The Quants

How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It

Author: Scott Patterson

Publisher: Crown Business

ISBN: 9780307453396

Category: Business & Economics

Page: 352

View: 2822

With the immediacy of today’s NASDAQ close and the timeless power of a Greek tragedy, The Quants is at once a masterpiece of explanatory journalism, a gripping tale of ambition and hubris, and an ominous warning about Wall Street’s future. In March of 2006, four of the world’s richest men sipped champagne in an opulent New York hotel. They were preparing to compete in a poker tournament with million-dollar stakes, but those numbers meant nothing to them. They were accustomed to risking billions. On that night, these four men and their cohorts were the new kings of Wall Street. Muller, Griffin, Asness, and Weinstein were among the best and brightest of a new breed, the quants. Over the prior twenty years, this species of math whiz--technocrats who make billions not with gut calls or fundamental analysis but with formulas and high-speed computers--had usurped the testosterone-fueled, kill-or-be-killed risk-takers who’d long been the alpha males the world’s largest casino. The quants helped create a digitized money-trading machine that could shift billions around the globe with the click of a mouse. Few realized, though, that in creating this unprecedented machine, men like Muller, Griffin, Asness and Weinstein had sowed the seeds for history’s greatest financial disaster. Drawing on unprecedented access to these four number-crunching titans, The Quants tells the inside story of what they thought and felt in the days and weeks when they helplessly watched much of their net worth vaporize--and wondered just how their mind-bending formulas and genius-level IQ’s had led them so wrong, so fast.

Keeping Up with the Quants

Your Guide to Understanding and Using Analytics

Author: Thomas H. Davenport,Jinho Kim

Publisher: Harvard Business Press

ISBN: 1422187268

Category: Business & Economics

Page: 240

View: 552

Why Everyone Needs Analytical Skills Welcome to the age of data. No matter your interests (sports, movies, politics), your industry (finance, marketing, technology, manufacturing), or the type of organization you work for (big company, nonprofit, small start-up)—your world is awash with data. As a successful manager today, you must be able to make sense of all this information. You need to be conversant with analytical terminology and methods and able to work with quantitative information. This book promises to become your “quantitative literacy" guide—helping you develop the analytical skills you need right now in order to summarize data, find the meaning in it, and extract its value. In Keeping Up with the Quants, authors, professors, and analytics experts Thomas Davenport and Jinho Kim offer practical tools to improve your understanding of data analytics and enhance your thinking and decision making. You’ll gain crucial skills, including: • How to formulate a hypothesis • How to gather and analyze relevant data • How to interpret and communicate analytical results • How to develop habits of quantitative thinking • How to deal effectively with the “quants” in your organization Big data and the analytics based on it promise to change virtually every industry and business function over the next decade. If you don’t have a business degree or if you aren’t comfortable with statistics and quantitative methods, this book is for you. Keeping Up with the Quants will give you the skills you need to master this new challenge—and gain a significant competitive edge.

The Rise of the Quants

Marschak, Sharpe, Black, Scholes and Merton

Author: C. Read

Publisher: Springer

ISBN: 1137026146

Category: Business & Economics

Page: 195

View: 2704

The third book in the Great Minds in Finance series examines the pricing of securities and the risk/reward trade off through the legends, contribution, and legacies of Jacob Marschak, William Sharpe, Fischer Black and Myron Scholes, and Robert Merton, influencing both theory and practice, answering the question 'how do we measure risk?'

Secondhand-Zeit

Leben auf den Trümmern des Sozialismus

Author: Swetlana Alexijewitsch

Publisher: Carl Hanser Verlag GmbH Co KG

ISBN: 3446244123

Category: History

Page: 592

View: 8240

Der Kalte Krieg ist seit über zwanzig Jahren vorbei, doch das postsowjetische Russland sucht noch immer nach einer neuen Identität. Während man im Westen nach wie vor von der Gorbatschow-Zeit schwärmt, will man sie in Russland am liebsten vergessen. Inzwischen gilt Stalin dort vielen, auch unter den Jüngeren, wieder als großer Staatsmann, wie überhaupt die sozialistische Vergangenheit immer öfter nostalgisch verklärt wird. Für Swetlana Alexijewitsch leben die Russen gleichsam in einer Zeit des "secondhand", der gebrauchten Ideen und Worte. Wie ein vielstimmiger Chor erzählen die Menschen in ihrem neuen Buch von der radikalen gesellschaftlichen Umwälzung in den zurückliegenden Jahren.

