m********0
发帖数: 2717 | 1 谢谢GPF的指正，还是改成cointegration了。
这样更精确，我也有用cointegration model的。
方法类似，
FA来找可能的pair candidate，etc same sector.
用historical data来验证是不是cointegrated，算出cointegration
coeffient,验证spread time series有没有mean reverting的特征。
liquid
过， |
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L****n
发帖数: 12932 | 2
until this week.
WSJ finally noticed the dissociation of USD and SPX since early December.
the associate revert from -1 to 0.
http://blogs.wsj.com/marketbeat/2011/01/07/dollar-to-stocks-you
should pad myself on the back for picking it up immediately (almost the very
first day) as it happened, not weeks later. a good reminder on how to read
the big market by READING INTO THE MARKET. |
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i******r
发帖数: 861 | 3 looks revert signal appear, do the correction finish? |
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N******r
发帖数: 642 | 4 commodities, stocks and currencies with high yields are all risk assets,
which tend to move together against US dollar in general. One good example
is S&P and Crude Oil. Therefore, from a macro standpoint, it all boils down
to the dollar trade (risk on/risk off).
this month such correlation was broken down and i *guess* the reason was the
wall street jammed up all the prices of risk assets last dec to mark their
books which leads to a pull-back regardless of dollar moves, same thing
happened in ... 阅读全帖 |
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g******u
发帖数: 30 | 5 there are definitely some short term headwinds. the big news from the FNSR
report yesterday is basically we have reassess the growth rate of the
optical fiber industry. it doesn't growth at 30% all the time. you get 30%
for a while for the first 2 quarters, then it reverts back to 10% because
the carriers have a backlog of inventories.
FNSR is definitely one of the more value stocks in the industry compared
with other crappy shitty small caps. if u believe in a 20% growth rate, 24
is clearly a g... 阅读全帖 |
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g******u
发帖数: 30 | 6
it is about the backlog of inventories man. the main problem is the orders
come in a very granular way. the clients of FNSR are big corporates making
exchanges, servers, networks etc. they order in big chunks. sometimes they
order too much, so they have a big backlog, so they will order less in the
next quarter. it doesn't mean huawei/zte is not doing well. it just means
the whole thing is too granular, the growth you get in the first 2
quarters is a bit above average, it will revert back in th... 阅读全帖 |
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l******u
发帖数: 3169 | 7 margin will revert to its historical norm though |
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w*********s
发帖数: 2136 | 8 #1
05-01-2011, 05:34 AM
mojo1
Member
Join Date: Mar 2009
Posts: 736
Silver
I was thinking about what silver is to me? Is it investment, savings,
insurance, money, wealth, or all of these things? I
believe gold and silver are unique in that they are acting very effectively
as all of the above, except their historical role
as money, in today’s fiat world.
Look at the all the long years of deception and methodical effort that the
bankers have put into convincing the masses
... 阅读全帖 |
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f****s
发帖数: 315 | 9 You got to be addictive to mean reverting.. ha |
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i****e
发帖数: 451 | 10 It really depends on the model assumption and what the true stock market
behavior is.
If we assume on day t, the return of index is X_t, which are mean zero,
independent RV, then the expected return over T days will be
E( \prod (1+X_t) ) = 1.0 === E( \prod( 1 + 3*X_t ) ) (expectation)
This shows that if we are in an ideal/theoreticaly world where stock markets
are independent from day to day, then 3X leverage is fine to hold. The main
problem of the above assumption is that X_t will not be ind... 阅读全帖 |
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c**y
发帖数: 419 | 11 我估计你说的是rolling period regression, 而不是step wise regression
step wise说的是很多变量, 一步步选择的问题
你这个意思, 用rolling period更贴切点
ernst chan也没看出它有多牛, 也就是个mean reverting的long/short方法
太不真实 |
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w********2
发帖数: 16371 | 12 JPM 已经提高了预期，认为beat
citigroup 认为会miss
JP Morgan’s Doug Anmuth, who just started coverage of Google (GOOG) with a
Buy yesterday, this morning opines that the company will beat consensus
estimates tonight when it reports Q2 results and writes that he’s looking
for comments this evening on whether operating expense growth is speeding up
or slowing down, along with other tidbits on Google+, the company’s new
social networking initiative, and on Android and the mobile computing market.
