A brief heads up

[solarbird]

For obvious reasons, I didn't post econ noise yesterday, but the entire time the bond market was open, both bonds and stocks were selling off; bonds made a pretty big move yesterday as rates climbed nine basis points, but more importantly, the stock market was down all that time. Then as soon as the bond market closed, stocks jumped up a tad. This implies that someone large is moving out of both stocks and bonds, slowly. However, they are not - at least as of yet - moving out of the dollar, which has climbed the last two days. (Note also oil prices rising; note the short-term counter-intuititive cause-and-effect.)

I post this now because while it's very early in the day, the 10-year treasury market has already duplicated yesterday's climb, in a rather dramatic move over 4.1%. Stocks are not lower, but the oscillations are worth mentioning, with half-percent swings in the NASDAQ and nearly three-quarter percent swings in the Dow in particular in a matter of minutes.

ETA: Whatever it was, it resolved upwards. Interesting. Bond market selloff stalled at the same time, normally a contrary indicator. Confusing, but also interesting. It's a weird market out there. (This is, btw, why I don't play around with day-trading and very-short-term moves. ^_^ )

Comments

[angharads-house.livejournal.com]

Dumb question from the resident Stalinist techocrat -- are these short-term swings the effects of interaction between automated algorithmic trading systems?

And if so, could we deconvolve that signal and deduce what the decision rules are?

[solarbird]

are these short-term swings the effects of interaction between automated algorithmic trading systems?
I don't know of any good way of knowing. It's certainly possible. As to deducing the decision rules - you'd have to figure out whether that's what they are to start, first, but if so - maybe. It could just be limit orders.

[angharads-house.livejournal.com]

Good thought about the limit orders. Michael, who is into statistics and signal extraction, observes that the stock markets in Western economies generate pink noise. Leads me to suspect that only two sorts of players can hope to make consistent returns:

1) insiders, especially they wot have the capacity to influence the markets through rumours, and...

2) bots, running short-latency trading programmes.

And as you know, we only ever played the stock market once, won big (buy house! no mortgage!) and immediately swore the whole thing off.

Still sticking with Nordic municipals....

[meesto.livejournal.com]

There's a pertinent extract on 321gold.com from the latest Privateer (a truly inspired bi-weekly econ newsletter). Worth a gander if you have a moment.

http://www.321gold.com/editorials/buckler/buckler060208.html (http://www.321gold.com/editorials/buckler/buckler060208.html)