Clippings: Tensorflow and Google Next ’17

Found a couple of excellent videos on YouTube and would like to give a thumbs up here and share with my blog followers.   After looking through the 2 videos below, one will get a much clearer picture of the math formula and a understanding behind the jargons of overly hyped buzz words like "deep …

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Recap: Trading the Curve jargons

Short end vs. Long end As you come across short rate interest rate mean-reversion models i.e. Hull-White model that has a time-dependent long term rate and time-dependent short term rate, there are short term policy rates that prices expectations of changes in policy rate that transmits through the entire curve, as well as the long …

Struggles of a real time experiment: Reflecting on a losing trade

Yesterday, I was short AUDUSD ahead of the Lowe's speech. Yet did I expect that the Fed's non-meeting FOMC created large shift in positioning in TYU7 and therefore the real rates TIPS or inflation expectation expressed from the YTM curve. Along with those who are shorting US bonds given "relatively soon" QT and higher YTM …

Will Draghi pull the lever and hike rates? ECB Deposit facility rate

It used to be a bane for short-term rate models to have negative interest rates. Cash has alternatives besides holding debts with a fixed income and naturally, creator of the closed form analytical formula to tight pricing options with its sensitivity parameters to market variables and its underlying, Fisher Black, used the max(Shadow rate,0) to …

Is inflation targeting still a macroprudential goal for central banks? What does a large foreign exchange reserve means?

Concerns about recent Fed hiking was also about the years of undershooting inflation targets set by the Fed, and the Fed behind the curve with respect to rising inflation. Accordingly, policy should be set with a view to achieving modestly above-target inflation, perhaps 2.3 or even 2.5 per cent, during a boom with the expectation that …

Is the Fed late in hiking? Is the Phillips Curve still alive in this millenium, aging ‘baby-boom’ generation?

"In our view, the US economy has now reached full employment and is likely to overshoot meaningfully, a path that has often proven risky. From this perspective, the case for further tightening is strong." Yes, these are statements you typically see in an IB research notes or even from central bankers such as BoJ's Harada who …