Interesting papers I've been reading
"The Implied Order Book", SqueezeMetrics.
Very interesting read on how open interest and option volume gives insight as to where market makers and dealers are hedged.
"Corporate Arbitrage: Overview and Benefits of a Dynamic Multistrategy Approach", AQR.
Brief introduction to merger arbitrage, event-driven strategies and convertible arbitrage.
Interesting read on how the current FX swap and repo markets came to be, and the fragility/risks that long- or short- dollar countries face. Also points out how the Fed mitigates these risks. Found this very enlightening and useful for consolidating my knowledge of FX.
"A Primer on Interest Rate Markets and Relative Value", ARDEA Investment Management.
Clear and concise introduction to the essentials of relative value trading, broken down into two main categories of macro/micro interest rate strategies.
Books I've been reading
Central Banking 101, Joseph Wang
Provides a really clear overview of the plumbing of the financial system and the fed. Nothing quite like this and definitely worth re-reading.
The Black Swan, Nassim Nicholas Taleb
Perhaps I'm not well-equipped in experience or intellectually to wrestle with the philosophical discourse in this one. It's very long and I felt there wasn't a lot of concrete takeaways. Looking forward to Antifragile, which I guess would be more practical(?)
NNT spoke about how success in academia nowadays heavily relies on black swans, and is a "winner takes all" system. This video pretty much sums it up:
The Crash of 2008 And What It Means: The New Paradigm For Financial Markets, George Soros
The theory of reflexivity complements the black swan. Soros' "postulate of radical fallibility" (which postulates that an idea/theory/model eventually defeats itself as it is overexploited and pushed to the boundaries) describes how NNT's "platonic fold" arises. Later parts were a bit boring.
The Rise of Carry, Tim Lee, Jamie Lee, Kevin Coldiron
Lengthy discussion on carry, with a violent turn to philosophy in later chapters.
Geopolitical Alpha, Marko Papic
Preferences are optional and subject to constraints, whereas constraints are neither optional nor subject to constraints.
More Money Than God, Sebastian Mallaby
Incredible storytelling.