Quants

  • 13 Jun 2014 at 4:14 PM
  • Banks

Banks Continue To Enjoy Their Once-In-Four-Years Fun

The entire world outside the borders of the United States of America is transfixed by the Quadrennial International Tournament of Soccer, or “World Cup,” which began yesterday when one country that some Americans have heard of defeated a team that fewer Americans have heard of.

Now, if you happen to be one of the handful of Americans that have heard of both of them, and are paying attention to the great hands-less sporting contest, and you read this blog, you probably already know one of the countries already mentioned, Brazil, is going to win, because Goldman Sachs says so. Or Spain, because ING has determined through highly speculative means that its players are the most valuable in the world. But things are not so simple, according to Macquarie, which provides a much-needed, Nate Silver-esque* quantitative answer to a question that will have a definitive answer exactly one month from today. Read more »

  • 29 Aug 2012 at 1:47 PM

D.E. Shaw Geniuses Build Their Greatest Model Yet

Do you worship at the Temple of Chipotle? Do you refuse to make use of the online order option that allows you to bypass the line, as one half of Team Dealbreaker does, but unlike said burrito lover, prefer not to show up before 12 so as to beat the rush? Would you die before patronizing some inferior establishment for lunch but would also like to know what kind of wait you’re going to be dealing with before making the trip, or, alternatively, not really care how long you have to wait but just get off on predicting stuff to a 3-sigma confidence level? Some enterprising D.E. Shaw employees have got covered. Read more »

The Whale and the Quants

If you’d like some non-real-time insight into the London Whale, may I highly recommend this oral history, by Edinburgh sociologists Donald MacKenzie and Taylor Spears, of how investment banks came to price and trade and hedge things like the index CDS that the Whale dabbled in? It made me tear up a little. It is let’s say somewhat technical but it’s not really about math or derivatives, it’s about how people experience their lives in derivatives departments of investment banks.

The main discussion is about the relationship between certain derivative pricing formulas and the credit crisis, and in particular about why ratings agencies did a bad job of rating asset-backed CDOs. The authors attribute these mis-ratings to a cultural problem, in which the people building and rather ABS CDOs were credit-analyst banker type rather than quant types who derive their views from market prices and efficient market assumptions: Read more »

They also need a ruling on Lagrange versus Laplace. Read more »

  • 19 May 2011 at 1:20 PM

Steve Cohen Gives The People What They Want

Or at least one of the things on a wish list that includes a revealing 12-month wall calendar, Zamboni rides, a full deck of cards, karaoke night, an invite to the manse for spaghetti with anchovies, the opportunity to submit designs for the tattoo he’ll be getting on his lower lumbar region, a remastered DVD of home video footage that features his conception, birth, and 3rd place finish in the 8 and under 25m butterfly, a lock of chest hair, one year as his foster child, and higher fees: a new fund. Read more »

  • 28 Apr 2011 at 1:12 PM

Citadel Getting Into The Quant Business

Former Knight Capital executives will run the new unit. Read more »

A Double Down challenge occurred last Friday at 1PM. Man on man (in this case, employee v intern), thirty minutes, as fast as they could get ‘em in there. Luckily I was long gone by then but I’ve been asked to post the results, for those of you considering going up against your younger, hungrier slaves. Read more »