKNAME
• WHERE I LIVE
• WHAT I DO IN REAL LIFE
• WHAT I DO HERE
• ONLINE MARKET DATA & NEWS
• FINANCE BOOKS I'VE RECOMMENDED TO MEFITES
• HOW TO BECOME A STUDENT OF THE MARKETS
• JOURNAL ARTICLES I'VE CITED ON METAFILTER

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MeFi STATUS

Yeh, in response to a few emails about my participation on MetaFilter; as outlined in this question, I'm taking a PhD in finance so between that degree and teaching I'm not as active on MeFi as I used to be.

I still read often and find time to contribute here and there. Bt if there is a thread you think I might find interesting or you'd like my take on, please don't hesitate to mail; I love to talk finance. And, if you're ever in London - MEETUP! Mrs Mutant & I are pretty much always game.
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ABOUT MY NICKNAME

I'm a country boy from a well known and teeming metropolis of about forty people located in Western New York - Wrights Corners.

Anyway, the nick started during my undergraduate days back in the late 70's, and referrs to my accidental habit of doing almost everything different. Or trying to at least.

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WHERE I LIVE

I've lived in London since 1997. Some call it Londistan, others The Ghetto, but I find the mix of cultures and people refreshing. Besides, being around too many white people make me nervous. But all joking aside, I fervently believe everyone should be a minority at least once in their lives.

Before relocating to The United Kingdom I lived in Manhattan, The Lower East Side for thirteen years; I call myself a New Yorker as I spent twice as much time living there than any other place in the United States.

I have Indefinite Leave to Remain in the UK (green card equivalent), and am married to a Dutch National. And I don't intend to return to The United States to live at all, if I can avoid it. Nothing political going on, I'd just rather live in Europe.

I've worked my ass off in Investment Banking for quite a while, have always lived frugually, and now find myself in the curious position of not having to work again unless I want to.

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WHAT I DO IN REAL LIFE

I'm a Banker both by education and profession, and a lifelong Student of the Markets. In this profile I provide both resources and a plan which will help you become a Student of the Markets, if that is your goal.

I hold a Masters degree in Quantitative Finance and an Executive MBA in General Management. I have done primary research in finance, and am still active in specific areas.

Since 2003 I've held a position as 'Visiting Lecturer in Finance' at a University in London (part time). Working with students at the masters level, I've taught both 'Forecasting Financial Markets' and 'Corporate Finance'. Since 2006 I have been guiding students through their dissertations in various topics reflecting my research interests. These are varied, but all are focused in the Capital Markets space. My Masters dissertation addressed US Equity markets micro structure, an area I'm still interested in. I'm also active in Asset Bubbles & Systemic Pricing Distortions, Risk Management, Credit Derivatives and Structured Products. In other words, all good things!

I've worked in banking since the early 1980's, starting my career in New York. Like anyone with a long history in finance, I've done lots of different things, and have not only been employed by some of the most highly regarded investment banks on the planet, I've also worked for the ratings agencies as well as market data providers and financial services consultancies. Needless to say, I have seen this business from a wide variety of perspectives.

I take a long view towards finance and economics, meaning I study the history of finance. Frequently in my commenting / posting I will reference past events as a guide to help us understand current events.

The most dangerous words in finance are "It's different this time". We can learn from the past, and when we look to history we understand current times aren't special. They might be uncertain, there may be significant change underway, but the history of finance tells us there is nothing new happening.

Students of the market will only see variations on a theme when presented with current events.

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WHAT I DO HERE

At MetaFilter I post topics focused on Capital Markets or Finance, and enjoy participating in most threads discussing the same.

I live and breathe finance, and enjoy discussing pretty much anything in the Capital Markets space. If you have a comment or question on any financial topic, regardless of whether or not I've posted to the thread, please don't hesitate to email me. If your query is not in my area of expertise I'll certainly tell you so, and hopefully be able to provide a lead to resources that will be able to help you.

I have found there is a very strong interest in finance from the MetaFilter community, and I'm pleased to be able to help folks learn.

I still receive emails originating from comments I made in finance threads months ago. The markets are dynamic and changing, so if something I posted in the past doesn't make sense now, please don't hesitate to contact me. I might have been wrong in my comment, market conditions may have changed thus rendering my comment nonsensical, or to be totally honest, sometimes I change my mind about a topic as we discuss the matter further and new evidence accumulates. One of the things I like most about MetaFilter is I have learned a great deal about finance from posts here.

There are no stupid questions. What is ill-advised, however, is not getting 100% from a thread here on MetaFilter because you didn't raise a question. If you're unwilling to post the question, for whatever reason, don't hesitate to email me.

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ONLINE MARKET DATA & NEWS

Note that I intentionally DO NOT provide links to blogs as these vehicles reflect largely the author's opinion. I do this because I believe its critical you first develop your own knowledge of Finance and The Capital Markets; then and only then will you be able to critically read - and perhaps integrate - others viewpoints into your own. If you don't first know Finance yourself, if you don't have a strong background gained from reading and observing the markets, then you will NOT be in a position to critically read others opinions.

When looking at market data provided by any site - not just free ones - it always best to obtain two or more quotes. This becomes even more important when we're looking at non exchange traded instruments.

If you have any favourite web sites please send them along for inclusion on this list.

Market data:

• The starting point for all financial valuation and analysis is the US Government Securities Yield Curve. There are two reasons for this: first, all securities are priced relative to US Government Securities. Secondly, the Yield Curve has tremendous predictive powers for the future of the US economy.
  
  • Bloomberg
  • FT



• The difference between US Government Bills, Notes and Bonds is explained here (its a simple and non technical explanation)



• Short term US Government Interest Rates:
  • 3M US T-Bill
  • US Fed Funds
  • 3M USD OIS Swaps
  
  
  
• Longer Term US Government Interest Rates:
  • 5Y Note
  • 10Y Notes
  • 30Y Bond
  
  
  
• LIBOR rates:
  • overnight $LIBOR
  • 3M US$ LIBOR
  • Historic LIBOR quotes in multiple currencies and multiple tenors (i.e., not just 3M USD LIBOR)
  
  
  
• TED Spread:
  • The TED spread
  
  
  
• COBT interest rate futures:
  • 2 Year U.S. Treasury Notes Futures
  • 5 Year U.S. Treasury Notes Futures
  • 10 Year U.S. Treasury Notes Futures
  • 30 Year U.S. Treasury Bonds Futures
  
  
  
• Quotes on a wide range of bonds:
  
  • FINRA Treasuries, Corporates, Munis



• Credit Default Swaps:
  
  • CDR Liquid 50 North America Investment Grade Index Futures
  • creditex iTraxx Fixings (a LIBOR like indicator of CDS spreads)
  
  



• Auction Rate Securities:
  
  • SIFMA's ARS Index



• ABX Indices:
  
  • Markit ABX.HE Closing Prices (i.e., prices of various CDO tranches)



• Municipal Swaps:
  
  • Securities Industry And Financial Markets Association Municipal Swap Index



• Foreign exchange (both spot & futures):
  
  • The US Dollar index
  
  
  • Reuters FX (spot)
  • FT (spot)
  
  
  • Barchart.com (futures)


• Equities - the stock market has very strong predictive powers regarding the anticipated performance of the economy as a whole.
  
  • Yahoo! Finance, good, but very US-centric.
  • Global Indices from FT help you to see the big picture.
  • Various Indices from BigCharts.com


• The VIX index (an important equity market volatility forecasting tool):
  
  • 1Y
  • 3M


• Energy commodities, spot market and some futures quotes can be found here:
  • EIA Spot Oil
  • NYMEX Light Sweet Crude (click through EULA to view live charts)
  • EIA U.S. Gasoline & Diesel prices
  • NYME New York Harbor Gasoline prices


• Commodities, both spot as well as various derivatives:
  
  • Bloomberg offers quotes on a large variety of commodity indices
  • While FT provides good historical data for the same



• Shipping indicies tell us the costs of moving goods from point to point:
  
