Is there some aspects of subjects which are true or hold on to a behaviour independent of the object's observation. Does a crow that I observe hold some truth and some behaviour irrespective of the nature my human mind attributes to it such as a black, bird, rapacious etc. Clearly the bird and me being relatively independent entities, the crow still eats what I call food and drinks what I call water. So this aspect of the crows behaviour exists inspite of the attributes I give to the crow. However limited my observation may be in terms of the totality of what a crow is or in the way the crow sees itself, there seems some truth in my observation. So indeed there seems to be a subjective truth.
S(Crow,Human) = T(Crow) x O(Human)
S(Crow,Rat) = T(Crow) x O(Rat)
S(Crow,Crow) = T(Crow) x O(Crow)
Where S is Subject, T is Truth , O is Object
Now it seems that there is no way to reach the truth without the Object. Even in mathematics, I know a natural number when I see on and also the properties of addition, but do I really know ALL about what a natural number is? Doubtful. It is doubtful that the Object can ever fully comprehend Truth about any subject.
Is there truth?
25 May 2011
Short term rates
Looked at deploying money in short term fixed income bank instruments. Looked at some money market instruments that may be available.Can only find a way to invest using a mutual fund, but seems like return is better than fixed income for the horizon I am looking at.
Tried to maximise interest, given liquidity constraints as well as risk appetite.
18 May 2011
Nifty Correlations
Open High Low Close
Open 1
High 0.985292844 1
Low 0.97947623 0.982470897 1
Close 0.952274718 0.975614265 0.985256053 1
The above is the correlations between the various Nifty Index, Open, High, Low, Close. The Open is more correlated to the high of the day than the low and close. The low is more correlated to the close of the day than the open and high.
Simple strategy would be to buy at close everyday and sell at open everyday!! :-)
Don't send me your savings yet!
16 May 2011
Aversion
Aversion to the discipline of sustained and strict learning needed for dry subjects like mathematics, finance, psychology, philosophy. Want FUN!
15 May 2011
Nifty Index Inclusion Prediction Tool
Tool to predict which company might be added or subtracted from the list of 50 index stocks.
ebay trade crack
cracked ebay trade of dresses to buying with high certainity the good value ones that I want. Excluded are top-rated ones like Karen Millen which have a high hidden auction price.
Poker crack
Cracked online yahoo poker game with fixed rules .Although seem to have lost the rule book.
Mumbai Taxi tariff system
A system that calculates how the mumbai taxi card is derived from its meter readings.
Market Commentary 01-05-2011
Metals Gold , silver, in a growth run since 2008. Gold in steep growth.
USD falling versus Euro and Yen. Holding against INR at 50.
Trading System One
30-Sep-10 79.95 11.15% 0 1 11 B 655.04
31-Oct-10 81.45 1.88% 0 0 655.04
30-Nov-10 84.12 3.28% 0 0 655.04
31-Dec-10 91.38 8.63% 0 0 655.04
31-Jan-11 90.99 -0.43% 0 0 655.04
28-Feb-11 97.1 6.72% 0 0 655.04
31-Mar-11 106.19 9.36% 0 0 655.04
30-Apr-11 111.72 5.21% 0 0 655.04
0 S 1228.92
System, that actually goes to profit! On Crude and in excel! Whoa!
Community
Would like to interact with similar people interested in developing trading systems. Added myself on 43things.com and on linkedin groups.
Data download and charts of returns
Downloaded Wikiposit data on
Gold
Crude
Nasdaq
Nifty
USD_JPN, USD_Eur, USD_INR
and plotted historical charts of prices and returns. The data is yearly, monthly.
14 May 2011
Optimization methods for arbitraging in Indian Markets
Project Scope: Arbitraging is used to describe the trading activity that buys and sells similar securities with dissimilar pricing almost instantaneously. The only risk that arbitraging carries and is paid for is the execution risk. The reasons for the dissimilar pricing of securities, eg. stocks of the same stock trading in different exchanges or the stock price and its corresponding discounted futures price, can be due to market structure, liquidity in the particular security etc. These market inconsistencies can be seen to be against the efficient market hypothesis.
The scope of the project is not to disprove the EMH or to delve into the reasons why arbitrage opportunities exist, but to try to see if there is a consistent pattern in stock or cash future arbitrage trading in the India markets specifically between stocks trading in the NSE and BSE exchange and futures trading in the NSE exchange.
Exploratory thoughts
1.Arbitrage returns for a pair of cash and future is sticky.
2.Arbitrage returns depend on inclusion in the Stock Index – Nifty or Sensex
3.Arbitrage returns are sinusoidal for each pair, with a fixed frequency and amplitude.
4.Correlation between arbitrage pairs
5.Market movement and arbitrage
Future Scope
Build a statistical arbitrage model.
Goal
Goal is to consistently develop tools that analyse data to create useful trading models. Also to develop in house software that can able such analysis. Refurnish skills in software coding, pick up confidence in data analysis and build trading models.