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2008-Nov: 13 week T-Bill (~3 month) peaked at World War 2 levels. Fear is obviously at historic extremes as VIX hit 48,40pts. Trend-wise VIX still respects the 120 week/~3 year MA-600. In recent history VIX has peaked at following levels (Jeremy J. Siegel, 2002 - Stocks for the long run pp.275-280):
1987 VIX @ 172pts - Market/dollar crash
1989 VIX @ 52pts - Collapse of UAL buyout
1990 VIX @ 40pts - Gulf war
1997 VIX @ 55pts - Speculative attack on Hong Kong Dollar
1998 VIX @ 60pts - Russian default & LTCM (Long-term capital management) bailout
2001 VIX @ 58pts - 11 Sept. terrorist attack
Why do I think VIX is important? Because market as hole hedge their portfolio by buying index puts in opposite direction to cancel out the downside - also known as dynamic hedging.
2008 Jul: Keep an eye on ABX daily graphs. Images linked from markit.com.
IndyMac Bank is now marked as "Failed Bank" by FDIC (Federal Deposit Insurance Corporation). View full list of bank failures here (dated back to Oct 2000).
FED reserve lending highest ever, surged lately here.
2008 Jan-Mar: The instability continues as new problems emerges. Some traders say this market is the worst they've seen and they have been in the market for over 15 & 25 years (acc. to two traders). What have happend since subprime crisis? Bear Stearns (BSC) daily, FED interventions, flight to safety, continued detoriation in asset-backed securities (?) (daily indices from Markit) etc.
Maybe luck seeing this early '07 but one question remains, when will this end? In 20 years or tomorrow?
22th Jan 2008: There was no bid in the S&P500 (ESH08.CME) and NASDAQ100 (NQH08.CME) futures which made it impossible to liquidate position or secure capital. This sometimes cause a stockmarket crash (i.e. forced liquidation of leveraged accounts, asymmetric hedges etc). Luckily the FED came out to rescue the markets with an emergency cut of 0.75 basis points in the interest rate, the biggest cut since 1982 (FT.COM). Since then the market have behaved somewhat normal but with VIX close to 30. The massive selling began in Asia followed by Europe and was about -5% to -10% per day during a two day period. This may be seen as an invalidation of the so called supercycle of globalization.
2007: Robert Shiller's view on real estate in the US. He talkes about consumer confidence and refers to earlier studies by Christina D. Romer. Her paper is found here. Another studie has been made by Harold Bierman at Cornell University, found here. "We have nothing to fear but fear itself." -- Franklin Roosevelt 1933
2007 Feb 27th: Dow jones (^DJI) took a big hit causing it to tank more than -3%, breaking any "TA" support. The news said there was a computer error. To me, it was to logical to be unlogical that it dropped so close to the ma100. But vertical drop of nearly 250pts in no time is strange, giving clues about possible systemic risk ahead because this has never happend. Trading collar was activated, read more about the levels for NYSE here. Since then the MA-600 on CBOE volatility index (VIX) has been rising and the finance sector revealed its ugly face in early May. Picture of Dow Jones industrials intraday timeframe using tick chart on my global surveillance system (3sec freq). Video below confirms event was not provider specific (Nasdaq tick chart).
2007 Feb 27th: Shows how the 10 percent drop in China index (^SSEC) affected US market (taken 11min after close):
2007 Feb 27th: The swedish pension system stopped working the following days due to heavy selling:
2001 Sep 11th: The Swedish exchange (OMX) showing the different sector indices close percent after the terrorist attack. All share index backed -7.75% on ~43% bigger volume than the day before. Europe was open but US exchange never opened that week. The S&P-500 futures during the actual event is shown to the right.
2001 Sep 11th: The S&P futures in the morning during the terrorist attacks. Notice that the first plane did affect the market but was recovered quickly. It was the second attack that took the market down for sure. The official markets didn't open until 17 Sep.
1998: Long-Term Capital Management (LTCM) (1994-1998) went bankrupt. It was later bailed out by several banks. There's a book about it, "When genius failed" (Roger, 2001). Download the book here. The video below, "Trillion Dollar Bet" is a short version of the extended version, downloadable here (195MB).

1995: Barings Bank (1762-1995) defaulted 1995 due to accouting fraud. ING, a Dutch bank, purchased Barings Bank in 1995 for the nominal sum of £1. Nick Leeson wrote a book about it here. His homepage is found here.

Trailer of movie "Rouge Trader"

1987 Oct 19: The black monday, -22.6% in one day. Actually the market started to decline two days before that vicious monday, beginning with -3.81% on Oct 14 (Thu) & -4.60% on Oct 15 (Fri). Research and charts published here. (FED, 2006) Picture to the right is USD index vs. Dow Jones. Bottom picture is frontpages from Sun-Times, Los Angeles Times, The New York Times & media:




1929 Oct: "The Great Stock Market Crash" as they called it, caused the great depression. From top to bottom it declined -90%. "Anyone who bought stocks in mid-1929 and held on to them saw most of his adult life pass by before getting back to even" -Richard M. Salsman. Right picture from the floor after the close. For details about the period click here (H. Bierman/Cornell Univ).