  • Definition of The Baltic Dry Index
  • Chart of the Baltic Dry Index



• Petroleum supply & demand data (global)
  • International Petroleum Monthly (IPM) montly
  • NYMEX Light Sweet Crude
  • EIA Short Term Energy Outloook
  • EIA Monthly historical - Electricity / Natural Gas / Petroleum Supply / Energy Outlook / IPM Monthly



• Gold, Silver and other precious metals. Again, both spot market as well as (some) derivatives are quoted here:
  • Monex Precious Metals
  • USA Gold streams live market prices (java applet, quotes multiple currencies)
  • Kitco provides spot and derivative prices, as well as some market commentary.
  • Barchart.com (futures)


• Exchange Traded Funds.
  • ETF Connect provides quotes & all sorts of parametric data on ETFs.
  • NASDAQ has an ETF Screener
  • INO provides a list of daily ETF quotes
  
  
• Sector oriented indices
  • The AMEX Securities Broker/Dealer Index
  
  
• Hedge Fund indices
  • Eureka Hedge Fund Index
  • Eureka North American Hedge Fund Index
  • Eurkea Asia Hedge Fund Index
  • Eureka Japan Hedge Fund Index
  
  

Online financial news :

• The Financial Times. Not only a solid source of global news and information, some of their commentary is damn good. Frequently reading will help you develop a sense for how news impacts your market.


• Bloomberg


• Google news provides decent a aggregation service


• The US Economic Calendar will keep you abreast of news that might move the markets. It is important to look at this often, as doing so will help you develop a sense for how the announcement of economic news impacts your market.


• The Federal Reserve is a very open organisation, with lots of freely available resources:
  
  
  • Portal site for The Federal Reserve, the folks running the US Financial System
  
  
  • The Federal Open Market Committee sets US Interest rates. The rates are determined by a two day meeting which is eagerly anticipated by the markets. This site has transcripts of all FOMC meetings since 1978.
  
  
  • you can read speeches by various officers to get some insight into how they're thinking; this will help you develop insight into how Fed policy might impact your market
  
  
• The Bank for International Settlements runs the global financial system (as much as can be expected in this day & age).

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FINANCE BOOKS I'VE RECOMMENDED TO MEFITES

Finance books with a Capital Markets orientation that I've suggested to folks here on Metafilter. I have well over two hundred finance books on a wide range of topics, so if you're interested in a specific area and would like a book recommendation, please don't hesitate to contact me.

Also, if you have any books suggestions please mail them to me for inclusion on this list so other Mefites can benefit.

Before I get into very detailed books, lets put some higher level, less technical (but still supberb) books on the list.

These help when reading newspaper articles or more advanced books. I still regularly use some of the books listed here:

• I can't recommend Economics for Dummies enough. These are fantastic books to pique one's interest or provide a basic level of understanding ( authors: Antonioni and Flynn).


• The Pocket MBA is a good intro read as well, hitting many broad (and timely!) topics not only about economics but also management. This is important as it put things like currency cross rates / demand elasticity into context, which facilitates understanding.


• Capela's and Hartman's Dictionary of International Business Terms.


• Also very useful is Downes' and Goodman's Dictionary of Finance and Investment Terms ; these two books compliment each other very well.


• I'd suggest grabbing a copy of The Economist Guide to Global Economic Indicators. You take that book to a party and you'll settle a lot of arguments - ha! Actually, this is a very, very accessible reference that keep at my desk. Very nice piece of work.


• Rosenberg's Dictionary of International Trade is very well done, rather useful especially if you start reading the financial news (FT please as The Wall Street Journal is far too US centric for my tastes) or Economist regularly.

And now a few more rigorous texts. While these are typically used at the University level, some (e.g., Bessis) is very accessible without prior knowledge of or deep interest in finance.

• Bessis, J., Risk Management in Banking -- Not a bad read, gives a good overview on the Risk Management function in a modern bank; I found the section on Asset & Liability Management particularly nice


• Brealey, R, Meyers, S., C., Principles of Corporate Finance, a classic used at many Universities. This book broadly covers finance, but from a Corporate Finance perspective which I feel is very important. You can't really understand the hows and whys of instruments, unless one has insight into the businesses behind the tradable securities.


