This short post is primarily to give links to three excellent articles on macro economics by Ray Dalio, founder of Bridgewater. The first, a 'template for understanding' how economies work, is better than anything I have ever seen in introductory books on economics. The other two articles take a closer look at the dynamics of debt and … Continue reading The current crisis in historical perspective
Fixed-income investment strategies in the age of the New Normal
I came across an interesting presentation given by one of the senior members of PIMCO UK, a chap called Mike Amey. Click here to see it (a PDF). What I especially like about this presentation is that it covers a lot of the main topics that I hear investors discussing at the moment, ranging from … Continue reading Fixed-income investment strategies in the age of the New Normal
Bonham’s sells my Artwork
Some of my artwork sold at Bonham's. Have a look (click here). While I was at art college I spent some time working with Yorkshire-based landscape artist David Blackburn, and left my few drawings with him as part of his collection. He has sold off the lot. There were some lovely drawings and paintings there. I … Continue reading Bonham’s sells my Artwork
A quant trading model for swap spreads
I recently wrote quite a long post on swap spreads (click here to see that post), covering some general intuition about swap spreads: what does a swap spread represent, why does it move, when does it move, which direction does it go, etc. My blog stats show that a lot of people have read it, so … Continue reading A quant trading model for swap spreads
Two top tips for pricing
One of the most basic elements of any job on the trading floor is pricing. This post gives you two important tips that can help you to: reduce the probability of making a pricing mistake, talk to your trader in clearer terms, check that your pricing is reasonable, and generally get a better intuition for … Continue reading Two top tips for pricing
Why does the yield curve slope upwards?
In this post I give a short, but I think rather usefully direct reason for why the yield curve should slope upwards. All it requires is for you to put yourself in the shoes of an investor that has to lock up their money in a bond for a fixed amount of time (and a … Continue reading Why does the yield curve slope upwards?
What is the risk-neutral measure?
Here is a short list of the most common 'big-concept' questions that I was asked throughout my years as a quant (whether coming from people on the trading floor, in control functions, or from newcomers to the team), in no particular order: What is the risk-neutral measure? What is arbitrage-free pricing? What is a change … Continue reading What is the risk-neutral measure?
What was Fermat’s Non Proof?
No one in the mathematical world believes that Fermat actually had a valid proof of his famous Last Theorem (click here for the Wikipedia article). But I'd be interested to see what his non-proof looked like. Looking at why something is broken is often a good way to get insight into a new research direction. Think … Continue reading What was Fermat’s Non Proof?
The value of Good Explanations
I am a firm believer in the value of good explanations, and I'd say a lot of my time is spent on finding the right explanation or intuition for a process or event (this blog itself is an example). Rather like a good user interface, a good explanation can be the difference between a success … Continue reading The value of Good Explanations
Everything you wanted to know about Repo but were afraid to ask
Well the title is a bit of an overstatement! This post is actually just a short note with a link to a document which covers the concept of specialness in the repo market, and which is actually a good description of the repo market as a whole. Such things are hard to find, you know. … Continue reading Everything you wanted to know about Repo but were afraid to ask
Fermat's Last Spreadsheet 