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European Market Outlook

US shares closed lower Monday, with financials dragging on the the market after Merrill Lynch cut JPMorgan to "underperform" and victims of Bernard Madoff's Ponzi scheme continued to pile up. The Dow fell 0.8%. The S&P was off 1.3%. The Nasdaq dropped 2.1% on worries weakening private consumption will hurt spending on tech goods. Asian shares were mostly lower amid ongoing economic concerns. The Nikkei fell 1.1%. The ASX was off 1%. The Hang Seng rose 0.6%. Steelmakers took a hit on reports Toyota will ask for price cuts. European shares were expected to open slightly lower as volumes fade ahead of the Christmas holidays. he DAX and CAC futures were off 0.2%. Economic data include EZ December services and manufacturing PMI at 9 GMT. UK CPI is expected at 0930 GMT and will be broadcast live on Need to Know News' Scream Audio. Currency traders shifted into yen ahead of today's FOMC meeting. EUR/JPY fell 0.7%. GBP/JPY dropped 0.8%. USD/JPY shed 0.6%. EUR/USD was flat. Cable lost 0.3%. Bonds were mostly higher, with the 10yr Bund future up 27 ticks to 122.67. The 10yr Bund fell 1bp to 3.18%. The 2yr Schatz fell 2bps to 2.1%. The 10yr Gilt rose 2bps to 3.5%. The 2yr added 3bps to 1.62%. The 10yr JGB was off 2bps to 1.37%. The 10yr T-note fell 3bps to 2.48%. Oil took a bid ahead of expected OPEC crude production cuts. WTI added 0.4% to $44.73. Brent was up 0.2% at $47.25.

FX Update: Asian Summary

Range trading was seen on currencies in Asia today with the central bank decisions out of the way for the week, the currency markets in Asia went into consolidation mode ahead of the pivotal US employment data due later in the session. All major currency pairs were easily contained within a 50 pt range during the session, awaiting the data. USD/JPY traded a range of 92.26-58 while EUR/USD traded 1.2732-80, and GBP/USD held 1.4634-88. AUD/USD held a range of 0.6427-62 and USD/CAD held a range of 1.2744-81with NZD/USD caught in a 0.5310-43 trading band. In other markets, Treasury yields were little changed from late NY levels. Gold and oil saw minor corrective gains, but base metals were limit down in Shanghai trading as global growth concerns linger. Asian stock markets were mixed with the Nikkei attempting to hold gains but sold on rallies, and with Australian stocks weighed down by the resource sector while Taiwan stocks were pressured by the Tech sector, but China and HK stocks rose. Speculation that non-farm payrolls could fall as much as 500,000 lingered in the market.

FX Update: Asian Summary

Currency flows were mostly dictated by the Nikkei performance in Asia with USD/JPY and JPY crosses. On balance, however, with the Nikkei unable to sustain midday gains, the USD was remained range bound and held mostly within the ranges established in New York on Tuesday. USD/JPY rallied from morning lows of 92.82 to highs of 93.63 in reaction to the Nikkei surge of 2.5% in the afternoon, but when the Nikkei pared gains, USD/JPY retreated to 93.20. Similarly, EUR/JPY rallied from lows of 117.83 to highs of 119.26, trading the Nikkei move before retreating to 118.51. The EUR/USD tracked the EUR/JPY performance, rising from lows of 1.2682 to 1.2742 highs, only to pullback to 1.2684 before a bounce into the London open to 1.2720. AUD/NZD was well bid through the session, helping AUD/USD rise above 0.6450 despite weak GDP data, and pressuring NZD/USD back to session lows of 0.5282 into the afternoon. Most Asian stock markets were higher on the day but some gains were only moderate and Taiwan was negative on the back of Tech concerns. Oil bounced about 88 cents on the futures but remains under $48 while gold prices fell $4 to $7710 with commodities still under pressure as aluminum fell limit down to 15-year lows. The Nikkei rally was hampered by reports of shut downs in Japan's steel industry and on the back of the poor global auto sales, including the U.S. data from Tuesday.