Anmuth projects... 阅读全帖 |
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m********0
发帖数: 2717 | 13 Style不同，sentimental很重要，不过我没花多少时间，
ET上有段话说的不错。
Professionals who tend to be highly invested in their intelligence,
particularly self-esteem wise, tend to be the most rebellious. Many come to
realize that basic time-proven trend following behavior completely annuls
their need and ability to understand complicated econometrics, including the
emotional need to develop esoteric models that attempt to show why equities
/commodities go up,down or revert to a mean. That typically doesn't feel
good as th... 阅读全帖 |
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c**y
发帖数: 419 | 14 我更喜欢把这个工具用来做alpha beta分离, 而不是pair trading, 因为mean
reverting的不好找. 这样的话,我就把该股的alpha象正股一样炒, 而这个alpha跟大盘
的涨跌无关.
再画上百分比跟踪止损的话, 就非常清楚这个alpha的波动幅度是不是大到值得做.
一把券商提供50%的margin, 所以你的本金做long的话, 用那一半margin做short. |
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c*****r
发帖数: 8227 | 16 1. Buy mid-sized and large stocks that are growing earnings and revenue
2. Buy large and mega-sized stocks that are paying consistent dividends and
have low debt-to-equity ratios
3. Read the news on your stocks once a week maximum, once a month minimum
4. The moment a stock disappoints you or makes you wish you hadn't bought it
, sell it. Immediately and regardless of price. Life is too short to hope
a bad decision reverses itself
5. Don't get In or Out of the market, but modulate your exposu... 阅读全帖 |
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W********g
发帖数: 610 | 17 设计过压力容器不？知道压力容器多危险不？
Natural Gas Cars Pros my结论，电车是必然，天然气车多余
Pollution Control: This is one of the biggest issues gripping the world
today. The effects of air pollution are of great concern to modern
scientists. If the pollution is not controlled now, we may never be able to
revert the environmental damage we have caused. Natural gas cars are far
less polluting compared to gasoline cars.
Tax Incentives: Not just in America, governments all around the world have
declared tax incentives to consu... 阅读全帖 |
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s*****n
发帖数: 5488 | 18 经过内部擦屁股的版本。考虑到这个鸟公司一贯作风。我相信它是short sequeeze然后
反被别人搞了。因为对手盘资金更雄厚。
Iskil’s positions were reported large enough that they moved prices, so
that buying protection on the index was cheaper than buying protection on
the individual credits underlying the index.
Hedge fund traders reportedly started calling Iskil the “London Whale” and
began placing a variety of bets against his positions. Many believed that
his position was so large that he would have to lose money once the index
and the underlying cr... 阅读全帖 |
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a*o
发帖数: 19981 | 19 割个精光也不会上38，3:1 revert split差不多。 |
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i*******e
发帖数: 1904 | 20 Conclusion from pre-crisis data doesn't fit into post-crisis reality very
well.
The trend-line-reverting behavior is very phenomenal in current market.
Now 4 down days in a row and we are quite below the trend line, I bet more
chance on a weak rebound tomorrow.
But if we can't see a slightest rebound tomorrow, then we will have more
troubles ahead... |
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S**********r
发帖数: 553 | 21 ""首先，煤炭和天然气关系不大。""
我真不懂, 但我觉得你好像也不太懂. 反正我读的和你相反. 天然气翻番对煤因该非常
利好吧.
Teri Viswanath, a gas-market strategist at BNP Paribas, is predicting prices
will hit $4 per million BTUs by next year. If prices rise too high, some
utilities may revert to burning coal, which becomes a more profitable option
when natural gas goes well above $3, according to Morgan Stanley.
Utilities, including American Electric Power , say switching back to coal
wouldn't make sense unless natural gas were much higher than $3.
"... 阅读全帖 |
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w***n
发帖数: 1519 | 22 I agree that many times VIX's mean reverting coincides with market topping/
bottoming process. However, I am not convinced that the two have causal
relations. |
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l*********m
发帖数: 16971 | 23 【 以下文字转载自 SanFrancisco 讨论区 】
发信人: TopHuang (Top+Gun), 信区: SanFrancisco
标 题: Re: 为什么大家都在喊明年要大幅增税？
发信站: BBS 未名空间站 (Sun Sep 2 21:17:30 2012, 美东)
涨了不少呀
Tax Rates Increase for Everyone
The tax rates found in the federal tax tables revert to what they were prior
to the passage of the Bush Tax Cuts. The existing 10 percent bracket is
eliminated. The lowest bracket will be 15 percent. The existing 25 percent
bracket will be replaced by a 28 percent bracket; the existing 28 percent
bracket will be repl... 阅读全帖 |
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H******i
发帖数: 4704 | 24 Tech Trader Daily
April 26, 2013, 2:51 P.M. ET
Amazon Falls 6%: Bull, Bear Debate Slowing Growth, Profit Potential
By Tiernan Ray
Shares of Amazon.com (AMZN) are down $17, or 6%, at $257.70, following a Q1
earnings report last night that featured lower-than-expected revenue, higher
-than-expected operating income, and a forecast for revenue this quarter
below expectations.
