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’Italy will be eurozone’s biggest test, says Altman Z-score creator
As Risk reports, Edward Altman, senior advisor to Classis Capital and creator of the Altman Z-scores used to predict corporate bankruptcies, made an interesting (sovereign) point on Friday.
The future of the eurozone will rest not on Spain,
Volatility as the new Black-Scholes
Here’s a timely discussion following the Vix smashing through the 20 level.
It comes via Euromoney columnist, Theo Casey, and it concerns a 2010 paper by Eckhard Platen, professor of quant finance at the University of Technology,
Quants vs decimals
In early 2009, customers of AXA Rosenberg began complaining of ‘industry overexposure’ in their portfolios, according to an SEC order published on Thursday.
Fast forward two years and AXA — which was one of the pioneers of quant models for portfolio investments — has now been fined $242m by the US securities watchdog,
Quant crisis, the much more-moderated sequel?
Quant crisis. [kwont] [krisis] Origin: In August 2007 a host of quant-driven hedge funds experienced losses on the back of the subprime crisis and a series of margin calls. This led to a ripple effect causing losses across various quant strategies and would become known as the ‘quant crisis’ or ‘quant scare’ of 2007.
Currency war goes covert
Ding dong, the dollar’s dead — against its Asian and Antipodean counterparts, anyway.
That’s the USD reaching parity with the Australian dollar this Tuesday.
Indeed the US currency has even been weakening against its basketcase continental cousins — the Great British Krona and the euro — ahead of Wednesday’s probable QEasy announcement from the Fed.
Quant-ifying the HFT effect in stock movements
Here’s something for critics of high-frequency trading (HFT) — and lovers of Markov/Gauss/Mandelbrot minutiae — to pull out for their next dinner party conversation:
It’s a quantitative analysis of 14 NYSE- and Nasdaq-traded stocks between the start of 2002 and the end of May 2009 — including HFT favourite GE .
Introducing SocGen’s ‘leak-o-meter’
Counter-intuitive, this one. Click to enlarge.
This is a list of stocks Société Générale thinks you should avoid — because, er, they might get taken over, or go up for some other random reason,
It’s time to take out the (rally) trash…
And replace it with new trash “low quality” stocks.
So say the quants at Bernstein Research, in inimitable quant-style.
Here’s the basic idea, though:
This year’s rally in lower quality stocks spanned most industry groups and had an impressive 6 month run from March to September.
On Goldman’s fat tail risk
Financial blog Zero Hedge points us in the direction of a risk management presentation from Goldman Sachs.
The majority of slides are typical management-type stuff. There are some impressive Venn diagrams and graphics of interlocked puzzle pieces,
Quants fight for a better world
Mr Emmanuel Derman and his pal Mr Paul Wilmott have assembled in New York City and written a manifesto – the Financial Modelers Manifesto, no less.
Stung by the abject failure of financial market models in general,
Quant blame me
Introducing the new villain of financial meltdown: the lowly quantitative analyst.
From Scientific American:
These lapsed physicists and mathematical virtuosos were the ones who both invented these oblique securities and created software models that supposedly measured the risk a firm would incur by holding them in its portfolio…
[Vancouver Dispatch] From Black Swans to White Eagles
The joke going around Vancouver is that this CFA conference in Vancouver should have been held in Perth – a beautiful city set on the estuary of the River Swan. The swans in questions are, of course, black.
[Vancouver Dispatch] We know what the quants did last summer
What will the quants do next? Judging by presentations at the CFA conference in Vancouver, many think they have worked out what happened to them last August, and believe they have learned the lesson.
The main problems – known well enough by now – as presented by various quants here in Vancouver over the last two days seem to be as follows: