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By Tai, August 11, 2010 11:00 pm

Large institutional sale on the market should not be interpreted as a negative signal of the asset. Most if not all institutional traders are bounded by a variety of constraints (e.g. portfolio performance evaluation timing) and structured with investment strategies (e.g. exit or cut-loss thresholds). In fact, a block sale may also indicate that the investor has already reaped target return. I don’t see reasons for retailers to take action upon knowing a block sale, especially in markets when short-sell is not allowed.

Nevertheless, in a young market where the majority of mom-and-pop investors tend to panic at an institutional exit, selling the stock for speculative purpose is an option because the negative price effect that irrationally occurs might be permanent.

On the other hand, institutional purchase should be a good signal for the targeted assets. Whether for investing or speculating purpose, the introduction (or increased weight) of an asset to an institutional portfolio may be a result of privileged information.

Mimicking the long position in absence of existing strategy is one simple option.

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By Tai,

/*
 * Stefan Binder, Duk Jang, Tai Tran
 * This Ox program calculates liquidity pattern from a trading period for a stock
 * The intraday pattern assists trading strategies formation
 */

const decl ROWS = 3416;
const decl COLUMNS = 4;
const decl PARCELS = 6;
const decl PRICE = 0;
const decl VOLUME = 1;
const decl DAY = 2;
const decl HOUR = 3;
const decl OPEN = 10;
const decl NUMBEROFPARCELS = 6;
const decl CLOSE = OPEN + NUMBEROFPARCELS - 1;
const decl NUMBEROFDAYS = 5;
const decl FILENAME = "tradedata.csv";
const decl PARCELOUTPUT = "ParcelLiquidity.csv";
const decl DAYOUTPUT = "DayLiquidity.csv";

main()
{
	decl m;
	decl liquidity=0;
	decl parcel;
	decl day;
	decl parcelPercent;
	decl dayPercent;
	decl i,j,k;
	decl fileParcel,fileDay;

	m = new matrix[ROWS][COLUMNS];
	m = loadmat(FILENAME);
	day = new matrix[1][NUMBEROFDAYS];
	dayPercent = new matrix[1][NUMBEROFDAYS];
	parcel = new matrix[1][PARCELS];
	parcelPercent = new matrix[1][PARCELS];

	for (i = 0 ; i < ROWS ; i++)
	{
		for (j = 0 ; j < NUMBEROFPARCELS ; j++)	if (m[i][HOUR] == OPEN+j)	parcel[0][j] += m[i][VOLUME];

		for (k = 0 ; k < NUMBEROFDAYS ; k++)	if (m[i][DAY] == k+1)	day[0][k] += m[i][VOLUME];

		liquidity += m[i][VOLUME];
	}

	for (i = 0 ; i < PARCELS ; i++)	parcelPercent[0][i] = parcel[0][i] / liquidity;
	for (i = 0 ; i < NUMBEROFDAYS ; i++) dayPercent[0][i] = day[0][i] / liquidity;

	fileParcel = fopen(PARCELOUTPUT,"w");
	fileDay = fopen(DAYOUTPUT,"w");

	for (i = 0 ; i < NUMBEROFPARCELS ; i++)
	{
		print("\nLiquidity from ", OPEN+i, " to ", OPEN+i+1, " is ", parcel[0][i], " which is ", parcelPercent[0][i]*100, " percent");
		fprint(fileParcel, "\nLiquidity from ", OPEN+i, " to ", OPEN+i+1, " is ", parcel[0][i], "," ,parcelPercent[0][i]*100);
	}

	for (i = 0 ; i < NUMBEROFDAYS ; i++)
	{
		print("\nLiquidity on day ", i+1, " is ", day[0][i], " which is ", dayPercent[0][i]*100, " percent");
		fprint(fileDay, "\nLiquidity on day ", i+1, " is,", day[0][i], "," ,dayPercent[0][i]*100);
	}
}

Comments (7)

By Tai, May 12, 2010 9:41 am

Analysis of Woolworths Limited Australia

Leading Strategies and Opportunities in the competitive, technological and regulatory environment

Danfeng Chen, Stevan Nikolin, Tai Tran

2009

Introduction Excerpt

Woolworths is a vast and diverse company which has its origins in Australia. Its range of products includes supermarkets, electronics, retail, liquor, petrol, general merchandise among many others. Despite their already large presence in the Australian market, Woolworths believes that there is still potential for significant growth, whether this growth occurs within the existing industries in which it operates, or alternatively, in new ventures. This essay will analyse the company’s core competencies, its marketing strategies, operations and logistics management, and its competitive standing within the current socioeconomic environment. Following this analysis, an account of Woolworths’ strategic opportunities and risks will be presented.

To receive the document, please comment on this post with your real email (won’t be publicized).

Photo courtesy:
Source: AFP PHOTO Torsten BLACKWOOD, AFP
Published: Tuesday, February 27, 2007 12:53 AEST
http://www.abc.net.au/news/photos/2007/02/27/1858228.htm

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By Tai, November 7, 2009 8:14 am

1. Google’s massive free cash flow

When time is right, a dividend would strongly boost GOOG’s stock price, strengthening their confident announcement that crisis was over.

Or a share repurchase might be useful a strategy, especially when they need more innovation.

2. Social Media is not a fad, but an evolution.

But, sub-trends exist. Where’s the opportunity?

“Social media begins to look less social” will be a good sign for ecosystem to grow. Twitter apps, Facebook apps & games for example.

“Corporations look to scale” and they will need tools. Beyond communication, think market research, CRM.