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Keyword: quants

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  • The Minds Behind the Meltdown(Quants)

    01/24/2010 4:56:02 AM PST · by TigerLikesRooster · 25 replies · 940+ views
    WSJ ^ | 01/23/10 | SCOTT PATTERSON
    The Minds Behind the Meltdown How a swashbuckling breed of mathematicians and computer scientists nearly destroyed Wall Street By SCOTT PATTERSON On Thursday, President Barack Obama proposed new rules to curb a number of Wall Street's risky—and highly profitable—trading activities. One target: The secretive trading operations within banks that use large doses of leverage, or borrowed money, to make huge bets on the market. Wall Street says the regulations are unnecessary, and since the financial crisis struck, most banks have cut back on these trading outfits. But when the downturn first hit in the summer of 2007, several of them...
  • They Tried to Outsmart Wall Street

    03/10/2009 7:08:45 PM PDT · by Lorianne · 13 replies · 793+ views
    New York Times ^ | March 9, 2009 | Dennis Overbye
    Emanuel Derman expected to feel a letdown when he left particle physics for a job on Wall Street in 1985. After all, for almost 20 years, as a graduate student at Columbia and a postdoctoral fellow at institutions like Oxford and the University of Colorado, he had been a spear carrier in the quest to unify the forces of nature and establish the elusive and Einsteinian “theory of everything,” hobnobbing with Nobel laureates and other distinguished thinkers. How could managing money compare? But the letdown never happened. Instead he fell in love with a corner of finance that dealt with...
  • Risk Mismanagement (Part of how Wall Street was too smart by half.)

    01/03/2009 7:44:06 PM PST · by neverdem · 16 replies · 1,088+ views
    NY Times Magazine ^ | January 4, 2009 | JOE NOCERA
    ‘The story that I have to tell is marked all the way through by a persistent tension between those who assert that the best decisions are based on quantification and numbers, determined by the patterns of the past, and those who base their decisions on more subjective degrees of belief about the uncertain future. This is a controversy that has never been resolved.’ — FROM THE INTRODUCTION TO ‘‘AGAINST THE GODS: THE REMARKABLE STORY OF RISK,’’ BY PETER L. BERNSTEIN THERE AREN’T MANY widely told anecdotes about the current financial crisis, at least not yet, but there’s one that made...
  • Burnt Fingers, Red Faces And Bernanke

    08/22/2007 8:33:20 PM PDT · by bruinbirdman · 18 replies · 662+ views
    Forbes ^ | 8/21/2007 | Martin T. Sosnoff
    Wall Street shot itself in the foot, and Ben Bernanke came on, sirens wailing. There are dozens of money managers in both the fixed-income and equities sectors who've self-destructed. Not conventional money managers, who grew up as practicing security analysts, analyzing companies and industries, performing sharp-penciled credit analysis of corporate debt instruments. The guys with burnt fingers are quants who go long and short stocks but leverage up to 10 times their base equity. Players in the debt markets also leverage up 10 times or more using low-cost Eurodollars as security for positions in all kinds of collateralized debt paper....
  • Limitations of computer models [system error for quants]

    08/14/2007 9:25:31 PM PDT · by bruinbirdman · 22 replies · 1,108+ views
    Financial Times ^ | 8/14/2007 | Gillian Tett and Anuj Gangahar
    In recent years, Goldman Sachs has become renowned as one of the savviest players on Wall Street. This week, however, the mighty US bank was forced into an embarrassing admission. In a rare unplanned investor call, the bank revealed that a flagship global equity fund had lost over 30 per cent of its value in a week because of problems with its trading strategies created by computer models. In particular, the computers had failed to foresee recent market movements to such a degree that they labelled them a “25-standard deviation event” – something that only happens once every 100,000 years...