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No-arbitrage pricing under cross-ownership: the multi-firm equilibrium   12 May 10
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Ground breaking original work by Tom Fischer on pricing crowss-ownership. In the current Greece madness this is more important than ever and allows for a first time to price these common constructs. Cross-ownership is a real, structural problem!

If you are a rating company or investment bank and interested in these algorithms please contact us at armin @ approximity dot com. Existing models do not attempt multi-firm, multi-liability and multi-priority cross-ownership in a structural way.

The general case:

  • Models the XOS of assets and liabilities for groups of firms.
  • Multiple different classes of liabilities, e.g. debt and derivatives.
  • Multiple different priorities of claims are allowed.
  • Directly incorporates counterparty risk at the multi-firm level into derivatives pricing and general asset pricing.
  • Underlying exogenous assets can be stochastically dependent.
  • Situations where valuation is impossible (no equilibria/multiple equilibria) exist.
  • It should be possible to extend any model based on the original Mer- ton Model (for instance the Moody’s KMV model) to incorporate cross-ownership along the lines of this paper.

Tom Fischer’s latest slides:

The full article:

The image below from the NY Times shows a good application of Tom’s XOS work.

Updated Gold Charts   10 May 10
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Tom updated the Gold Charts.

What a day   06 May 10
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Ruby Best Practices   26 Apr 10
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full book now available for free

MessagePack -- efficient object serialization library   22 Mar 10
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"It’s like JSON, but very fast and small"

Great new interviews on Kingworld news: Jim Sinclair et al   14 Mar 10
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Kingworld news is one of the few decent financial news.

Many fantastic interviews can be found in the broadcast archive and can be downloaded in mp3 format.

Some recent highlights:

  • Two part interview with Jim Sinclair (Mr. Gold)
  • Harry Markopolos (the guy that exposed the $65 billion Madoff Ponzi Scheme)

Falkland island dispute   24 Feb 10
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It makes me very sick to see a near bankrupt UK go after the oil in the Falkland Islands. Mr Brown ran havoc of the UK finance is now a la Thatcher bullying poor Argentina (also near bankrupt). Going to war to win back the votes of the people?

I wish financial TV and the western media in general were not so biased and the UK would stop exploiting the world. They never legally owned the Falkland Islands. (sorry, article is in German)

mirrorbrain: download redirector 2.12.0 released   11 Feb 10
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MirrorBrain is an open source framework to run a content delivery network using mirror servers. It solves a challenge that many popular open source projects face - a flood of download requests, often magnitudes more than a single site could practically handle.

A central (and probably the most obvious) part is a "download redirector" which automatically redirects requests from web browsers or download programs to a mirror server near them.

Choosing a suitable mirror for a users request is the key, and MirrorBrain uses geolocation and global routing data to make a sensible choice, and achieve load-balancing for the mirrors at the same time. The used algorithm is both sophisticated and easy to control and tune. In addition, MirrorBrain monitors mirrors, scans them for files, generates mirror lists, and more.

DJIA : Silver Ratio   03 Feb 10
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Dr Tom aka Goldfinger posted a new chart showing the DJIA:Silver ratio., which could be a precursor of the Debt:GDP ratio. This could mean that we’re possibly going to see unprecedented debt levels from here.

Greenergyinvestor thread:

Feb chart of the month: Interest rates peak with house prices   02 Feb 10
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Doctor Gold aka Tom updated the monthly chart.

At least in the UK, this seems to hold as he chart below shows. Lower rates create inflation in house prices, until the Bank of England steps on the emergency breaks and deflates the bubble in real terms. The lower and lower interest rates over the years have created a bubble bigger than ever before.


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