Ego

Das Spiel des Lebens

Author: Frank Schirrmacher

Publisher: Karl Blessing Verlag

ISBN: 3641105846

Category: Social Science

Page: 352

View: 6538

Dieses Buch erzählt davon, wie nach dem Ende des Kalten Kriegs ein neuer Kalter Krieg im Herzen unserer Gesellschaft eröffnet wird. Es ist die Geschichte einer Manipulation: Vor sechzig Jahren wurde von Militärs und Ökonomen das theoretische Model eines Menschen entwickelt. Ein egoistisches Wesen, das nur auf das Erreichen seiner Ziele, auf seinen Vorteil und das Austricksen der anderen bedacht war: ein moderner Homo oeconomicus. Nach seiner Karriere im Kalten Krieg wurde er nicht ausgemustert, sondern eroberte den Alltag des 21. Jahrhunderts. Aktienmärkte werden heute durch ihn gesteuert, Menschen ebenso. Er will in die Köpfe der Menschen eindringen, um Waren und Politik zu verkaufen. Das Modell ist zur selbsterfüllenden Prophezeiung geworden. Der Mensch ist als Träger seiner Entscheidungen abgelöst, das große Spiel des Lebens läuft ohne uns. Frank Schirrmacher zeichnet in seinem bahnbrechenden neuen Buch die Spur eines monströsen Doppelgängers nach und macht klar, dass die Konsequenzen seines Spiels das Ende der Demokratie sein könnte, wie wir sie heute kennen.

Stochastic Optimal Control and the U.S. Financial Debt Crisis

Author: Jerome L. Stein

Publisher: Springer Science & Business Media

ISBN: 1461430798

Category: Business & Economics

Page: 160

View: 3857

Stochastic Optimal Control (SOC)—a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk management. Stochastic Optimal Control and the U.S. Financial Debt Crisis analyzes SOC in relation to the 2008 U.S. financial crisis, and offers a detailed framework depicting why such a methodology is best suited for reducing financial risk and addressing key regulatory issues. Topics discussed include the inadequacies of the current approaches underlying financial regulations, the use of SOC to explain debt crises and superiority over existing approaches to regulation, and the domestic and international applications of SOC to financial crises. Principles in this book will appeal to economists, mathematicians, and researchers interested in the U.S. financial debt crisis and optimal risk management.

My Life as a Quant

Reflections on Physics and Finance

Author: Emanuel Derman

Publisher: John Wiley & Sons

ISBN: 1118428889

Category: Business & Economics

Page: 304

View: 3114

In My Life as a Quant, Emanuel Derman relives his exciting journey as one of the first high-energy particle physicists to migrate to Wall Street. Page by page, Derman details his adventures in this field—analyzing the incompatible personas of traders and quants, and discussing the dissimilar nature of knowledge in physics and finance. Throughout this tale, he also reflects on the appropriate way to apply the refined methods of physics to the hurly-burly world of markets.

The Blank Swan

The End of Probability

Author: Elie Ayache

Publisher: John Wiley & Sons

ISBN: 9780470661765

Category: Business & Economics

Page: 496

View: 4097

October 19th 1987 was a day of huge change for the global finance industry. On this day the stock market crashed, the Nobel Prize winning Black-Scholes formula failed and volatility smiles were born, and on this day Elie Ayache began his career, on the trading floor of the French Futures and Options Exchange. Experts everywhere sought to find a model for this event, and ways to simulate it in order to avoid a recurrence in the future, but the one thing that struck Elie that day was the belief that what actually happened on 19th October 1987 is simply non reproducible outside 19th October 1987 – you cannot reduce it to a chain of causes and effects, or even to a random generator, that can then be reproduced or represented in a theoretical framework. The Blank Swan is Elie's highly original treatise on the financial markets – presenting a totally revolutionary rethinking of derivative pricing and technology. It is not a diatribe against Nassim Taleb’s The Black Swan, but criticises the whole background or framework of predictable and unpredictable events – white and black swans alike - , i.e. the very category of prediction. In this revolutionary book, Elie redefines the components of the technology needed to price and trade derivatives. Most importantly, and drawing on a long tradition of philosophy of the event from Henri Bergson to Gilles Deleuze, to Alain Badiou, and on a recent brand of philosophy of contingency, embodied by the speculative materialism of Quentin Meillassoux, Elie redefines the market itself against the common perceptions of orthodox financial theory, general equilibrium theory and the sociology of finance. This book will change the way that we think about derivatives and approach the market. If anything derivatives should be renamed contingent claims, where contingency is now absolute and no longer derivative, and the market is just its medium. The book also establishes the missing link between quantitative modelling (no longer dependent on probability theory but on a novel brand of mathematics which Elie calls the mathematics of price) and the reality of the market.

