Leeson Mk. II

24 Jan 2008, 14:58 PM

Supposedly the _real_ reason behind the recent market volatility is some French schlub.

From the Times Colonist[1]
PARIS (Reuters) - A "massive fraud" by a junior rogue trader has punched a $7 billion hole in the finances of French bank Societe Generale , leaving its credibility in tatters and forcing it to get emergency cash. France's central bank and government scrambled to shore up confidence in the banking system after Societe Generale, France's second-biggest bank, said on Thursday it had been the victim of massive and "exceptional" fraud resulting in losses of 4.9 billion euros.
Supposedly this guy was earning less that $145k, working in risk management, taking offsetting positions to hedge against index exposure. SG was quoted as saying that it doesn't appear that he took on the rouge trades for personal gain. Go figure.

Update:
Let me pip the wiley New Zealander and point out that
Risk Magazine named the bank "Equity Derivatives House of the Year", while The Banker magazine named it as "Financial Institutions Group Asset-Liability Management House of the Year" in October.

[1] I know its from Reuters, but I just like the name 'Colonist'.
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Fear Of Peanut Butter Sticking To The Roof Of THe Mouth Phobia?

24 Jan 2008, 09:00 AM

One of the great things about the internet, and all that Google brings to it, is the ongoing battle between AdSense arbitrageurs and the SEO cops at Google. The arbs make pages that are designed to get past the algorithms used to detect arbitrage activity. The search engines argue that these landing pages provide no valuable content and shouldn't be placed highly in search engine result pages. I disagree. There is nothing more fun than watching the evolution as each side plays a double sided Turing test. It's algo battle - can Google's algorithm detect the difference between real articles and those written by arb algorithms? If the video tape revolution was funded by porn, then I predict that AI will come not from MIT, but from people eking out marginal returns from narrowing arb spreads. Or something like that.

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I find this hard to believe:

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Bernanke B (1990) On the predictive power of interest rates and interest rate spreads. New

24 Jan 2008, 01:00 AM


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Lets dance the contango

23 Jan 2008, 03:00 AM

Who will pay me $10 to borrow their mactop for a month? TechForward

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/2008/01/03/17/12/

18 Jan 2008, 05:40 AM


[click for 66mb quicktime video]

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/2008/01/13/23/36/

18 Jan 2008, 05:40 AM


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Markov me blogs, plz.

18 Jan 2008, 05:40 AM

Ok. Taking some time off from eyeing the markets and whatnot, I decided to see what markov chains would make of my daily blog reading. This is what I get:
A New York Fed-Princeton University Liquidity Conference today. The conditions that led to this problem, but what about supply? Stalin, who was looking for their openness, or thier APIs like Craigslist, Facebook, del.icious, or Google have always garnered their fare share of their total budget. It makes perfect sense that the strategy in a discussion. The drive to excel is cultural, I think you get into the rib place in what is the poor performance of the surface world, there may be available, or we can't get the right word. Version 2.0 of the deal.
Amen.

Bonus round:
Robin Hanson over at the national economy in the event exploring the possibility of timing sector rotation highly dubious, the fact is that it corresponds to picking the best modes of production, e.g. their explanations for the first two hurdles? Passing the PhD qualifying exams and obtaining a research project in Shared Capitalism at the same holds true for other reasons.


Ok. I can' stop!
A new film, about Bob Dylan, takes an abstract look at the MacWorld keynote. Steve offered up an email account on my blog (or both)? Should I hire him even though this piece represents only a subtle shift away from the context of imperfect international financial markets, they certainly shed a different sort of confusion that I will discuss goals and principles that, if this is happening now, the strengths and weaknesses of the path and experimenting for the next step occurs, behind the felixsalmon.com curve!
This is depressing. The algorithm writes better than me.

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.i hate people who leave off leading zeros
$0.86 YAY
$.86 NAY

18 Jan 2008, 05:40 AM


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/2008/01/04/14/41/

18 Jan 2008, 05:40 AM

Ugh. thanks for submitting to WhiteWhine.com. I'm so excited to have yet another email to read. Like I don't read enough email at the office everyday. What ever happened to 'me time'?

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Adding to my market microstructure library....

9 Jan 2008, 05:25 AM

Items not yet shipped:
Delivery estimate: January 11, 2008
  • 1 of: Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing (Wiley Finance)
    Sold by: Amazon.com, LLC
  • 1 of: Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading
    Sold by: Amazon.com, LLC
  • 1 of: Parimutuel Applications In Finance: New Markets for New Risks (Finance and Capital Markets)
    Sold by: Amazon.com, LLC




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