Necessary and Sufficient

I came across this article about a quantitative programmer who worked on Wall Street crafting bespoke trading systems for CMOs and CDOs. An interesting reading about system transparency in the world of investment banking trading systems.

Or if you prefer the cartoon version of "My Manhatten Project" check this out.

I recently took time out to attend the JAOO conference in Brisbane. I'm not one to troop around to every conference that hits town because, frankly, the quality of the speakers is usually not that great, and the subject matter is usually fairly narrow. I'm happy to report that JAOO, however, is different. Despite the title of the conference which implies the only subject matter covered is Java, over 3 days I attended sessions on numerous languages from both the LAMP and Microsoft stacks including Java, JavaScript, F#, Objective-C, IronPython and IronRuby. As well, the vast majority of speakers presenting are well-respected, subject matter experts including numerous PhDs. Why wouldn't you want to learn Java from Joshua Bloch, the Chief Java Architect at Google? I was also privileged to spend 3 hours with JavaScript-guru Douglas Crockford from Yahoo.com learning the good, bad and really ugly parts of JavaScript. What he doesn't know about JavaScript isn't worth knowing!

Apart from deep dives in JavaScript and F#, the most interesting aspects of the conference for me were the discussions on Distributed Databases/Scalable Systems from several Google employees, and the talks on machine learning - one using F#, a functional program from Microsoft, and one based on the open-source offerings: Hadoop and Mahout.

If you only do 1 conference a year consider JAOO. The quality of the speakers and the breath of exposure is commendable. I'll certainly be heading back for more next year.

Eight months ago I wrote this post giving my analysis of the global financial crisis and the ensuing Wall Street meltdown. Well enough time has passed so I thought it was about time to review the critical metrics of the situation.

LIBOR - the London Interbank offered rate - is down to 0.8 % and has been declining steadily for the past month. This metric peaked at 4.8 % during October 2008 when the crisis was as its' worst as general fear around counter party risk hit the credit markets hard. After all, what bank wants to lend money to another bank if they suspect that bank might go out of business as Lehman Brothers did? The current rate of 0.8% indicates the cost of inter-bank borrowing has normalised thus indicating that the various government-induced stimulus packages and easing of policies has had a positive impact on the markets, and more importantly, confidence is returning to the market.

The TED Spread has dropped to its lowest level since August. Historically, it has been under 50 basis points during "normal" times. It is currently sitting around 70 basis points down from as peak of 550 basis points. If you recall, the higher the spread the greater the perceived credit risks (compared to "risk free" treasuries). Hence the size of this gap reflects a sort of risk or liquidity premium in the market. The recent lowering is another indication that confidence is returning to the market.

So what does all this mean? There will likely be many more months of depressed economic activity but the good news is the end of the world isn't going to bite us any day soon - the mother of all bail outs has certainly kept that dog at bay, for now!