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978-1-57660-349-9 Hardcover • $29.95

978-1-57660-316-1Hardcover • $29.95

The Evolutionof Technical Analysis

Andrew W. LoJasmina Hasanhodzic

F I N A N C I A L P R E D I C T I O N F R O M B A BY LO N I A N

TA B L E T S T O B LO O M B E R G T E R M I N A L S

“Where there is a price, there is a market, then analysis, and ultimately a study of the analyses. You don’t want to enter this circle without a copy of this book to guide you through the bazaar and fl ash.”

—Dean LeBaron, founder and former chairman of Batterymarch Financial Management, Inc.

“The urge to fi nd order in the chaos of market prices is as old as civilization itself. This excellent volume traces the development of the tools and insights of technical analysis over the entire span of human history; beginning with the commodity price and astronomical charts of Mesopotamia, through the Dow Theory or the early twentieth century—which forecast the Crash of 1929—to the analysis of the high-speed electronic marketplace of today. The account is particularly refreshing for academics steeped in statistical models, as technical analysis relies upon a substantially different analytical language: graphs, trends, and complex structures. An excellent overview of an important topic.”

—William N. Goetzmann, Edwin J. Beinecke Professor of Finance and Management Studies, Yale School of Management

“This book will fascinate anyone interested in technical analysis. Lo and Hasanhodzic are the fi rst to compile this history and they present it with clear, good-humored prose that moves swiftly. And the book has a larger message. By charting the history of organized trading through the millennia—even Babylon!—it points out the timelessness of the human endeavor we presently know as Wall Street.”

—Carol Osler, Director, Lemberg Masters Program in International Economics and Finance, Brandeis International Business School, Brandeis University

“This book is an exhaustive study of technical analysis history and development from Babylon to the present, another classic by Lo and Hasanhodzic. Using multiple sources, the authors provide a persuasive argument for the origin, rationale, growth, and future of technical analysis. I found the information and logic compelling, and I highly recommend this book to anyone interested in the analysis of trading markets.”

—Charles D. Kirkpatrick II, CMT, President, Kirkpatrick & Company, Inc., coauthor of Technical Analysis: The Complete Resource for Financial Market Technicians, and Adjunct Professor, Brandeis University

The fascinating history of technical analysis and its role in shaping the behavioral theory of modern fi nancial markets.

The Evolution of Technical Analysis explores the history of technical analysis from ancient Babylon through the Internet Age, and highlights the successes and failures of the pioneers—the famous and the forgot-ten—who played a pivotal role in the evolution of this fascinating craft. Today, thanks to their contribu-tions, technical analysis has evolved from “voodoo fi nance” into a more scientifi c endeavor, emerging as a respectable discipline that commands the attention of all serious students of fi nancial markets. This sweeping history will surprise skeptics and open the door for more constructive dialogue between techni-cians and proponents of modern fi nance.

ANDREW W. LO is the Harris & Harris Group Professor of Finance at MIT Sloan School of Management and the director of MIT’s Laboratory for Financial Engineering. He has

published numerous papers in leading academic and practitioner journals, and his books include The Econometrics of Financial Markets, A Non-Random Walk Down Wall Street, and Hedge Funds: An Analytic Perspective. His awards include the Alfred P. Sloan Foundation Fellowship, the Paul A. Samuelson Award, the Graham and Dodd Award, the James R. Vertin Award, and the American Association of Individual Investors Award. He is also Chairman and Chief Investment Strategist of AlphaSimplex Group, LLC.

JASMINA HASANHODZIC is a research scientist at Alpha-Simplex Group, LLC, where she develops quantitative investment strategies and benchmarks. She

received her PhD from MIT’s Department of Electrical Engineering and Computer Science. Her works on alternative market betas and technical analysis have appeared in leading publications, such as the Journal of Investment Management, and she is the coauthor with Andrew Lo of the book The Heretics of Finance. She also serves on the Board of Directors of the Market Technicians Association Educational Foundation.

Jacket Design: Fleur de Lis Design

$29.95 USA / $35.95 CAN

“A movement is over when the news is out,” so goes the Wall Street maxim. For thousands of years, tech-nical analysis—marred with common misconcep-tions likening it to gambling or magic and dismissed by many as “voodoo fi nance”—has sought methods for spotting trends in what the market’s done and what it’s going to do. After all, if you don’t learn from history, how can you profi t from it?

