Much has been made recently of green shoots in the economy. Optimists point to the fact that the rate of decline – the ubiquitous “second derivative” – has turned positive, signaling that the economy is contracting at a slower rate. Pessimists would prefer to see a positive first derivative before accumulating risky assets. In this [...]
The Taylor rule is a method for determining how much the Fed should raise or lower rates based on inflation and the difference between real and potential GDP (also known as the output gap). The underlying premise is that the Fed raises interest rates to curb high inflation and lowers interest rates to spur a [...]
Most of our videos on the Analysis Blog so far focus on the sexiest of Palantir’s analytical capabilities: novel geospatial analysis, powerful statistical analysis, advanced link analysis, etc… However, many Palantir clients focus heavily on unstructured information: cables, message traffic, operation summaries, patrol reports, law enforcement encounters, key leader engagements, NGO reports, etc. So how [...]
I was reading a blog entry by “Macro-Man” (http://macro-man.blogspot.com/2009/04/whats-up-with-yen-vols-other-than-yen.html) who noticed that despite the Yen being super strong, Yen volatility was relatively flat over the past few weeks: Because equity traders watch the yen, when volatility is coming off of the yen market, the appetite for risk is increasing, and the equity markets should mirror [...]
This study explores an equity-factor based strategy that uses the spread between the Merton model equity implied credit spread and the five year CDS across names in the S&P500 index. It trades with the assumption that recently the credit markets are more accurately priced than the equity markets; therefore, a company with a CDS spread [...]
The recent cases of Ponzi-Schemes, insider trading in unregulated derivatives, and rogue trading have demonstrated the need for closer regulation of financial markets and oversight of individual traders. We have applied our tradecraft to several data sets, both public and proprietary, that taken together paint a picture of insider trading. We focus on the human [...]
In this study we explore a trading strategy that isolates pairs of instruments within a sector that are highly correlated. We enter a trade if the price paths of these instruments diverge, going long one instrument and short the other, with the assumption that their price paths will converge. We construct our strategy in four [...]
John Markoff of the New York Times posted an article today about the innovative methods used by investigators on the cutting edge of cyber analysis. The story profiles the team at Infowar Monitor, responsible for uncovering the GhostNet cyber espionage ring in late March and it features a great Palantir screenshot. Article: Tracking Cyberspies Through [...]
We had the opportunity to work with the Center for Public Integrity to analyze almost 5 million home mortgage loans originated between 2005 and 2007. The Center’s investigation found that the top subprime lenders whose loans are blamed for triggering the global economic meltdown were owned or backed by the same banks now collecting billions [...]
A lot of people have been focused on what they called the “junk” characteristics of the stock market rally that began in March. The implication is that there was a massive short squeeze [?], which is another way of saying that too many people were positioned short the same unpopular stocks and then were forced [...]
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