Alpha Research: social network alpha uncovered from hidden Facebook connections?
Paper in reading: Amman, Cochardt Cohen and Heller (2024), Hidden Alpha, Working Paper, https://www.hbs.edu/faculty/Pages/item.aspx?num=63490 Fund managers’ social network might have impact on fund performance due to information flow or information advantage. A fund manager’s social network can be identified via several ways including shared education network and residence in the same neighborhood. From shared education…
Looking into China’s Monetary Policy – Interest Rate Policy
There are two rules that PBOC use to find the appropriate interest rate level, according to Governor Yi Gang of PBOC talked at his PIIE speech in April 2023. First, Taylor’s rule is important for PBOC when focusing on short term countercyclical management. Second, for long term, the focus is shifted to optimal trajectory and…
Forecast Stock Price with ChatGPT?
After OpenAI released ChatGPT in late 2022, the tool quickly becomes a trending tool with the potentials to apply anywhere. GPT refers to Generative Pre-trained Transformer, which is is an artificial neural network model based on transformer architecture. This is introduced by Vaswani et al in 2017. GPT models are pre-trained with huge volume text…
How a President’s Economic Approval Ratings Impact Stock Returns?
Callum Thomas provides an interesting chart in his weekly char pack about seasonality for S&P 500 in the 3rd year of an election cycle. According to his charts, the market is generally positive for the first half of the year. For the second half, the market remains around a certain level for until a further…
Money Supply Might Explain Inflation Surge
Started from mid-2021, the inflation surge became a global issue in the post-Covid years. From March 2021, the US annual inflation rate jumped to a higher level and became persistent in the high level for relatively long period of time. The 12-month seasonally adjusted CPI percentage change is rising from 2.6% in March 2021 to…
Not All Fed Chairs’ Communications Affect Market Equally
Fed issues a statement to public after each Federal Open Markets Committee (FOMC). The statement provides some brief information about the rationale behind the rate decision. The ex-Fed Chair Ben Bernanke started the commitment to provide more transparency on rate decision in April 2011 (ABC News, Arnall 2011), when he started to hold press conference…
Investor Sentiment
Mai, Pukthuanthong and Zhou (2022) published a paper studying the return predictability of investor sentiment across four different asset classes including both traditional financial assets and bitcoin. The full paper can be found on SSRN: Mai, Pukthuanthong and Zhou (2022) An early study by Baker and Wurgler (2006) provides some empirical justifications of using investor…
Reserve Bank of Australia’s wording on rate decision
In December meeting, RBA board members considered not lifting cash rate as one of the options in deciding cash rate. This is the first time RBA considered no change in cash rate decision since it started tightening in May. I created a table using data wrapper to show the wordings RBA released in meeting minutes…
Slowdown in Global Productivity
“Once electronics were small enough to be used in almost all industries, their effect on productivity vanished.” – Pablo Azar This article summarizes the main points from Azar’s 2022 paper of ‘Moore’s Law and Economic Growth’ . Azar uses his novel dataset to study the how the size of semiconductor impact GDP growth. The global…
Database and SQL – 2
The post focuses on providing a thought to make comparison for values on the same column in SQL query. The idea came up with the Leetcode exercise “Rising Temperature” and “Consecutive Numbers”. As a long time Excel user, I usually make comparison for values in one column by use formula. The below is an example…
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Eddy Zhang 