• Das, S., Swaps and Financial Derivatives -- Another encyclopedia, don't purchase unless you've mastered Hull (below)


• Das, S., Credit Derivatives and Credit Linked Notes (Frontiers in Finance) -- An awesome work; highly recommended if you found Tavakoli (below) interesting.


• Das, S., Credit Derivatives: CDOs and Structured Credit Products -- If you're looking for a good text on CDOs and how they are structured, this is it.


• Fabozzi, F., Bond Markets: Analysis and Strategies -- A very solid starting book on Fixed Income products. When I worked on a US Government Securities trading desk, this was the book I used to help me understand what the hell was going on.


• Fabozzi, F., The Handbook of Fixed Income Securities -- A very large (>1000 pages) book, I've got a copy and its THE BOOK to settle arguments. An encyclopedia for fixed income trading if there ever was one.


• Hull, J., Options, Futures and Other Derivatives -- Every trading desk I've worked on has a copy. When I went to Business School we got three semesters out of this book, and still left some sections unread; it's well worth the money.


• Kitter, G., Investment Mathematics for Finance and Treasury Professionals: A Practical Approach -- And practical it is. A great book, very down to earth and readable -- sidenote: I worked with Kitter back at Dow Jones, he was an excellent gentleman, always willing to help folks learn and this passion for education shows in his book.


• Tavakoli, J., Credit Derivatives: A Guide to Instruments and Applications -- One of the first books on Credit Derivatives, sorta dated now but explains the underlying structures very, very well. A nice, non mathematical tome

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HOW TO BECOME A STUDENT OF THE MARKETS

So you're interested in The Capital Markets? ABSOLUTELY WONDERFUL!! Here is a guide to you develop a strong background in finance.

Previously I've provided resources to help you educate yourself.

Now I'll suggest how to go about mastering this material. I'll present three alternative courses of study, differing only in how much time per day you can devote to this most honourable of all endeavors.

First, and most importantly, you've gotta know a market.

It doesn't matter if you track US Equities, Soft Commodities, Interest Rates, Currencies, house prices, bubble gum cards, whatever; if you want to develop a feel for this business, if you'd like to master economics, then you have to know a market.

Once you know a market you'll be able to explain how it works, what the drivers of valuation are, where that market is now, where it's been where you believe its going to and why. And that's important. Because only if you know a market can you critically read financial news, extracting signal from noise, information from data. There is a lot of data out there on the internet and even more opinions; the key to really understanding this business is to develop a feeling for how you think a market might perform.

These skills are general; once you get familiar with one market you can apply this information to second, then a third. That old adage about foreign languages - after you learn the first others are to pick up - is indeed true for the Capital Markets. After you learn the first market, you'll find subsequent markets easier to understand, as each will have things in common, and the differences - the new stuff specific to the new market that must be learned - will be relatively small and manageable.

Ok, those resources will help you become a Student of The Markets. Now how? Good question.

Lets break this down by time one can devote to self study.

• Less than 30 minutes a day -- Read the financial news every day. Get a good overview of economic conditions, and, more importantly, how things are changing. You should know US Interest rates and the official rate of inflation in the United States.


• Between 30 minutes and one hour a day -- Building upon the 30 minute lesson above, also start to track The Yield Curve, precious metals prices and FX quotes. You should know the price of various, important commodities (at least Gold, Oil and Wheat) as well rates of exchange for the US Dollar against The Euro, The Yen and Pound Sterling.


• Over one hour a day -- everything else on this list and more. Dive right in. In fact next semester you're gonna be teaching this class and I'll be the one sitting in the back making wisecracks.

If you follow the advise posted above, if you're diligent and persistent and, above all interested in mastering the markets, then in a few short months you'll be able to think critically about economic news, and interpret it not based on what you're reading, but from a historical perspective. This long view is very important to first understanding the markets, then identifying and taking advantage of opportunities.

So now that we've gone through all of that - what's your market?

Ok, good choice.

Once you've selected a market, dedicated yourself to learning all you can about this market, thought about this market day and night, talked about this market incessantly to everyone, absolutely everyone you come across, once you can think about nothing else except this market, your market, evaluating all news you come across for possible impact on your market, anticipating changes in value and sometimes, perhaps most of the time getting it right, why, you might actually think you've know this market, that somehow you've mastered this market, and you know something?

