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Michael Harris  

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  • Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]
    Good points. Thanks.
    May 30, 2014. 09:49 AM | Likes Like |Link to Comment
  • Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]
    When companies go public they essentially finance their growth and they offer equity. Instead of buying their shares back when they profit, they should give the money to the shareholders and let them decide whether they want to reinvest the dividends. Buybacks can become manipulation schemes. Markets should be regulated and very strictly because of lurking corruption. Only in Utopia land less government works.
    May 29, 2014. 04:04 PM | 2 Likes Like |Link to Comment
  • Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]
    Your thinking is probably correct.
    May 29, 2014. 03:58 PM | Likes Like |Link to Comment
  • Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]
    VIX is a joke and basically it follows the inverse of price: http://bit.ly/1mwdNHR
    May 29, 2014. 03:57 PM | Likes Like |Link to Comment
  • Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]
    I did not say that massive layoffs are happening, other than the 14,000 announced by HP yesterday, I say this is a sufficient condition for an extension of QE. CEOs do not need a conference call. They are a herd.
    May 29, 2014. 03:55 PM | Likes Like |Link to Comment
  • Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]
    A better way is to have some laws limiting the ability of companies to buy back shares at will.
    May 29, 2014. 08:52 AM | 3 Likes Like |Link to Comment
  • Massive Layoffs As A Sufficient Condition For An Extension Of The Bull Market [View article]
    Yeap, lowering outstanding shares makes EPS look good. But on a diluted basis many of those corporations have not been doing well.
    May 29, 2014. 08:50 AM | 2 Likes Like |Link to Comment
  • Drilling Down On Volatility Decay [View article]
    "I was not aware of the recent controversy regarding the use of the term “pseudo-force.”

    This is off-topic but everything is under scrutiny, including the very idea of force. To say that some force is not real implies that some other force is real, possibly those derived from potential functions. However, the existence of these forces can only be induced from their effects. This is not different than the case of inertial forces. For example, while the centripetal force is assumed to be real, the centrifugal force is assumed to be a pseudo force. However, when a stone tied to a string is rotated, is the force on the stone that causes the rotation or is the rotation that causes the force? Until this fundamental question is answered clearly, nobody is justified to call some forces real and some other forces not real. So yes, this is an ongoing debate and actually there is a slow return to the 18th century natural philosophy issues, like the impetus force, etc. I am trying to keep up but it is hard because the markets eat most of my time as you can understand...

    "Modern physics seeks to describe “material” interactions in a way that is independent of the observer’s particular vantage point. "

    This is because part of modern physics denies the existence of an absolute reference frame. Mathematically, an absolute reference frame is not required in macro world calculations as Einstein proved. But the QM micro world assumes an absolute background and thus the issue is far from settled.
    Sep 8, 2013. 06:38 AM | Likes Like |Link to Comment
  • Drilling Down On Volatility Decay [View article]
    Interesting paper. Since there are approximations involved, a relevant question would be to first find out how accurately the derived expressions model existing data. if the error is small, then some useful results can be drawn but if the error is large any conclusions would be problematic. For related approximations and models see the paper by H. Markowitz http://bit.ly/158xhgb

    Now, this is off-topic but I cannot resist commenting on it:

    "Viewed from this perspective the volatility bias is analogous to a "pseudo-force" in physics, where the apparent force (e.g. the centrifugal force ) is just an artifact of the observer's non-inertial frame of reference."

    But centrifugal forces are real inertial forces with real effects that, unfortunately, have been the cause of many tragic accidents like to recent derailment in Spain. It is unfortunate that some "modern" physicists have elected to call these real inertial forces "pseudo forces" just for pushing their own conception of the world.
    Sep 7, 2013. 02:07 PM | Likes Like |Link to Comment
  • Using The Kelly Criterion To Deploy Cash During Pullbacks [View article]
    But this is the well-know Jensen's inequality. http://bit.ly/14xJ6bZ
    Sep 6, 2013. 01:59 PM | Likes Like |Link to Comment
  • Using The Kelly Criterion To Deploy Cash During Pullbacks [View article]
    "However - in practice - one does not know the probabilities - its just a guess - so one has to ignore all this stuff and go total caveman - which is what I do. "

    I partly agree but there are 4 different definitions of probability. Depending on what you do you may be or not able to define probabilities exactly a priori.

    The important thing IMO is that averages converge to expected values only for sufficient samples (http://bit.ly/JfGUks). It may make no sense to talk about non-ergodic processes and refer to expectation at the same time. It may also be a straw man argument to involve infinities. People know that they live only in one of the infinite parallel universes and the ticket of a lottery with infinite expectation is priced in only one of the universes. This fact alone introduces additional considerations for pricing the tickets. For example, I would not pay more than $2 for it. This is a quick rebuttal of Peters paper and I would like to hear Varan's reply on this.
    Sep 6, 2013. 01:52 PM | Likes Like |Link to Comment
  • Aeropostale: Distressed Teen Retailer Is A Perfect Fit For A Private Equity-led Buyout [View article]
    Brands go out of fashion at some point and never recover. Gap did the right thing because "cheap and brand-less is now in".
    Sep 5, 2013. 07:54 AM | Likes Like |Link to Comment
  • Using The Kelly Criterion To Deploy Cash During Pullbacks [View article]
    "Pr Ole Peters has proven in 2011 that Markowitz's theory was based on flawed hypotheses: http://bit.ly/12JYCnF"

    Which is the flawed hypothesis? The only premise of Ole Peters' work is that standard economic theory is about maximizing expected return. This is false. Furthermore, his claim that maximizing geometric growth rate is the only criterion is never proved but assumed. This is like a circular argument: you assume what is true and then you conclude that your assumption is true. Here is a critique of his work http://bit.ly/17GL8ce
    Sep 5, 2013. 07:31 AM | Likes Like |Link to Comment
  • Using The Kelly Criterion To Deploy Cash During Pullbacks [View article]
    The expectation for (1+b) with probability p and -1 with probability q = 1-p is given by

    E = px(1+b) - qx1 = p(1+b) - q (1)

    It is known that the ratio of the expectation divided by the odds maximizes equity growth or that

    %K = E/(1+b) (2)

    Plug (1) into (2) and the result is

    %K = p - q/(1+b) (3)

    and NOT

    %K = p - q/b (4)

    which is a wrong application of the formula given the definitions of win and loss.

    A more general expression is

    %K = p - q/R (5)

    where R is the average win to average loss.
    Sep 3, 2013. 09:33 AM | Likes Like |Link to Comment
  • Using The Kelly Criterion To Deploy Cash During Pullbacks [View article]
    In my blog only http://bit.ly/17HCjCC. Thanks.
    Sep 3, 2013. 03:37 AM | Likes Like |Link to Comment
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