In The Evolution of Technical Analysis, the director of MIT’s Laboratory for Financial Engineering, Andrew Lo, and coauthor Jasmina Hasanhodzic present an engaging account of the origins and development of this mysterious “black art,” trac-ing its evolution from ancient Babylon to the rise of Wall Street as the world’s fi nancial center. Along the way, the practices of Eastern technical analysts like Munehisa Homma (“the god of the markets”) are compared and contrasted with those of their Western counterparts, such as Humphrey Neill, William Gann, and Charles Dow (“the father of technical analysis”).

With deep roots in antiquity, technical analysis is part art and part science, seeking to divine trends, reversals, cycles, and other predictable patterns in historical market prices. While the techniques for capturing such regularities have evolved consider-ably over the centuries, the all-too-human predilec-tion to extrapolate into the future using the past has been a constant driving force throughout history.

The authors chronicle the fascinating and un-expected path of charting that likely began with simple superstitions and coincidences, and has de-veloped into widespread practices in many markets and instruments, involving sophisticated computa-tional algorithms and visualization techniques. The Evolution of Technical Analysis is the story of how some early technicians failed miserably, how others succeeded beyond their wildest dreams, and what it means for traders today.

P R A I S E F O R

The Evolution of Technical Analysis LoH

zicThe Evolution of Technical Analysis

Photo: John Melanson

Photo: MIT

978-0-470-54086-2Hardcover • $27.95

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S T E P H E N R O A C H O N

S T E P H E N S . R O A C H

“Stephen Roach’s prescient collection of insights and analyses, from his

many years in Asia as one of the most experienced decoders of China’s

political and economic trends, are cogent, valuable, and immensely helpful.”

— H E N RY A . K I S S I N G E R

O P P O R T U N I T I E S A N D C H A L L E N G E S

F O R A N E W G L O B A L I Z A T I O N

S TS TS T E PE PE P H EH EH E NN N SS .S . R RR O AO AO A C HC HC H

R O A C H

B u s i n e s s & E c o n o m i c s / G e n e r a l

PR AI SE FOR STE PH E N ROAC H ON THE NEXT AS IA

“Stephen Roach’s penetrating insights into the linkages between Asia and globalization—past,present, and future—should be required reading for policymakers, economists, and anyone else who has an interest in the future of the world economy.” — JEFFREY E. GARTEN, Professor and former dean, Yale School of Management, and former

Undersecretary of Commerce for International Trade, Clinton administration

“If policymakers from the United States and China heed [Roach’s] words, the world will be a safer, more prosperous place.”—BILL BRADLEY, former United States Senator

“This book presents a fresh Asian perspective in understanding the root cause of the globalfi nancial crisis.”—LIU MINGKANG, Chairman, China Banking Regulatory Commission

“Stephen Roach’s articles on Asia give the reader an authoritative and highly readable overview of the many fascinating aspects of Asia’s new emergence on the global scene.”—MONTEK AHLUWALIA, Deputy Chairman, Planning Commission, Government of India

“Debate rages over whether Asia has become the new engine of growth in a post-crisis global economy. Stephen Roach challenges this presumption and provides timely insight as to whatChina and the rest of Asia need to accomplish in order to step into this important role.” — LAURA D’ANDREA TYSON, Professor, Haas School of Business, UC Berkeley, and former

chair, White House National Economic Council, Clinton administration

“Roach has enjoyed a ringside seat in Asia through the crisis. The combination of economic andbusiness analysis gives him a unique perspective.”— HOWARD DAVIES, Director, London School of Economics, and former executive chairman,

UK Financial Services Authority

STEPHEN S. ROACH has been a thought leader on Wall Street for over thirty years. He is cur-rently a member of the faculty of Yale University and Non-Executive Chairman of Morgan Stanley Asia. For the bulk of his career, he served as Morgan Stanley’s chief economist, heading up a highly regarded team of economists around the world. His recent research on globalization, the emergence of China and India, trade policy, and the capital market implications of global imbal-ances has appeared widely in the international media and in testimony before the U.S. Congress. Prior to joining Morgan Stanley in 1982, he worked in senior capacities at Morgan Guaranty Trust Company and the Federal Reserve Board in Washington D.C. He holds a PhD in economics from New York University and was a research fellow at the Brookings Institution. He is currently recovering from chronic jet lag syndrome after having logged 1.2 million air miles during his recent three-year stint as Hong Kong–based Chairman of Morgan Stanley Asia.