You'll be well on your way.

But only once you begin to dream about a market can you call it your market.
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JOURNAL ARTICLES I'VE CITED ON METAFILTER

I've learned a lot on MetaFilter, and began posting and commenting in earnest when I felt compelled to pay the community back. Because I'd like to add as much value as possible, I try to avoid posting personal opinion, unless clearly identified as personal opinion.

Because I hold advanced degrees in finance and a University teaching post I read lots of research papers. When ever possible, I cite this research during my posting and commenting here on Metafilter.

In this section I've tried to collect all references to journal articles that I've posted on MetaFilter, oranised by topic. At present this list is incomplete, but I will update as time permits. For topics that I don't have deep expertise in, this list also represents a reading list - so if you have suggestions please drop me a mail and I'll update so everyone can benefit.

Although I try to cite only freely available research papers and journal articles, not all of these are available off the public internet. Sorry, but that's just the way academic publishing works - I don't necessarily agree with the practice myself. That being said, if you google the papers title very often you'll find the authors will provide copies off their own web sites. Otherwise, the Social Sciences Research Network provides free access to many of these, or related, research papers.


ON THE TOPIC OF CAPITAL MARKETS ASSET BUBBLES

• BLANCHARD, O. and WATSON, M. (1982). "Bubbles, Rational Expectations and Financial Markets", NBER Working Paper No. 945.


• DIBA, B. and GROSSMAN, H. (1983). "Rational Asset Price bubbles", NBER Working Paper no. 1059.


• EVANS, G. W. (1986b). "A Test for Speculative Bubbles in the Sterling-Dollar Exchange Rate: 1981-84". American Economic Review, September, 621-36.


• FLOOD, R. P. and GARBER, P. M. (1980). "Market Fundamentals Versus Price Level Bubbles: the First Tests". Journal of Political Economy, LXXXVII, 745-70.


• FLOOD, R. P. and HODRICK, R. J. (1990). "On Testing for Speculative Bubbles". Journal of Economic Perspectives, 4, 85-101.


• HAMILTON, J. D. and WHITEMAN, C. M. (1985). "The Observable Implications of Self-Fulfilling Expectations", Journal of Monetary Economics, 16, 353-73.


• MEESE, R. A. (1986). "Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates". Journal of Political Economy, 94,345-73


• Payne, J., Waters, G., A., 'REIT markets and rational speculative bubbles: an empirical investigation', Applied Financial Economics; Jun 2007, Vol. 17 Issue 9


• STIGLITZ, J. E. (1990). "Symposium on Bubbles", Journal of Economic Perspectives, 4, 13-8.


• WEST, K. D. (1988). "Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation". Journal of Finance, XLIII, 639-60.


• WOO, W., T., "Some Evidence of Speeuiative Bubbles in the Foreign Exchange Markets."Journal of Money, Credit and Banking, 1987

VIOLATIONS OF THE EFFICIENT MARKETS HYPOTHESIS

• Haug, M., Hirschey, M., 2006, 'The January Effect', Financial Analysts Journal, Vol 62, No 5


• Jacobsen, B. , Bouman, S., 2001, 'The Halloween Indicator, Sell in May and Go Away: Another Puzzle', Massey University Working Paper


• Schwert, G., W., 2002. Anomalies and Market Efficiency, Handbook of the Economics of Finance, pages 937-972

ON THE TOPIC OF REFLEXIVITY IN THE FINANCIAL MARKETS

• Merton, R. K. ,1948, 'The self-fulfilling prophecy', Antioch Review
• Thomas, W. I., 1923, 'The Unadjusted Girl : With Cases and Standpoint for Behavior Analysis, Little, Brown


• Grunberg, E., Modigliani, F. , 1954, 'The predictability of social events', Journal of Political Economy


• Siegel, J., M. Miliken. 2006. 'Baby Boom—Baby Bomb? A Jeremy Siegel-Michael Miliken Debate', Miliken Institute Global Conference