Biggest yearly declines during 1900-century in USA (Swedish text, columns are Year & downmove in percent):

Total credit market debt in all sectors (dated 12/31/02):
The cycle. Some say it isn't true this time due to globalisation. They call it "super cycle":

Online reading materials [updated 15 jun]
- Bachelier Louis (1900): Théorie de la spéculation
- Bierman Harold, Jr. Cornell University (2004): The 1929 Stock Market Crash
- Carlson Mark, The Federal Reserve Board (2006): A Brief History of the 1987 Stock Market Crash with a Discussion of the Federal Reserve Response
- Eugene F. Fama (1965-1974): Random Walks in Stock Market Prices
- Forssten Stefan (in Swedish) (2004): Psykologin på aktiemarknaden
- Ginyard Johan (2001): Position-sizing Effects on Trader Performance: An experimental analysis
- Goyal A., Welch I. (March 2004): A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
- Grinblatt M. and B.Han (2004): Prospect Theory, Mental Accounting, and Momentum
- Hirschey (2006): The January Effect
- Hjalmarsson Erik (2008): Predicting Global Stock Returns
- Jorison Philippe, prof. at Univ. of California (2003): The Long-Term Risks of Global Stock Markets
- Le Bon Gustave (1896): The Crowd
- Lidén E., Rosenberg M. (Nov 2006): Ten Years of Misleading Information, Investment Advice in Printed Media
- Lindbom Jonas, (2006) (in Swedish): Är Stockholmsbörsen predicerbar?
- Lowenstein Roger (2001): When Genius Failed (History, Arbitrage of Longterm Capital & Wall Streets inner circle)
- Murray N. Rothbard, MISE Institute (2000): America's Great Depression 5th Ed.
- Norstad John (Dec 2005): Mean reversion
- Romer D. Christina (2003): Great Depression
- Tweedy, Browne Fund Inc.: The High Dividend Yield Return Advantage
- Wilcox C., Crittenden E., Blackstarfunds (2005): Does Trend Following Work on Stocks?
- Acar E., Satchell S. (2002): Advanced Trading Rules (advanced mathematical models)

Books & papers (FA fundamental bias, TA technical)
- Allen, Larry (2001): The Global Financial System 1750-2000
- Daft L. Richard, 8th Ed.: Organization, Theory and Design (FA)
- Elder Alexander (1993): Trading for a Living (TA)
- Friedman Milton (1976): Price Theory
- Gilpin Robert (2000): The Challenge of the world Global economy Capitalism in the 21st Century
- Graham Benjamin (2006): The Intelligent Investor (FA/longterm)
- Hammond, J.S. and Keeney, R.L. and Raiffa, H. (1999): Smart Choices: A Practical Guide to Making Better Decisions
- Landes S. David (1999): The Wealth and Poverty of Nations
- Lefevre Edwin (1994): Reminiscences of a Stock Operator
- Lo W. Andrew & Craig MacKinlay A. (2002): A Non-Random Walk Down Wall Street, 5th
- Lynch Peter (1994): Beating the Street
- Malkiel G. Burton (2007): Random Walk Down Wall Street (Random walk, critize FA/TA & other wellknown historic patterns)
- Jenkins M. (1996): The Geometry Of Stock Market Profits (TA, symmetry of price & time)
- Levander M. (in Swedish): Psykologi
- Murphy J. John (1991/2004): Intermarket Technical Analysis (FA/Arbitrage)
- N. Macheridis (in Swedish): Ekonomiska perspektiv på projekt (FA/Projects & economics)
- O'neil J. William (2002): How to make money in stocks - A Winning System in Good Times Or Bad, 3rd ed.
- Pinker Steven (1999): How the Mind Works
- Pollard Sidney (1997): The International Economy since 1945
- Hagstrom Robert G. (2005): The Warren Buffer Way (FA)
- Siegel Jeremy (2007): Stocks for the long run, 4th Ed. (FA/longterm/online presentation/amazon)
- The trillion dollar bet, documentary about Longterm Capital Management (Full version (wmv), shorten version (youtube))
- Tharp Van K. (2006): Trade your way to financial freedom 2nd Edition (TA)

Other references
- About FED, inflation and golds evolution since 18th century, biased but interesting (Video)
- Black monday 1987, views of 1987 opening & the 1927 trading (Video)
- Circuit-breaker levels and trading-collar levels (HTML)
- Financial mathematics (in Swedish): univ. online material (HTML/PDF)
- Interview with Ted Weisberg, Seaport Securities concerning the emotions of the 1987 crash (Video)
- Wikipedia about 1987 black monday (HTML)
- BBC Horizon documentary (2005): Einstein's unfinished Symphony. Philosophy, time-, relativity-, probability-, random walk-, non-random walk-, atom-, quant- & string theory (Video)
- (Related to above) Elegant Universe 1-11 (Part I, Part II, Part III, Part IV, Part V, Part VI, Part VII, Part VIII, Part IX, Part X, Part XI)


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