Readings: Derivatives Week, Mirror Charts, Ranbaxy-Daiichi
- Daily Speculations: Derivatives Week
The Practitioners, The Quant and The Nobel Prize were the speakers at todays finale of the NasdaqOMX Derivatives Week in Stockholm.
“When ‘extraordinary popular delusions and the madness of crowds’ takes over, mathematical models go out the window”.
“use vulgar variables but in a sophisticated way”.
- Vertical Solutions: S&P Mirror Chart
An interesting experiment during the 2000-02 correction was to take the mirror image of the path up and see how closely the path down would follow it. Here is that excercise again applied to 2000-02 (red) and now to 2003-07 (red). The red line is the projected path of the S&P when taken as a mirror image of the path up.
System traders must check out the set of articles put out by Carstens. Lots of simple but innovative ideas for systems, as well as how to avoid the pitfalls of systme development.
- Economic Times: Did mkts get a wind of Ranbaxy-Daiichi deal?
. . . a closer look at the performance of Ranbaxy Labs on Dalal Street in the last three months tells a different story. It appears that the stock market knew about this deal before hand and probably a case of insider trading cannot be ruled out.
But it’s not Ranbaxy Laboratories alone, a SundayET analysis of all listed Indian companies, including Ambuja Cements, Centurion Bank of Punjab and i-flex Solutions, that were acquired in the last two years, shows that the stock price followed the same pattern. In all these cases, their stock prices outperformed industry peers’ performance on the bourses during the period of 90 days leading to the deal announcement.
Look at call & put option data for the few weeks leading to the announcement.
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June 15th, 2008 at 8:59 am
Do you have the link for the system traders articles put out by Carstens?
June 16th, 2008 at 8:48 am
Manish,
Check out these: http://verticalsolutions.com/papers.html