And Now For Something Completely Different

Now is the time most faculty are putting together syllabi for the fall semester. Since I'm in the midst of it too, I was going through my files for anything that might get a chuckle from the class. Here are a few things I came across.

I definitely WON'T share this wonderful example of financial engineering (Courtesy of Barry Ritholtz): Constant Obligation Leveraged Originated Structured Oscillating Money Bridged Asset Guarantees, or COLOSTOMY BAGS.

From the always popular Monty Python, we have The Stock Market Report and The Money Programme

Finally, here's one of my favorite musicians of days past(Dr. Teeth of the Muppets) singinging The Money Song

If you have any others (whether in good taste or not), send them along (or use the comments section).

Wednesday Link Dump

We've had guests at the Unknown Household the last two days, but they left today. So, it's back to work, cycling, and blogging.

I've been working on a fairly intensive project that requires me to merge data from five different databases, and two of the databases are pretty large (13 and 60 gigabytes in size, respectively). I'd done much of the work in the last couple of weeks, and then realized that I was using the wrong date to merge things by. I redid some of my programs that had accessed the different databases individually so that they now pulled all the data in one pass. But it took 9 hours to run. It reminds me of the old days in grad school programming on a mainframe when I'd submit the program as I left for the night and would let it run overnight.

But enough wonkery. It's time to clean out my files. And that means a Link Dump:

Hedge Funds and Private Equity

It's been a rough couple of weeks for hedge funds that use statistical arbitrage and merger arbitrage strategies. Abnormal Returns has it's usual great roundup of links on the topic.

You know it's a private equity bubble when you see this

Investing

Here are two pieces on insider trading: The New York Times discusses recent research by Najat Seyhun (the "academic god" of insider trading research) on his new approach to weighting insider trading data. His conclusion is that insiders aren't nearly a bearish as we'd thought. And here the Wall Street Journal (online subscription required) reports that executives have been pretty bullish following the recent market correction.

A good example of a stock spam scam (say that three times fast if you can).

Academic Research and Academia

The reputational effects for Directors from Financial Fraud by Fich and Shivdasani

CXO Advisory Blog reports on research by James Doran, David Peterson and Colby Wright on academics views on market efficiency. They find that while most finance professors believe that markets are semi-strong form efficient, about 20% use strategies that seem to fly in the face of that view.

Humor

Raging bull (HT: The Big Picture)

Slate has a good primer on How to speak hedgie that could have been written by Ambrose Bierce.

That's enough for now. Back to torturing data.

A Waterlogged Family Weekend

T'was a good weekend at the Unknown Household. Saturday, the Unknown Wife and I celebrated our 17th anniversary. It's kind of humbling to realize that our friend's daughter (who just graduated high school) wasn't born until about a month after our wedding.

Sunday we went to a nearby place that has a small hill for skiing & snowboarding during the winter. But during the summer, they have a water slide that's about 5 stories high (built onto the side of the hill) with some great twists and turns. Our kids must have gone down it about 25 times. Since walking up the hill got to be a bit much for the Unknown Wife and I after about the 15th time, we mostly waited at the bottom near the pool and enjoyed the sights and sounds of the kids coming down. We could always tell when it was our daughtergoing down the slide, because her screams made a nice Doppler effect as she got closer.

By this morning, I still had about half the water in my sinuses, and a nice sunburn on the top of my head (it seems like the "ground cover" has gotten a bit sparse). But at least my legs felt o.k - all that biking I've been doing this summer seems to have been good for something.

A Revise and Resubmit

Looks like I get to end the week on a good note. I just got a "revise and resubmit" in the mail. For those not in academia, this means that an article I sent to a journal made it past the first round of reviews. The referee gave us a lot of issues to address, but nothing too difficult. with a bit of work, we should be able to address the referee's concerns and get it sent back to the journal in the next few weeks.

So I might well be starting the new academic year with another publication. It's nothing earth shattering, but at this point I figure another two publications (this one and one other) in the next year should make getting tenure a very good probability.

Pointy Headed Bosses Shouldn't be Given Spreadsheets

Wednesday (Birthday) Link Dump

Sometimes having kids can be hazardous to your health. Today's my 49th birthday (in another year I suppose I'll start getting those AARP mailings), and I faked being asleep this morning when the kids came up to wake me up. So, the 8 year-old Unknown Son puts his mouth to my ear and shouts "WAKE UP". This was followed by the classic:

Happy Birthday to you
Happy Birthday to you
You Look Like a Monkey
And Smell Like A Zoo

Now that my ears have stopped ringing, I figure it's time for a Link Dump (it's been a while, and I've been taking a bit of a slacker's vacation from blogging). So, in no particular order:

Barry Ritholtz at The Big Picture has been finding and posting some pretty cool visuals (thanks - they'll be used in my classes this fall) on the slicing and dicing of mortgages, here and here.

Businessweek.com highlights a new study by Westphal and Clement that finds that top executives try to temper analysts negative reports by currying favor. Not surprising, really, but still a good read.

According to a study by Christopher Clifford of Arizona State university, large block (> 5%) investments by activist hedge funds result in significant operational improvements by target companies.

Joe Carter at Evangelical Outpost lists and explains Five Logical Fallacies
in part 3 of his "How Not To Argue" series.

Here's a very cool YouTube video of a guy repairing high voltage wires from a helicopter. I'll take my current job, thank you very much.

The Wall Street Journal (online subscription required) reports on the sub-par performance of long-short and market-neutral funds.

Enough blogging - back to work.

Using Sub-Prime Loans to Stick It To The Man

I'm getting kind of sick of hearing everyone talk about subprime loans. But John Stewart at the Daily Show and Larry Wilmore (the show's "Senior black correspondent) have a different take on the subject.

HT: Credit Slips

update: it looks like the links at Comedy Central were messed up. It's working now.

Lyme Disease

The Unknown Daughter had a rash for the last few days. Today we went to the doctor, and it turns out she has Lyme Disease. For those of you in parts of the country where it's not common, it's a spirochete that gets spread by deer tick, and usually manifests as a bulls eye-shaped rash.

If it's not caught early, it can result in a lot of serious and long-ranging problems. But luckily, we did catch it, so it merely means a three-week course of amoxicillin.

But I can;'t let this go without a link to this.

Some Interesting Uses For The VIX

David Merkel at The Aleph Blog has put up several great pieces on the VIX (the CBOE Volatility Index):

In this post, he relates changes in the VIX to changes in the S&P (a % change in the VIX results in about a 10 basis point change in the S&P in the opposite direction), with an R-squared of about 50% (i.e. variation in the VIX explain about 50% of the variation of the S&P). He also notes the mean-reversion in the VIX, and that the S&P tends to be high when the VIX is low (and vice-versa).

He lays out some of the math of VIX mean reversion here (caution - serious nerd alert ahead), and gives a few applications here (including a slick way of using implied vcolatility to get beta).

And yes, he's been added to the blogroll.

At Least I Never Used This Mover

The Unknown Wife and I have made interstate moves five times in the last 17 years (our anniversary is in about a week and a half). Some moves have gone well, and some not so well. But at least we never used this guy.



As I recently read on another blog, TNSTAAFL (There's No Such Thing As A Free Lunch). On a related note, Unknown Wife has informed tme that if I don't get tenure, I better find a school to commute to, since she loves our current neighborhood). But I don't think it'll be too much of a problem - I have a pretty good publishing record so far, and I have 5 currently under review.

But just in case, remember - don't go with the big guy.