Saturday, September 18, 2010

Real test of USDJPY intervention may come on Tuesday, after FOMC decision

On September 15th, BoJ intervened on the forex. USDJPY jumped 3,3%, to the level from the end of August. Can this action stop the strenghtening of Japanese yen?

Source: Stooq

An interesting study on Japanese forex interventions in 1990s was prepared by Takatoshi Ito from Institute of Economic Research, Hitotsubashi University.

The amount of money used by the Bank of Japan for the intervention should be disclosed on November 8th on the page dedicated to Foreign Exchange Intervention Operations maintained by the Ministry of Finance in Japan: http://www.mof.go.jp/english/e1c021.htm
The amount of the intervention is estimated at 1 trillion JPY (11,7 billion USD).

The first test of the effectiveness of the intervention may come on Tuesday, September 21st, when FOMC announces its interest rate decision and possibly further plans for quantitative easing.

Finanace and distributed computing does not mix?

Browsing through the list of distributing computing projects on Wikipedia, I've found just two financial projects - MoneyBee and GStock.

The first of them - MoneyBee - was conceived as a way to forecast stock markets using neural networks. It was launched in September 2000. According to the information on the MoneyBee's website, the project failed and is suspended.

Fig. MoneyBee Screensaver

GStock launched in 2006 and is still operational. It uses technical analysis to generate buy and sell signals for over 4000 stocks. According to information on the project's website, the signals given by the system were correct in 2 out of 3 instances.

Fig. Exemplary GStock chart with generated signals for Google Inc. over 1 year period


Sources:

Friday, September 17, 2010

Gold price far from record in EUR and CHF terms - future uncertain

Fig. Gold in USD, EUR and CHF, 1 year, 2010-09-17
Source: Stooq

Depending on the currency in which you price gold, it has reached the new height in absolute terms (USD), is correcting after a strong fall in July (EUR), or stabilizing after it (CHF).

Based on your choice of currency, you may try to predict the future performance of the gold price. And it's not clear at all.

Friday, September 3, 2010

Lyxor ETF WIG20 - the first ETF coming to Warsaw Stock Exchange

Lyxor Asset Management, a division of Societe Generale Group, plans to launch the first Polish ETF (Exchange Traded Fund) in September.

Lyxor ETF WIG20 will track movements of 20 biggest Polish stocks included in the main index of the Warsaw Stock Exchange - WIG20.

Key parameters:
  • quoted on the WSE
  • price = WIG20 * 1/10
  • 0,5% annual management fee
  • selling short?

Introduction of this ETF may allow implementation of some arbitrage strategies using either stocks or index futures. Especially if ETF's tracking error will be noticeable, what can happen in times of higher volatility.

see presentation about the ETF: www.lyxoretf.pl/fileadmin/user_upload/ETF/PL/Brochures/LYXOR_ETF_WIG20.pdf

more information: www.lyxoretf.pl

Thursday, September 2, 2010

Comparing states of economies of US, EU and China with SENSEnews

I've just started a trial with semantic news service SENSEnews.

As the first test, I've generated charts visualizing six months information flows about the US, EU and Chinese economies.

I've added some additional queries about performance of euro or probability of bubble forming in Chine to the default set of queries predefined in the system.



As an example, I'm showing below results generated by SENSEnews for the query about possible bubble in China:

Is there a bubble in China?