: C. W

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INTOODEEP

Bloomberg News

B P A N D T H E D R I L L I N G R A C E

T H A T T O O K I T D O W N

S T A N L E Y R E E D

A L L I S O N F I T Z G E R A L D

EDWIN LEFÈVRE

Stock Operatorof a

Reminiscences

With New Commentary and Insights on the Life and Times ofJESSE LIVERMORE

annotated edition by jon d. markman

fore word by paul tudor jones

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THEE MADOFF WHISTLEBLOWWER

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R E G U L A T I N G

the dodd-frank act

and The NEW ARCHITECTURE

of global fi nance

VIRAL V. ACHARYA l THOMAS F. COOLEY l

MATTHEW P. RICHARDSON l INGO WALTERE D I T O R S

ACHARYA l COOLEY lRICHARDSON l W

ALTER REGULATING WALL STREET

T he Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 is everywhere described as the most ambitious and far-reaching overhaul of fi nancial

regulation since the 1930s. The Act was born of the severe fi nancial crisis of 2007–2009 and the Great Recession that followed. It attempts to fi x parts of the fi nancial architecture that failed in the crisis. The Act is already being denounced by some for not going far enough to curb the risky behavior of fi nancial institutions, and condemned by others for going too far and hampering innovation and effi ciency in fi nancial markets.

Following Restoring Financial Stability: How to Repair a Failed System, a forensic analysis of the fi nancial crisis of 2007–2009, forty NYU Stern faculty have produced this in-depth analysis of the Dodd-Frank Act. It provides a comprehensive description of the important parts of the Act and a balanced assessment of its likely success as the new regulatory architecture for the fi nancial system.

The Dodd-Frank Act, together with other regulatory reforms introduced by the Securities and Exchange Commission (SEC), the Federal Reserve, and other regulators as well as fi nancial sector reforms being put in place in Europe, is going to alter the structure of fi nancial markets in profound ways. The editors argue that the Dodd-Frank Act provides much-needed improvements in fi nancial regulation but falls far short of what could have been achieved.

Today, it seems that everyone’s taking credit for predicting the near collapse of America’s fi nancial system that started in 2007. But, rather than looking to the past at what went wrong and who was right, in Regulating Wall Street: The Dodd-Frank

Act and the New Architecture of Global Finance, leading academics from New York University’s Stern School of Business—each a specialist in a relevant discipline—turn their attentions to the new legislation to regulate Wall Street in the future, and whether the resulting regulations will promote growth and prevent another near collapse of our fi nancial system, or contribute to its catastrophic failure.

Edited by Viral Acharya, Thomas Cooley, Matthew Richardson, and Ingo Walter, this book is essential reading for policymakers, business executives, and anyone who can benefi t from having a clear, coherent, and rigorous framework for thinking about the future of global fi nance.

VIRAL V. ACHARYA is Professor of Finance at New York University Stern School of Business.

THOMAS F. COOLEY is Dean Emeritus and the Paganelli-Bull Professor of Economics at New York University Stern School of Business, as well as a Professor of Economics in the NYU Faculty of Arts and Science.

MATTHEW P. RICHARDSON is the Charles E. Simon Professor of Applied Financial Economics at New York University Stern School of Business.

INGO WALTER is the Seymour Milstein Professor of Finance, Corporate Governance and Ethics and Vice Dean of Faculty at New York University Stern School of Business.

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Independent analysis of newly enacted financial legislation—and what it might mean for the world economy

F O R E W O R D B Y M Y R O N S C H O L E S , 19 9 7 N O B E L P R I Z E L A U R E AT E I N E C O N O M I C S

“A fascinating, lively, and thoroughly readable guide to the Dodd-Frank Act that pierces the cloud of confusion that hangs over so much of the fi nancial reform debate. It is extremely timely and valuable, and should be required reading for all policymakers, investors, and students of fi nance. What makes the book so valuable is that it not only analyzes the scope of the Act, in a punchy, lively style, but it also discusses its potential impact. More important, the book analyzes what is not covered in the Act—and where the potential challenges to the fi nancial system still lie.” —Gillian Tett, U.S. Managing Editor, Financial Times