Amazon shares today reflect not only last night’s results, but also,
perhaps, word that a bill to pass Internet sales tax pa... 阅读全帖 |
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H******i
发帖数: 4704 | 25 Eric Sheridan, UBS:
Reiterates a Neutral rating and a $275 price target. Sheridan trimmed this
year’s estimates to $74.75 billion in revenue from $74.87 billion, while
raising his CSOI estimate to $1.73 billion from $1.56 billion. He models a
net loss of 30 cents per share this year, on a GAAP basis, in contrast to
most analysts’ profit projection. Similar to last quarter’s results, we
continue to see a trend of slight downward revision to revenue estimates and
an upward move on margins as causi... 阅读全帖 |
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k**l
发帖数: 2966 | 26 perfect mean reverting process? |
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C***U
发帖数: 2406 | 27 找个股票之前好像有个项目被 FDA revert
最近换了ceo 看好能重新通过药品实验
大牛们说说这个股票如何? |
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p******e
发帖数: 17163 | 28 there is a strong tendency for trader performance to revert to mean
according to sec. so take watever u want with it. |
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T*R
发帖数: 36302 | 29 这个不是很正常的。
上一次好像是十二月的调整前。我记得很清楚DMA大牛还和我说不急着买TVIX，等VIX
BACKWARDATION。后来没两天就来了。
我大概在网上查了一下，有一种说法是，futures markets expect the VIX level to
revert to a historical mean, which is lower after a jump but higher during '
quiet' periods. Therefore, the futures curve perhaps 'points' to the
expected mean.
看这个意思，难道VIX会回归低位，一个小牛市很快就要来到？ |
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S*********g
发帖数: 24893 | 30 【 以下文字转载自 StephenKing 俱乐部 】
发信人: StephenKing (金博士), 信区: StephenKing
标 题: 不系安全带，John Nash今天车祸死了
发信站: BBS 未名空间站 (Sun May 24 11:17:59 2015, 美东)
John Forbes Nash, Jr.
Born June 13, 1928
Bluefield, West Virginia, U.S.
Died May 23, 2015 (aged 86) [1]
Residence United States
Nationality American
Fields
Mathematics
Economics
Institutions
Massachusetts Institute of Technology
Princeton University
Alma mater
Princeton University
Carnegie Institute of Te... 阅读全帖 |
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h********o
发帖数: 3320 | 31 "VIX mean reverts, but contango loses forever"
: Short UVXY for ever
|
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h********o
发帖数: 3320 | 32 When VIX crushes, it rarely revert back quickly like S&P 500. Most time it
will stay low for a while before it spikes again. When VIX is low, short
volatility has higher chance to win. But given enough time, VIX will always
come back up because it always follow the mean reversion pattern, but not
UVXY. IF you look at mid to long term pattern of UVXY, you will understand
that UVXY never follow mean reversion pattern. |
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g*******s
发帖数: 2828 | 33 80年代初，Volker为了控制通胀,疯狂加息，直接导致了一个很快的double dip
recession。不过通胀被控制后，74年后滞涨的经济很快复苏。82年大底时大市PE只有7
-8x，而且profit margin很低，interest rate 14%+。接下来6年earning grew at
double digit, rates were cut by half，simple math would dictate 20%+ equity
returns. interestingly, up until '87 crash, 30 year treasury almost had the
same total return as equity. 还有一个因素是70年代底Mike Milken开创的junk
bond market，创造了LBO这个机器，从侧面激励管理层cut costs/improve margin。90
年代初一个短暂的recession后，就是科技股领导了接下来一个大牛市，某种程度来说
96年后的都是超涨，最后全还回来了。
over the long ... 阅读全帖 |
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f********s
发帖数: 658 | 34 Key takeaways:
1. The wealth effect due to improving employment situation will transfer to
higher consumption and hence help to support GDP growth
2. The job market is expected to strengthen in the coming months.
3. Capital investment has been weak for the past months but expected to
increase
4. Productivity is expected to increase in the near future though the
timing is uncertain
FOMC will keep hiking rate until 2019.
