Brain Teaser  You're playing a game of Russian Roulette with Robb Stark. Robb takes a revolver with 6 chambers and loads 2 bullets into adjacent chambers. He points the gun at his head, and pulls the trigger, but no shot is fired. Do you roll the cylinder again or not? If the two bullets were loaded randomly (not necessarily in adjacent chambers), do you roll the cylinder? Question

Brain Teaser Don’t spin again for adjacent Do spin again for random Ans

Market Update NFPs: +204k (exp. 120k), but participation way down ECB cuts rates to 0.25%, says it’s ready for negative too US GDP +2.8% yoy (exp. +2.0%) Twitter IPO’s without a hitch; feature or bug? Japan Current Account: +587bn JPY (exp. 162bn JPY) UK Services PMI: 62.5 (exp. 59.8) Week in Review

Quantfsnyu.com J.P. MORGAN SALES & TRADING PANEL Join QFS as we welcome the J.P. Morgan Sales & Trading group. Have a chance to hear a moderated discussion amongst six J.P. Morgan panelists who come from a variety of different fields. This will be a great opportunity to network with professionals and hear what it's like to work in S&T. All classes (Freshman included) are encouraged to come. Date: Wednesday, November 13, 2013 Time: 7:00 pm Location:KMEC 1-70

THE QUANTITATIVE FINANCE SOCIETY PRESENTS:  GUEST SPEAKER: ROBERT ENGLE THURSDAY, NOVEMBER 14, 2013 UC 04 AT 12:30PM Join QFS as we host Nobel Prize winner Professor Robert Engle. This is a great opportunity to gain insights from the man who changed the way we look at and analyze volatility. 

Quantitative Finance Society Multistrategy / Technicals

Trading Styles “All I do in win, win, win” Value/Growth Macro Event-Driven Technical / Structural Trading Quantitative (Modeling) Market Making (Sell Side, Prop Shop) – High Frequency Trading

Sourcing Ideas “Imitation is the best form of flattery” Bottoms Up – Seeking Alpha/Value Investor Club/Sumzero/(you get the point) – Screening ( Bloomberg) – Look at companies that make stuff you like a la Peter Lynch Top Down – Macro Know what trends are happening in the world A lot of relative value News (Event-Driven)

Why Things Get Cheap Structural/Flow reasons – Liquidity issues (2008) Inefficient markets – Mostly having to do with options and futures Misunderstood stories – Earnings releases – General mispricing Cheap is goooood

“Flow” considerations Short squeezes Spinoff effect Small “float” News pump and dumps Under $5 stocks Rating transformation Non-fundamental price-moving things

Technical Analysis Prices SOMETIMES move in trends – There are three different directions the price can move: up, down, sideway. – Trend/momentum: if something starts to move towards one direction, it’s likely to keep moving in that direction. History repeats itself Market Efficiency – Market discount future information into current price (over trade timeframe) “Markets may witness extended periods of random fluctuation, interspersed with shorter periods of nonrandom behavior. The goal is to identify those periods” –Schwager Assumptions

Momentum vs. Mean Reversion Momentum – Something different happened, and it will continue to happen Mean reversion – Something different happened, it should go back to the way it used to be (revert to the mean)

Mean Reversion

Bollinger Band Price/Volatility levels over time Consists of 3 bands – Usually 20 bar SMA, 2 std devs Gives a relative level of high/low Multiple ways of trading – Most effective is range trading during low vol periods Options implications too

Bollinger Band

Trending

MACD Momentum indicator Lagging indicator MACD = difference b/w fast and slow moving averages – Generally 12, 26 period EMA’s Signal line – 9 period EMA Can turn into leading indicator Works best when used with another indicator

MACD

Trading Tips Enter + Exit gracefully – The 1/3 rule Don’t be emotional – Stick with your thesis Sizing is everything – Don’t accumulate massive positions Don’t get greedy/cocky Don’t be scared to be aggressive Know what you’re doing – Know what risk you have on Know what you’re good at Be patient – You don’t need to make money every day You wanna be as boss as that kid right?

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