“The crisis of 2008 confronted even well-educated Americans with a fl ood of incomprehensible fi nancial vocabulary, describing novel fi nancial institutions and practices most of us had never heard of before. Now we have the 2,300-page Dodd-Frank Act, designed to provide the needed repair. Will it do so? What else will it do? How can we even start to think about these basic questions? Regulating Wall Street addresses these questions in a clear, direct style, taking us through the many parts of the Act one at a time, and providing informed, cogent economic analysis of each. A valuable standard source for future discussion.” —Robert E. Lucas, University of Chicago, 1995 Nobel Laureate

“Take the faculty of one of the best fi nance departments in the world. Ask them to analyze the new U.S. legislation on fi nancial regulation, and to think about what the new law gets right, what it gets wrong, and how it is likely to shape the future of the fi nancial system. With a bit of luck, you get this very impressive book. An absolute must-read.” —Olivier Blanchard, Chief Economist, International Monetary Fund

“Regulating Wall Street goes a long way toward clarifying the intent of the various provisions of the Dodd-Frank Act and evaluating both its effectiveness and limitations. The need for effective implementation by agencies is appropriately emphasized. Not a quick read, a useful reference work on an enormously complex piece of legislation, dealing with an even more complex fi nancial reality.” — Paul Volcker, Chairman of the Economic Recovery Advisory Board and former

Chairman of the Federal Reserve (1979–1987)

[ c o n t i n u e d f r o m f r o n t f l a p ]

[ c o n t i n u e d o n b a c k f l a p ]

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Crisis and CrashNew and Topical

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FINANCIAL CONTAGION

Robert W. Kolb, Editor

The Viral Threat to the Wealth of Nations

KOLB SERIES IN FINANCEEssential Perspectives

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SOVEREIGNDEBT

From Safety to Default

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The EndowmentModel ofInvesting

Return, Risk, and Diversification

Martin L. Leibowitz MORGAN STANLEY

Anthony BovaMORGAN STANLEY

P. Brett HammondTIAA-CREF ASSET MANAGEMENT

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Risk Management in a Multi-Asset World

THE NEW SCIENCE OF

ASSETALLOCATION

THOMAS SCHNEEWEIS GARRY B. CROWDER HOSSEIN KAZEMI

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THE FRANK J. FABOZZI SERIES

PROBABILITY and STATISTICS for

FINANCESVETLOZAR T. RACHEV • MARKUS HÖCHSTÖTTERFRANK J. FABOZZI • SERGIO M. FOCARDI

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HOW TO MANAGE FEAR AND BUILD YOUR INVESTOR IDENTITY

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LESSONS fromthe FINANCIALCRISISCauses, Consequences, and Our Economic Future

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FROM T HE AU T HORS WHO PREDIC T ED T HE F IRS T F IN A NCI A L MELT DOWN

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The Viral Threat to the Wealth of Nations

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From Safety to Default

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“Not a great fi nance book. Not a great business book.A great book. Period.”

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A New York Times

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prologue by

Tom Peters, In Search of Excellence

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JOHN BASCHAB • JON PIOT

I N S I D E T H E

INVESTMENT STR ATEGYO F

BILLION DOLLARENDOWMENTS

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The EndowmentModel ofInvesting

Return, Risk, and Diversification

Martin L. Leibowitz MORGAN STANLEY

Anthony BovaMORGAN STANLEY

P. Brett HammondTIAA-CREF ASSET MANAGEMENT

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Risk Management in a Multi-Asset World

THE NEW SCIENCE OF

ASSETALLOCATION

THOMAS SCHNEEWEIS GARRY B. CROWDER HOSSEIN KAZEMI

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RICHARD L . PETERSON FRANK F. MURTHA

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LESSONS fromthe FINANCIALCRISISCauses, Consequences, and Our Economic Future

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FROM T HE AU T HORS WHO PREDIC T ED T HE F IRS T F IN A NCI A L MELT DOWN

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Strategies, Tranche Warfare, and Prospects for Recovery

Stephen B. Meister

Commercial Real Estate RestructuringRevolution

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Reverse Mortgages and Linked SecuritiesThe Complete Guide to Risk, Pricing and Regulation

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TONY WOOD Foreword by Matthew Anderson, Foresight Analytics

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ETFHow to Value and Trade Exchange Traded Funds

DAVID J. ABNER

H A N D B O O K

CompanionWeb siteIncluded

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FIXED-INCOME

SECURITIES AND

DERIVATIVES

HANDBOOK

ANALYSIS AND

VALUATION

MOORAD CHOUDHRY

S E C O N D E D I T I O N

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FABOZZIMANN

To remain a competitive fi xed income investor, both seasoned professionals and newcomers must stay up to date and

knowledgeable about this continually evolving fi eld.