My thoughts:
1. There is little chance that the US economy will revert course... 阅读全帖 |
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f********s
发帖数: 658 | 35 Key takeaways:
1. The wealth effect due to improving employment situation will transfer to
higher consumption and hence help to support GDP growth
2. The job market is expected to strengthen in the coming months.
3. Capital investment has been weak for the past months but expected to
increase
4. Productivity is expected to increase in the near future though the
timing is uncertain
FOMC will keep hiking rate until 2019.
My thoughts:
1. There is little chance that the US economy will revert course... 阅读全帖 |
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t******e
发帖数: 673 | 36 The index price does not follow a mean reverting Ornstein-Uhlenbeck process.
Contrary to Naive experience.
SPX, NDX are not stationary, nor Markovian.
However the index log return are approximately stationary and Gaussian.
If we assume the index log return follows Ornstein-Uhlenbeck process. The
return will catch up to historical means and likely overshoot.
Given the low return 2014-2016, 2000-2016. This is a volatility breakout and
we must catch the train. |
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x*********n
发帖数: 28013 | 37 存10万，500 free trades。
过几个月钱取出来，手续费revert了吗？ |
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w****o
发帖数: 2260 | 38 咋说都行。分析师就是胡说八道
https://www.barrons.com/articles/after-the-bell-dow-s-p-500-slide-because-
more-good-news-may-sound-bad-1535665935
After the Bell: Dow, S&P 500 Slide Because ‘More Good News’ May Sound Bad
ByEvie Liu Updated Aug. 30, 2018 9:06 p.m. ET
After the Bell: Dow, S&P 500 Slide Because ‘More Good News’ May Sound Bad
ILLUSTRATION: SPENCER PLATT/GETTY IMAGES
Taking a break? After a week of rallying, all three major stock indexes
closed with losses Thursday. The Dow Jones Industrial Average t... 阅读全帖 |
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a********h
发帖数: 819 | 39 2011年contributed 5000 to non deductible Ira and then converted to roth
Can i revert the 5000 and then distribute the 5000 contribution? How?
The reason I want to do this is that I just found that I can't use 5000 as
the basis for Roth conversion
The 5000 basis has to be prorated since I have other ira balance |
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l********d
发帖数: 443 | 40 Exemption amounts for AMT will be slashed almost half next year (if no more
tax relief act is passed). Exemption phase-out starts at $150,000 for
married filing jointly.
AMT Exemption Amounts for 2011
Legislated as part of the 2010 Tax Relief Act:
$48,450 for single and head of household filers,
$74,450 for married people filing jointly and for qualifying widows or
widowers, and
$37,225 for married people filing separately.
AMT Exemption Amounts for 2012
The alternative minimum tax exemption a... 阅读全帖 |
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b***j
发帖数: 554 | 41 那那个pretax的401k怎么处理呢？不行就得revert前一阵的roth convertion？
[在 fakeshawn (spoon!) 的大作中提到：]
：是会要交税。所以不要rollover到IRA。
：
：........... |
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b***j
发帖数: 554 | 42 谢谢耐心解答。那要是原公司不让留着，新公司又不收，是不是就只有rollover到
traditional ira了？这样一来，之前的convertion就要交大量的税，因为这个
rollover ira都是税前的钱？即使在做convertion的时候，这个rollover ira并不存在
，但是是在同一年里面，就要一起算？
那样的话，就只有把之前的back door roth ira conversion给revert了？
谢谢了！ |
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t*******i
发帖数: 4960 | 43 我同事真应该看到这段话。用了n 年的代码，他非要挪来挪去改来改去，出了3次影响
到用户的事故了，也不吸取教训。
现在我跟在后面 review 他的代码，还不能直接说让他 revert 回去，人家级别比我高
