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Erschienen in:
Turbulence in the Financial Markets Kapitel lesen Erstes Kapitel lesen

2013 | OriginalPaper | Buchkapitel

4. Macrostates Indicators

verfasst von : Yasmine Hayek Kobeissi

Erschienen in: Multifractal Financial Markets

Verlag: Springer New York

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Abstract

Economic cycles are the strange attractor of the financial process. Economic indicators and their inter-relationships with each other are reviewed in this chapter. The specifics of each cycle make it unique; economic indicators by themselves are not as valuable, it is their causes and the magnitude of their effects that provide value and insight. With this interconnectedness in mind, we are enabled to explore ways to perceive the cycle ahead. Since financial markets strive to foresee economic fluctuations, it is crucial to be able to identify the characteristics of the economic cycles and to analyze those specific characteristics. The identification of macrostate factors (economic cycles, disequilibrium, and changes) of market’s characteristics and the accurate evaluation of the sensitivities of a portfolio to those same risk factors are fundamental tools for all investors wanting to guard against the sudden reversals of trends.

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Vorheriges Kapitel The Mind Process
Nächstes Kapitel Trading Multifractal Markets
Fußnoten
1
The Economic Research Institute Weekly Leading Index (ECRIWLI) is promptly made available to the public and is updated on Fridays at 10.30 a.m., EST. This index addresses a number of limitations in the widely reported leading economic index (LEI) originally developed by ECRI's founder, Geoffrey H. Moore, for the U.S. Department of Commerce. Every Friday, the index is updated with data from the previous week. This allows a significant and timely monitoring of economic conditions.
 
2
This index calculates the percentage of companies indicating a slowdown in deliveries. Generally, an increase in the index translates into an economy at full growth, while a decrease in the index translates into an economy that has slowed down where producers can rapidly carry out deliveries, as they are not overloaded.
 
3
Observing liquidity mainly consists of (1) following the composite indices of leading indicators for the absorption of the liquidity for productive means, such as investments, new industrial orders, and number of construction permits; (2) establishing forecasts on the deposits and withdrawals made by central governments; and (3) following the markets for interest rates, the rate curve, and the price of gold in the market.
 
4
The consumer confidenceindex indicates how likely consumers are to make favorable decisions to buy durable and nondurable goods, services and homes.
 
5
The Federal Senior Loan Officer Opinion Survey on Bank Lending Practices at Selected Large Banks in the United States is a quarterly survey of approximately 60 large domestic banks and 24 U.S. branches and agencies of foreign banks. The survey questions cover changes in the standards and terms of the banks' lending and the state of business and household demand for loans. The survey often includes questions on one or two other topics of current interest. The Bloomberg Financial Conditions Index combines yield spreads and indices from the money markets, equity markets, and bond markets into a normalized index. The values of this index are z-scores, which represent the number of standard deviations current financial conditions lie above or below the average during the June 1994–2008 period. A full explanation of the methodology can be found in the Financial Conditions Watch help page, available at Bloomberg {NSN KX0MOS3PWT1C <GO>}.
 
6
For instance, hedging has become a struggle in a world in which so many different outcomes depend on the actions of politicians and central banks. E.g. ban on short selling implemented since the 2008 crisis.
 
Metadaten
Titel
Macrostates Indicators
verfasst von
Yasmine Hayek Kobeissi
Copyright-Jahr
2013
Verlag
Springer New York
Buch
Multifractal Financial Markets

Print ISBN: 978-1-4614-4489-3

Electronic ISBN: 978-1-4614-4490-9

Copyright-Jahr: 2013

DOI
https://doi.org/10.1007/978-1-4614-4490-9_4