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’The No Free Deliciousness Principle
Guest post by Emanuel Derman
Foods with equal deliciousness should sell for equal prices per ounce.
Who can argue with this? Not homo economicus. It seems completely reasonable: if that weren’t the case,
Building a better Gaussian copula
It’s ba-ack. The formula that famously felled Wall Street.
The Gaussian copula — with which banks famously evaluated correlation risk for things like CDOs — did not quite live up to its hype. A normal distribution bell curve turned out not to be able to sufficiently take into account correlated default risk for things like subprime mortgages.
[South Africa 2010] Take on the World Cup quants
Data prediction site, Kaggle, has, er, borrowed FT Alphaville’s prize collection of World Cup notes.
But, being the light-hearted new media types that we are, we won’t hold that against them.
No,
The (Greek) tragedy of the quants
Take a good look at that chart, from BNP Paribas, for it is the stuff that quant models are made of.
The way this particular model, said by BNP to be a “main work horse” of quant traders, works is this:
Ex-Goldman employee accused of cyber-theft
US officials arrested former Goldman employee and computer programmer Sergey Aleynikov over the weekend, accusing him of stealing sensitive automated trading codes and uploading them to a server based in Germany,
Victims of the dash for trash
Quant funds, of course, who have been buried during the recent bear market rally according to Bloomberg.
Companies with the most debt and lowest returns on assets are turning the biggest six-week rally in stocks since 1938 into a bloodbath for last year’s best-performing trading strategy. Investors in so-called “quantitative momentum”