啊。不知道他放了多少定时炸弹。自己写的东西跟屎一样，还说前任写的不好。
我自己就是，能一行搞定的绝不写两行，老代码里面的无用代码，视而不见，有一次看
见个 while (0)，还是当没看见。 |
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h***m
发帖数: 1869 | 44 ☆─────────────────────────────────────☆
lamxdotx (All is well) 于 (Sat Dec 15 03:43:30 2012, 美东) 提到:
标题看了也许有点搞笑，可是其实我是很伤心。我从学校毕业工作刚一年，被其他组
比较senior的人跟我们组的seniors说代码写的是一陀屎，背后说过一次（至少一次我
知道的），当我面也说过一次。我们组senior很生气，帮我跟人吵，背后也安慰我说
别组人就是看我资历浅欺负我(用的bully这个词），说如果我想也可以报告给那人上级，
要那人给我道歉。
这种情况我要怎么处理呢？我被当面说的时候那人也不是指着我鼻子说，只不过是说
有一个地方代码是一陀屎。我当时愣了想可能他不知道是我写的所以才当面说，就当
了包子。回来越想越伤心，我干活也算卖力，代码写的不少，倒有地方让人说一陀屎
了。还有就是大家这么大人了，我是被人多不当算才能被这么说？求开解
update:
给我做code review的人觉得没问题。事实上我根本是按照我们组内的路线写的，别组
人说我写的不好其实也是煽我们组senio... 阅读全帖 |
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y***n
发帖数: 2318 | 45 找二线以上的管理层反应肯定不能revert the layoff decision,但是可以给你的人品
低劣的印度经理留案底，有可能制约丫在公司的发展。
方式用词要注意，要让管理层觉得你是在为公司的利益着想。 |
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w***h
发帖数: 415 | 46 Just a reminder. You should understand any potential risk if you decide to
do so, especially in case should your 140 got denied, for your own specific
status, would everything be fine and revertible. Your attorney should be
able to answer these questions for sure. |
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L******r
发帖数: 141 | 47 All the materials were taken from Administrative Decisions (Aliens with Extraordinary Ability/ Outstanding Professors and Researchers). 所以这些话是权威!!!
I downloaded All the AAO decisions for the past three years. I read one by one for a total number of more than 200 decisions. I took good paragraphs from recommendation letters which IOs thought have met criterion of contribution. Because the works were from PDF files, I had to reformat them into word file.
It took me many hours to do the work and I... 阅读全帖 |
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v*******n
发帖数: 8995 | 48 好像非常合适我的背景，请考虑一下我， 谢谢
ying wang
[email protected]
/* */
背景是molecular biology，cancer(ovarian cancer, tumor metastasis)/stem cell
biology
文章有molecular cell 和cancer research
1. Wang Y, Arribas-Layton M, Chen Y, Lykke-Andersen J, and Sen GL.DDX6
Orchestrates Mammalian Progenitor Functionthrough the mRNA Degradation and
Translation Pathways. Mol Cell. doi:10.1016/j.molcel.2015.08.014
2. Mistry DS, Chen Y, Wang Y, Sen GL. Transcriptional profiling of SNAI2
regulated genes in primary human kerat... 阅读全帖 |
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s***l
发帖数: 2769 | 49 我有过完全相同的情况，是去开会。以下是我律师从AILA得来的意见。后来H-1B延期在我离美前批了。我开完会还是用AP回来的。
One does not abandon their H status when extending, only when changing
status. Thus, you may leave and reenter on the advance parole. Once the H is
approved after you return, you will revert back to H again. If the H is
approved while you are gone or before you will need to make the decision to
either 1) have the approval mailed, obtain an H visa, and enter as an H, or
2) reenter on the Advance Parole and go in to parolee status. The |
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m*****r
发帖数: 280 | 50 fd2010,我的一点猜测，盲人摸象，供你参考。
我们的bio都在USCIS Support Center里有记录，尽管bio在转往中心的过程中因为某些
原因丢失了（甚至是重复地丢失），只要IO愿意找，在support center总能找到。
发follow-up email的时候，一定要highlight你已经做过bio了，因为有的IO根本就不
认真读email。你的申请也是在TSC吗？如果是，是不是可以要求把email forward 给
Officer McKire，这个IO似乎比较负责，也知道怎么去找。
到底是什么原因导致bio总是无法送到正确的中心？我家的情况是：
07/2007：递交I-485
09/2007：申请由CSC转到TSC
10/2007：主申请人和副申请人第一次打指纹
10/2007：搬家，通知USCIS更改地址
我猜是转中心+搬家？
The email I sent to TSC -
===============================
Oct.28
Dear Officer:
I would like to bring it to your att... 阅读全帖 |
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