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 »
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 »
If you know anyone who’s interested. Read more »
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 »
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 »
Last week we mentioned that Goldman Sachs, in spite of the assumption it was immune from taking part in peasant-like drinking games, had played host to at least one confirmed icing on its premises at 200 West Street. For the uninformed, “Icing” is the new game the kids are playing these days, wherein you surprise a “bro” with a bottle of Smirnoff Ice, any time, any place and he has to get down on one knee and chug it, unless he happens to whip out his own bottle, in which case, you got owned and have to drink both. Naturally we assumed that such events were taking place on Wall Street, but at places where it wouldn’t be such a huge deal if you got caught by someone much more senior than yourself, such as Citi, where they’re practically daring their employees to pull this kind of shit. It wasn’t that we imagined Goldman Sachs had more important things to do– front-running clients is really not as difficult as people would you have you think, seriously, try it some time– but that they’d have more sophisticated drinking games to play. The same thinking went into our answer to the question, “Do you think there’ve been any icings at DE Shaw,” which meant that for only the second time ever, we were proved wrong.
Fortune has learned of icings at Florida-based investment bank Raymond James (RJF) and New York City hedge fund D.E. Shaw.
Quantitative hedge funds, which really stunk up the joint two years ago, are getting some tough love from a guy who knows just how bad it can get.
Robert Litterman is head of quantitative resources at Goldman Sachs Asset Management, which in 2007 watched its Cadillac of hedge funds, Global Alpha, turn into a Yugo. And as he sees it, from his alternately lofty and lousy perch, and with his many years of experience in the field, quantitative hedge funds have to do a better job of making money for their clients. And in Litterman’s considered opinion, they need to find new ways of making money. New and non-quantitative, apparently.
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