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Light speed relief from Latency marketing…
Just been reading a report on latency from Inside Market Data – main thing that hit me about the vendor discussions in the report is that they seem to be finding it more and more difficult to differentiate their offerings (aka: come up with much new/interesting to say) when talking about latency and approaching "light speed" physical limits on speed of communication.…
Far away from low latency…
…is the OTC derivatives market – still a lot to be done according to Finextra report and letter from the Fed:
http://www.finextra.com/fullstory.asp?id=18285…
Repeat after me…
Nice line from Martin Crook on the need for regulation at the FT:
“Repeat after me: you encourage recklessness if you protect people from its consequences.”
Good discussion on moral hazard of intervention towards the end of the article once you get past the bit on Obama/Clinton/McCain – interesting point is that the small risk of huge losses accepted by some banks/hedge funds (whilst in the meantime getting superior returns, see earlier post) immediately becomes society’s problem if and when these losses occur – so difficult to isolate society from the risk appetite of private investors:
http://www.ft.com/cms/s/0/cd997118-feb9-11dc-9e04-000077b07658.html…
Regulation is not the answer
Good article on regulation from John Kay in this mornings FT, arguing for an approach where banks are not subject to invasive regulation/investigation of their business strategy but are rather made to face the full risks of their own decisions – whilst at the same time ensuring that depositors and the payments are protected by the government.…
Time Series inside SQL Server
Case study of some of the work we have been doing with Microsoft on hosting our time series storage inside SQL Server has just gone up on their site at:
http://www.microsoft.com/casestudies/casestudy.aspx?casestudyid=4000001637…
Hedge funds and the long-dated option…
Seems like Martin Wolf of the FT has re-discovered the story of hedge funds selling long-dated options to enhance returns:
http://www.ft.com/cms/s/0/c8941ad4-f503-11dc-a21b-000077b07658.html
I thought this had been around as a story for a fair while in academia, but the points he makes on trying to understand whether the manager is adding value to the investment process are good.…
Real-time death data?
Death goes real-time: Deutsche Borse has supposedly set up live feeds from undertakers to find out what age people are when they die:
http://www.ft.com/cms/s/0/6bf8f1a2-f1fa-11dc-9b45-0000779fd2ac.html
Obviously the issue of longevity hedging is important for pension fund management, but I just hope that traders don’t get into manipulating the market, it could get ugly……
Crashmetrics for Greenspan?
Interesting article by Alan Greenspan in the FT today. One of a number of recent articles pointing at weaknesses in the modelling of risk re: the recent credit crisis – in particular taking putting forward that the human sentiment (e.g. greed or fear of loosing market share in bull market) may well be irrational, but it is systemic and observable and should be considered as a “factor” within risk and economic models.…
Higher quality data from the front office?
Sungard had a good event on Thursday night, with four risk managers taking the stage for a "thought leadership" seminar entitled "Regulatory Impact of Market Events" (if the advert is still around on their site, see http://www.sungard.com/ADAPTIV/default.aspx?id=4678&formAction=takeit&formid=48)
The Dresdner risk manager (Ted Macdonald, good speaker) was emphasising that data quality is a real issue for risk management, and that all participants thought that risk managers should spend more time on risk and less on validating/cleaning data (no great surprises there then but interesting to hear it validated again as an issue).…
Case studies on financial disasters
Interesting link on one of Sungard’s sites with good descriptions of recent and not so recent financial disasters – may be of some use in terms of learning from the past (given what has been going on lately!):
http://www.erisk.com/Learning/CaseStudies.asp
and in more visual form the "wheel of misfortune" at:
http://www.erisk.com/Learning/CaseStudies/WheelofMisfortune.asp…