A Brief Collection of Econometrics / Time Series Analysis Resources

I didn't plan on posting two of these so close together, but I came across some resources I had forgotten about, and wanted to note it down here.

- How do you detect that a time series is following an ARMA process?
- Cite 5 types of automated strategies and give brief descriptions.
- Give a description of a possible strategy to be long volatility in trading only the stock.
- What kind of asset is usually modeled by a GARCH process? Give a brief description.


Analysis of Financial Time Series by Ruey Tsay

This paper spans over four-hundred pages and is meant to be a comprehensive introduction to time series analysis and different branches of analysis and forecasting which are related to it. In the introduction, Dr. Tsay states that about two chapters would be enough material for the core of an MBA course, with some brief references to other chapters (perhaps to add other intersections such as machine learning).

It is based off of his experience and work teaching these concepts since 1999 at U Chicago's Booth School of Business, and states that it is meant to provide masters students as well as senior undergraduates insight into time series analysis, and enough of an understanding to appreciate potential uses.

Introduction to Econometrics by Stock and Watson (link)

A strongly suggested introduction to the topic, which could be interchanged as a first step with Analysis of Financial Time Series. 

Econometrics by Hayashi (link) 

This one is criticized a bit for its focus on mathematical theory over use cases. Not that there's anything wrong with that, but for practitioners in a hurry to build this skill-set, this might not be the best starting-point. 

Mostly Harmless Econometrics by Angrist and Pischke (link)

This book has been described as backing away from the theory to discuss the bigger picture econometrics is forming. However, its explanations are brief which often mean reading a more in-depth text first is necessary if you haven't already studied time series analysis. 

New Introduction to Multiple Time Series Analysis by Lutkepohl (link)

This one was suggested as a very advanced textbook, being aimed entirely at the graduate level onward. 

Hopefully this is useful! 

A Brief Collection of Distressed Debt Resources

Sometimes this site is just a place for me to organize resources for future easy reference.

I sometimes peruse Reddit's /r/SecurityAnalysis (link) to see what other people are discussing, and Distressed Debt Forums came up this morning. This lead me to the following:

Reddit's Distressed Debt subreddit (decent resources) link

They have some interesting articles in their sidebar and are just active enough to be worth subscribing to.

Motley Fool - How Distressed Debt Investing Works link

This article provides a brief overview, and some different use cases (i.e. vanilla distressed debt investing versus the benefits of distressed debt over equity as an entrance to turnaround investing).

Buyside Focus - How to Value Distressed Debt - the Practical Guide to Distressed Investing link

This article was linked in the subreddit, and claims to be written by someone in JPM Special Situations in 2008. He even includes an excel model in the body of the article, and provides a great hypothetical case study.

There were also a couple books which I saw mentioned in this post. They are:

Distressed Debt Analysis by Stephen Moyer (Amazon)

Leveraged Financial Markets by William Maxwell (Amazon)

Corporate Financial Distress and Bankruptcy by Edward Altman (Amazon)

Hopefully this is of some use and worth referring back to!

All Eyes on Taiwan

Embed from Getty Images There have been a slew of interesting articles published since the start of 2019 which have indicated China's continued focus on retaking Taiwan.

The Japan Times has reported that Mr. Xi has urged the PRC's military, the People's Liberation Army or PLA, to prepare for the possibility of war.

"Xi’s warning comes amid territorial disputes in the South and East China seas and rising tensions with the United States over issues ranging from trade to Taiwan." "A military that can fight and win a war will be presented then,” the Global Times quoted Beijing-based military expert and commentator Song Zhongping as saying."

The Taiwan News highlighted that on January 2nd Mr. Xi gave an address on the 40th anniversary of the Chinese Communist Party's "Message to Compatriots in Taiwan." Mr. Xi stated, "Taiwan is so close, yet so far away." While his most recent speech continued to push, "one country, two systems," the terminology used in the reclamation of Hong Kong and Macao, he did call for specific action, with sites set on a bridge linking Taiwan's Kinmen Island and the PRC's Fujian. This would be intended to link resources such as water and electricity.

Perhaps the most insightful piece Deng Yuwen's Op piece in the South China Morning Post. I highly recommend reading the piece in full, but want to point to a few things he mentioned:

 - In Mr. Xi's report to the 19th Communist Party Congress, a new era to 2050 is laid out as the period of the "Great rejuvenation of the Chinese nation"

 - There are 14 points which define this new era, one of them referring to the reunification of Taiwan

 - In this context, Mr. Xi specifically refers to the "one country, two systems" solution

 - In December 2018, Li Kexin, who works in the Chinese embassy in Washington said:

“The day a US Navy vessel arrives in Kaohsiung is the day that our People’s Liberation Army unifies Taiwan with military force.”

While Deng Yuwen does not explicitly call upon Trump's isolationist rhetoric (instead he points to Trump's condemnation of China and Russia's focus on growing military strength from December 2017), I cannot help but wonder if there are ramifications for the PLA's timeline for engaging Taiwan.

Lastly, I find the piece particularly interesting as Deng Yuwen is a member of the Charhar Institute. This NGO, which claims its goals are "the development of international relations in a more orderly manner." It was founded by Dr. Han Fangming, who received his doctorate at Peking University and conducted post-doctoral research at Harvard. He was also a member of the National Committee of the Chinese People's Political Consultative Conference (CPPCC) for the 10th, 11th, and 12th sessions, and sits on the board of Chinese State companies such as the Sinohydro Group. In other words, the particular aims and leanings of this NGO are odd to me, in that the membership appears to be very aligned with CCP's interests, but their membership seems willing to be more critical of the PRC than one would expect from such a group.