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Strategies & Market Trends : Bonds, Currencies, Commodities and Index Futures -- Ignore unavailable to you. Want to Upgrade?

To: fswep who wrote (340)	11/30/2000 5:13:04 PM
From: Raymond Duray	Read Replies (2) \| Respond to of 12410

Hi Ward, Thanks for the explanations. Actually they are two different strategies for trading bonds. There are far more than that. Since the market is so diverse, what with gilts, treasuries, JGBs, GMOs, munis, standard corporates, junk and now celebrity bonds all trading with their own foibles. The Twist is a strategy that uses duration also, but the curve stair steps up or down over the different durations of the bonds. Interesting if one is on a trading desk at a prime dealer, but of absolutely no use to me as a retail patzer. I get crushed on the entries, so there's no point to this game for me. Thanks for the explanation. Are you intending to work on a trading desk after your sckul days are past? We got a trader in class last Tuesday night and he uses very simple strategies. Failure to abide by Occam's Razor was a proximate cause of the LTCM debacle. This trader seems to be avoiding the typical hubris of the quant. [Note - Chip, one of my favorite Baum lines: "Quants, who have all the personality of wallboard....."] I went to the Professor and asked if he could maybe try to put together an excel example or something easier to use since he wants to use our data in in the a presentation in the future. If you have access to "Mathematica" software, you might want to try to plot your data points in that graphical presentation. Tends to make the relationships easier to visualize. At least for me. Bon Chance, Ray