ON THE PREDICTIVE POWER OF THE US YIELD CURVE

• Estrella, A., Mishkin, F., S., 1996, 'The Yield Curve as a Predictor of U.S. Recessions', CURRENT ISSUES IN ECONOMICS AND FINANCE, online, last accessed 1-5-2008

ON WHY RETAIL LOSES MONEY IN THE STOCK MARKET

• Barber, B., M., Odean, T., 2000, 'Trading is hazardous to your wealth: The common stock investment performance of individual investors', Journal of Finance, 55


• Barber, B., M., Odean, T., Strahilewitz M., 2002, 'Counterfactuals, naïve learning, and the purchase previously owned common stocks', University of California, Working paper


• Barber, B, M., Odean, T., 2008, 'All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors', Review of Financial Studies


• Benartzi, S., 2001, 'Excessive Extrapolation and the Allocation of 401(k) Accounts to Company Stock?', Journal of Finance, 56


• Black, F., 1986, 'Noise', Journal of Finance, 41


• Goetzmann, W., N., Kumar, A., 2002, 'Equity Portfolio Diversification',” National. Bureau of Economic Research Working Paper, No 8686


• Grinblatt, M., Sheridan T., Russ W., 1995, 'Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior', American Economic Review, 85


• Jackson, A., 2003, 'The Aggregate Behaviour of Individual Investors', London Business School, Working Paper


• Lewellen, W., Schlarbaum, G., Lease, R., 1974, 'The Individual Investor: Attributes and Attitudes', Journal of Finance, 29


• Odean, T., 1998, 'Are investors reluctant to realize their losses?', Journal of Finance, 53


• Shefrin, H., , Meir S., 1985, 'The disposition to sell winners too early and ride losers too long: Theory and evidence', Journal of Finance, 40

ON THE EFFECT OF ECONOMIC STIMULUS PACKAGES

• Agarwal, S., L., C., Souleles, N., S., 2007, "The Reaction of Consumer Spending and Debt to Tax Rebates - Evidence from Consumer Credit Data"


• Linfield, L., E., 2008, "Proposed Rebates in 2008: How Will Americans Spend Their Tax Rebate Checks?"


• Johnson, D., S., Parker, J., A., Souleles, N., S., 2005, "Household Expenditure and the Income Tax Rebates of 2001"


• Shapiro, M., D., Slemrod, J., B., 2002, "Did the 2001 Tax Rebate Stimulate Spending? Evidence from Taxpayer Surveys"


• Staff of the JOINT COMMITTEE ON TAXATION, 2008
  OVERVIEW OF PAST TAX LEGISLATION PROVIDING FISCAL STIMULUS AND ISSUES IN DESIGNING AND DELIVERING A CASH REBATE TO INDIVIDUALS

ON THE TRANSFORMATION OF WATER FROM NATURAL RESOURCE TO MARKET COMMODITY

• Anderson, T., L., Landry, C., J. , 2001, Exporting Water to the World, [.pdf]


• Gleick, P., H., 2008, Pacific Institute for Studies in Development, Environment, and Security, Water Conflict Chronology, [.pdf]


• , Anderson, T., L., 1998, The Rising Tide of Water Markets, [.pdf]

ON CARBON TRADING AND OTHER MARKET DRIVEN EMISSIONS CONTROL SCHEMES

• BHATIA, J., S., BHARGAVA, H., 2006, An Insight into Carbon Trading: Understanding the Behavior of Emissions Market with a Financial Perspective, The Icfai Journal of Applied Finance, Vol. 12, No. 11, pp. 59-70


• Bunn, D., Fezzi, C., Interaction of European Carbon Trading and Energy Prices, FEEM Working Paper No. 63.2007


• Burtraw, D., , Palmer, K., Bharvirkar, R., Paul, A., 2002, The Effect on Asset Values of the Allocation of Carbon Dioxide Emission Allowances


• Milunovich, G., Joyeux, R., 2007, The Effect on Asset Values of the Allocation of Carbon Dioxide Emission Allowances


• Milunovich, G., Stegman, A., Cotton, D., 2007, A Review of Carbon Trading Theory and Practice

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