$LVS Just because there is a bubble in China, means Asians want to game even more to make back the money they lost
Twitter - Sep, 02 12:03 (EST)
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Property bubbles exist in some of Chinas large cities, the Peoples Daily reported Aug. 23, citing Ba Shusong, deputy head of the financial institute of the State Councils Development Research Center. He said there is no evidence of a nationwide property bubble in China. China, which hasnt raised interest rates since December 2007, may start increasing borrowing costs from the fourth quarter because of accelerating inflation, large wage increases and loose liquidity conditions, RBC Capital Markets said after the release of July inflation data on Aug. 11. The inflation rate accelerated to 3.3 percent in July, the fastest pace in 21 months, pushed up by floods that destroyed crops. The government is still studying property tax and plans to introduce property tax reform, Xinhua News Agency reported Aug. 24, citing Xu Lin, director of the finance department at the National Development and Reform Commission.
BusinessWeek - Sep, 02 10:01 (EST)
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Asharp pickup in real state prices in China is a key risk to the nation's economic growth and is leading to a classic bubble situation, according to Standard & Poor's. It is forecasting that prices will rise 10.3% this year to an unsustainable level and they will need to come down if they are not to affect economic performance. 'The property market looks darn good, it's been going up, and this is a classic bubble. Prices are rising to an unsustainable level,' said David Wyss, chief economist at S&P. The property sector contributes about 20% to the Chinese economy through real estate investments and related industries, according to Citic Bank International. Since April, China has restricted pre-sales by developers and curbed loans for third home purchases to try to cool the market after excess liquidity stemming from record credit growth last year buoyed demand. But property prices are showing signs of slowing. They have gone up 10.3% from a year earlier in July, the slowest pace in six months.
Arendator.ru - Sep, 02 08:16 (EST)
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China's Property Market in 'Very Big Bubble,' StarRock Says: 2 (Bloomberg) -- China's property market is in a "ver... http://bit.ly/9e2V3Z
Twitter - Sep, 02 04:42 (EST)
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S&P warn that real estate bubble is lurking in China | Asia | News http://goo.gl/3QAz
Twitter - Sep, 02 00:30 (EST)
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:: Analysts warn that flat property lending outlook in UK could result in real estate double dip :: The price of detached properties in the UK have risen the most in past year, report says :: :: UK property market prices falling as downward trend kicks in, latest figures show :: Cuba approves 99 year leases for foreign property investors :: Singapore govt introduces new measures to cool real estate market :: Regulations for all new built property in Wales could add up to 10% to costs, consultants warn :: US real estate foreclosures fall marginally but mortgage delinquencies increase to bring more gloom
Property Wire - Sep, 01 13:14 (EST)
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Gus Lubin | Sep. 1, 2010, 7:26 AM | 916 | 1 A A A x Email Article From To Email Sent! You have successfully emailed the post. Good morning. Here's what you need to know: Asian markets were mostly positive in overnight trading, with the Nikkei recovering 1.17%. European markets are all higher in early trading, and U.S. futures point to a higher opening. See overnight action in charts > ADP Employment numbers come out at 8:15 AM. Forecasts expect 13K added jobs, after 42K added in July. Follow the action at Money Game > ISM Manufacturing data comes out at 10 AM, with analysts expecting a decline to 52.9 from 55.5. Also watch the EIA petroleum data at 10 AM. Recent economic data has been neutral-to-weak. Check out the gritty details behind the Philly Fed number > The surge in gold reached $1,254, approaching record highs . The yen rise also continues as investors fear global deterioration. See how to know if gold is a bubble > China announced plans for new regulations to curb still-soaring home prices.
Business Insider - Sep, 01 12:20 (EST)
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Gus Lubin | Sep. 1, 2010, 7:26 AM | 847 | 1 A A A x Email Article From To Email Sent! You have successfully emailed the post. Good morning. Here's what you need to know: Asian markets were mostly positive in overnight trading, with the Nikkei recovering 1.17%. European markets are all higher in early trading, and U.S. futures point to a higher opening. See overnight action in charts > ADP Employment numbers come out at 8:15 AM. Forecasts expect 13K added jobs, after 42K added in July. Follow the action at Money Game > ISM Manufacturing data comes out at 10 AM, with analysts expecting a decline to 52.9 from 55.5. Also watch the EIA petroleum data at 10 AM. Recent economic data has been neutral-to-weak. Check out the gritty details behind the Philly Fed number > The surge in gold reached $1,254, approaching record highs . The yen rise also continues as investors fear global deterioration. See how to know if gold is a bubble > China announced plans for new regulations to curb still-soaring home prices.
Clusterstock - Sep, 01 12:17 (EST)
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Good morning. Here's what you need to know: Asian markets were mostly positive in overnight trading, with the Nikkei recovering 1.17%. European markets are all higher in early trading, and U.S. futures point to a higher opening. See overnight action in charts > ADP Employment numbers come out at 8:15 AM. Forecasts expect 13K added jobs, after 42K added in July. Follow the action at Money Game > ISM Manufacturing data comes out at 10 AM, with analysts expecting a decline to 52.9 from 55.5. Also watch the EIA petroleum data at 10 AM. Recent economic data has been neutral-to-weak. Check out the gritty details behind the Philly Fed number > The surge in gold reached $1,254, approaching record highs . The yen rise also continues as investors fear global deterioration. See how to know if gold is a bubble > China announced plans for new regulations to curb still-soaring home prices. Fear of a property bubble outweighed positive economic data, as the Shanghai Composite whipsawed and ended down 0.60%.
Business Insider - Sep, 01 11:46 (EST)
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S&P warn that real estate bubble is lurking in China | Asia | News http://bit.ly/anOPvi
Twitter - Sep, 01 07:43 (EST)
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