#marketrisk – Econophysics2020

When the Shorts Arrive, Bring Your Alibis

Cross-Asset Complacency at 20-yr High

What can possibly go wrong? Well, here’s JPM’s John Normand ,head of cross-asset strategy, (courtesy of ZeroHedge): https://www.zerohedge.com/markets/complacency-20-year-highs-jpm-models-warn-imminent-correction Current readings for individual indicators and the composite are summarized in charts 3 and 4. In Chart 3, four of the seven cross-asset measures have moved beyond the levels that have preceded previous corrections (short and long-term valuation, positioningContinue reading “Cross-Asset Complacency at 20-yr High”

Canary in the Mine: Car Wreck Portends November Retail Crash

November dive followed by a return to the rolling-over trend. Christophe Barraud: confirms my view that, at best, 4Q GDP growth will slow dramatically compared to 3Q while another GDP contraction still looks possible at this stage. The fact is the rapid spread of Covid-19 will force more states to implement restrictive measures before quarter-end.Continue reading “Canary in the Mine: Car Wreck Portends November Retail Crash”

The Trend’s Your Friend Until It Ends

Tim Knight (Slope of Hope) on sine wave correlations: “Since cryptos have been on an absolute tear lately, I was curious how Bitcoin correlated with equities. Here, below, is the SPY with its correlation to $BTC beneath. As you can see, right now they’re about as correlated as they can be, with equities and cryptosContinue reading “The Trend’s Your Friend Until It Ends”