Tora selected best Asian vendor of the year by Tradetech Asia

November 24th, 2008 - Organizer of Trade Tech Asia 2008 selects Tora as best Asian vendor of the year

September Canadian International Transactionsi in Securities Beat Estimates

Inflows: -C$0.267bln Outflows:-C$0.665bln Foreign investors in Canadian Securities reduced their holding by C$0.267bln from a revised retreat of C$0.833bln (previously reported -C$0.730bln) beating the consensus estimate for a C$1.35bln retreat. This is the third consecutive decline and was led by foreign divestment of Canadian bonds on secondary markets. The sell-off, the first in 2008 was partially offset by an increase in holdings of money market paper (up C$1.028bln) and Canadian Equities (up C$2.49bln) in spite of the largest monthly decline in stock prices. The bulk of the equity investment was concentrated on banking and financial shares as investors fled energy, mining and tech stocks. Following a similar pattern Canadian investors also divested their holding in Foreign securities by C$0.665bln following a revised increase of C$0.217bln prior (previously reported C$0.172bln). The retreat was the result of a reduction in foreign bond holdings, down C$2.8bln, which exceeded the investment in foreign money market instruments up C$0.552mln and equitie.

As the focus turns to risk management, don�t neglect the front office

All the indicators are pointing to a sharp decline in technology spending in financial markets. That obviously makes maximising the value-add of tech investment an absolute must. Zohar Hod of SuperDerivatives argues that this does not automatically imply allocating all available budget to the back/middle offices.

In the Market

* European calendar has UK October CPI, seen at 4.7% y/y (median 4.8), down from a 5.2% * US calendar has October PPI, Treasury flows, NAHB builder survey and chain store sales * Canadian calendar quiet, has BoC C$4 bln 28day term PRA * USD modestly firmer in Asia as equity declines fueled risk aversion * US Treasury yields little changed from late NY levels; 2yr JGB yield at 8mth low * Asian stocks lower amid continued global growth fears; tech and bank stocks hit * FED's Hoenig said US central bankers has done about as much as it can do * ECB's Noyer: Global policy makers have more room to act; some stabilization seen * NYMEX crude prices remain under $56 on demand concerns; commodities still soft * RBA minutes revealed members picked 75bp cut versus 50bp reduction in early November * US Philly Fed survey: economy fell into recession in Q4, will last 14 months

FX Update: Asian Summary

The USD surged against most currencies in late NY on the back of renewed risk aversion after the 223 pt slump in the DJIA. This set the tone for Asian trading with the USD extending gains in early Asia, and then consolidating through the remainder of the session. EUR/USD for instance, fell to lows of 1.2600 and subsequently traded 1.2600-1.2635 through the afternoon. AUD followed a similar path, falling to lows of 0.6432 then consolidating around 0.6450-70 the remainder of the session. Broad-based declines in Asian stock markets kept support for the USD intact. USD/JPY dropped to 96.22 much earlier in the session and rallied back to 96.79 highs when the Nikkei pared losses midday but gains stalled USD/JPY at 96.60-70 into the afternoon. Asian stocks were pressured in all sectors on global slowdown fears with Australian stocks closing at a four year low. Tech stocks, financials, resource and real estate were all sectors that came under pressure. Overall, trading was said to be very quiet and subdued.

Develop Cleaning Algorithms from "Quality Money Management" by Andrew Kumiega and Benjamin Van Vliet

As the competition to produce and quickly deploy profitable trading models continues to increase, many participants are starting to pay more attention to refining their model development process. In the third of three excerpts from their book "Quality MoneyManagement", Andrew Kumiega and Benjamin Van Vliet discuss the development of data cleaning algorithms.

Short Selling and Risky Margin

Since Automated Trader’s Q3 issue hit your desktops, we have been living in interesting times. In our conversations with you in the last few weeks before going to press, two things have been top of your agendas:

The short selling ban on financial stocks
The security of margin deposits in the event of a clearer’s failure.

This issue’s First People feature showcases some of these conversations.