Blogger-at-large, Yours Truly, wandered over to a debate organized by the London Quant Group (LQC) last Tuesday, on the topic of fundamental indexing. In one corner, we had Dr Adam Olive of HSBC, arguing for fundamental indexing, primarily as an improvement over pure market-cap (market capitalization) based indices. In the other corner, we had Ed [...]
Archive for the ‘Equities’ Category
Fundamental indexing Leave a comment
Downloading free financial data Leave a comment
It’s a bit grungy, but nowadays it’s much easier than it’s ever been. I mean getting financial data. Shockingly, you can get a lot for free. Milton Friedman, eat your heart out. Granted, the data’s delayed. The breadth of available data is as wide as the English Channel, including not only price data, but also [...]
program trading Leave a comment
from www.programtrading.com on US equities: Program Trading Averaged 64.00 Percent of the Volume from Feb 26 to March 2, 2007 Buy programs were 47.37% of the total program trading volume. That is down a lot from the previous week. Sell programs were 52.63%. That is up a lot from the previous week. Pure index arbitrage [...]
shrinking equity supply Leave a comment
The following note comments on the shrinking supply of equities, and how it is impacting equity prices across the board: http://web-xp2a-pws.ntrs.com/content//media/attachment/data/econ_research/0703/document/dd030807.pdf The analysis looks into how US equity shareholders are selling to international in investors. As far as I can tell, each stock is different. A shrinking aggregate supply would mean that in aggregate, prices [...]
