Asset Correlation During High Volatility

by | Feb 2, 2011 | 3 comments

Prompted by some thoughts from Nassim Taleb, David Einhorn (who compared VaR to “an airbag that works all the time, except when you have a car accident.”) and Ralph Vince (“The Leverage Space Trading Model”, pp 61-65), I decided to take a look at asset...
Futures Market Correlation: All the same market?

Futures Market Correlation: All the same market?

by | Jan 26, 2011 | 5 comments

I once was a subscriber to Bob Prechter’s Elliott Wave Theorist, though not for a couple of years. One of his themes at the time (and probably still) was “All the same market”. He commented on the way in which more and more assets were moving with...