Nobody understands this better than fi xed income experts Frank Fabozzi and Steven Mann. And now, with the revised and updated Introduction to Fixed Income Analytics, Second Edition, they provide complete coverage of the most important issues in this area. Following in the footsteps of the popular fi rst edition, this reliable resource skillfully details the key analytical concepts used in the fi xed income market and illustrates how they are computed.

This book addresses everything from the valuation of fi xed income securities with embedded options to the features of structured products—such as mortgage-backed securities and asset-backed securities—while also offering insights on basic principles like the time value of money. Updated to refl ect current market trends, Introduction to Fixed Income Analytics, Second Edition will help practicing investment professionals invest wisely in this new era, as well as assist those aspiring to enter the fi eld. Along the way, this practical guide:

• Outlines approaches to bond valuation based on the discounted cash fl ow framework as well as relative value analysis

• Ties in analytical concepts with what is available on the Bloomberg Terminal and walks you through relevant Bloomberg functions

• Explains a superior metric for quantifying a portfolio’s risk exposure: conditional value-at-risk (VaR)

• Describes the various issues associated with interest rate swaps—from counterparties and risk-return profi le to economic interpretation—and illustrates how to value them

Each chapter includes end-of-chapter questions so readers can test their knowledge of the concepts discussed as well as refi ne any computational skills needed to succeed.

Understanding fi xed income analytics is essential in today’s dynamic fi nancial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this fi eld.

FRANK J. FABOZZI, PHD, CFA, CPA, is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is an Affi liated Professor at the University of Karlsruhe’s Institute of Statistics, Econometrics, and Mathematical Finance and on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University.

STEVEN V. MANN, PHD, is Professor of Finance at the Moore School of Business, University of South Carolina. He has published over seventy articles in fi nance journals and many books on fi xed income and derivatives topics, including The Global Money Markets, Measuring and Controlling Interest Rate and Credit Risk, Securities Finance (as a coeditor), and The Handbook of Fixed Income Securities (as an assistant editor). Mann is an active consultant to clients that include some of the largest investment/commercial banks in the world as well as a number of Fortune 500 companies.

Jacket Image: iStockphoto

With the Second Edition of Introduction to Fixed Income Analytics, Frank Fabozzi

and Steven Mann return with a fully updated guide to the discipline of fi xed

income analysis. Written for both fi nancial professionals and fi xed income

newcomers, this essential resource carefully covers the crucial elements of today’s

complex bond marketplace—from the various issues associated with investing

in fi xed income securities to the fundamentals of valuation and interest rate risk.

Fabozzi and Mann offer invaluable fi xed income insights, with discussions of

relative value analysis and value-at-risk measures; analysis of mortgage-backed

and asset-backed securities, convertible fi xed income securities, and volatility

estimation; and information on instruments like Treasury infl ation-protected

securities (TIPS). They also highlight one of the most popular systems relied

upon by fi xed income professionals—the Bloomberg Terminal—and tie in

important analytics and functionality.

The fi xed income market is one of the largest in the world. It spans many

sectors, from Treasuries to mortgages to high yield bonds. If you want to gain a

fi rm understanding of the tools and techniques needed to succeed in this fi eld,

look no further than Introduction to Fixed Income Analytics, Second Edition.

$100.00 USA / $120.00 CAN

( c o n t i n u e d o n b a c k f l a p )

( c o n t i n u e d f r o m f r o n t f l a p ) THE FRANK J. FABOZZI SERIES

INTRODUCTION to FIXED INCOMEANALYTICS

INTRODUCTION to FIXED INCOME ANALYTICS

N to F

IXED IN

ALYTICS

Relative Value A

nalysis, Risk M

easures, and Valuation

FRANK J. FABOZZI • STEVEN V. MANN

Relative Value Analysis,Risk Measures, and Valuation

SE C ON D E DI T ION

S E C O N DE D I T I O N

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CFA Institute Investment Perspective Series