big data @ work

Chancen erkennen, Risiken verstehen

Author: Thomas H. Davenport

Publisher: Vahlen

ISBN: 3800648156

Category: Fiction

Page: 214

View: 5076

Big Data in Unternehmen. Dieses neue Buch gibt Managern ein umfassendes Verständnis dafür, welche Bedeutung Big Data für Unternehmen zukünftig haben wird und wie Big Data tatsächlich genutzt werden kann. Am Ende jedes Kapitels aktivieren Fragen, selbst nach Lösungen für eine erfolgreiche Implementierung und Nutzung von Big Data im eigenen Unternehmen zu suchen. Die Schwerpunkte - Warum Big Data für Sie und Ihr Unternehmen wichtig ist - Wie Big Data Ihre Arbeit, Ihr Unternehmen und Ihre Branche verändern - - wird - Entwicklung einer Big Data-Strategie - Der menschliche Aspekt von Big Data - Technologien für Big Data - Wie Sie erfolgreich mit Big Data arbeiten - Was Sie von Start-ups und Online-Unternehmen lernen können - Was Sie von großen Unternehmen lernen können: Big Data und Analytics 3.0 Der Experte Thomas H. Davenport ist Professor für Informationstechnologie und -management am Babson College und Forschungswissenschaftler am MIT Center for Digital Business. Zudem ist er Mitbegründer und Forschungsdirektor am International Institute for Analytics und Senior Berater von Deloitte Analytics.

Quantitative Equity Investing

Techniques and Strategies

Author: Frank J. Fabozzi,Sergio M. Focardi,Petter N. Kolm

Publisher: John Wiley & Sons

ISBN: 9780470617526

Category: Business & Economics

Page: 512

View: 2592

A comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios. Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained. Written by a solid author team who has extensive financial experience in this area Presents state-of-the art quantitative strategies for managing equity portfolios Focuses on the implementation of quantitative equity asset management Outlines effective analysis, optimization methods, and risk models In today's financial environment, you have to have the skills to analyze, optimize and manage the risk of your quantitative equity investments. This guide offers you the best information available to achieve this goal.

Alpha-Masters

Lernen Sie von den Stars der Hedgefonds-Szene

Author: Maneet Ahuja

Publisher: Börsenbuchverlag

ISBN: 3864701058

Category: Business & Economics

Page: 352

View: 6815

Wie gelingt es der Crème de la Crème der Hedgefonds-Manager, Jahr für Jahr die Märkte abzuhängen und Milliarden zu verdienen? Im Normalfall gibt es auf diese Fragen keine Antwort - die Herren des großen Geldes sind extrem öffentlichkeitsscheu und behalten ihre Geheimnisse für sich. Umso bemerkenswerter ist dieses Buch. Die mehrfach ausgezeichnete Autorin führte nicht nur reine Interviews - sie erhielt Zugang zu den verschwiegenen Zirkeln der Hochfinanz und somit auch Einblicke ins Privatleben und die Gedankenwelt vieler der Protagonisten. Herausgekommen ist ein packendes Werk voller Insiderwissen, wie die Märkte und ihre erfolgreichsten Akteure ticken.

Lords of Strategy

The Secret Intellectual History of the New Corporate World

Author: Walter Kiechel

Publisher: Harvard Business Press

ISBN: 1422157318

Category: Business & Economics

Page: 368

View: 9656

Imagine, if you can, the world of business - without corporate strategy. Remarkably, fifty years ago that's the way it was. Businesses made plans, certainly, but without understanding the underlying dynamics of competition, costs, and customers. It was like trying to design a large-scale engineering project without knowing the laws of physics. But in the 1960s, four mavericks and their posses instigated a profound shift in thinking that turbocharged business as never before, with implications far beyond what even they imagined. In The Lords of Strategy, renowned business journalist and editor Walter Kiechel tells, for the first time, the story of the four men who invented corporate strategy as we know it and set in motion the modern, multibillion-dollar consulting industry: Bruce Henderson, founder of Boston Consulting Group Bill Bain, creator of Bain & Company Fred Gluck, longtime Managing Director of McKinsey & Company Michael Porter, Harvard Business School professor Providing a window into how to think about strategy today, Kiechel tells their story with novelistic flair. At times inspiring, at times nearly terrifying, this book is a revealing account of how these iconoclasts and the organizations they led revolutionized the way we think about business, changed the very soul of the corporation, and transformed the way we work.

Stalking the Black Swan

Research and Decision Making in a World of Extreme Volatility

Author: Kenneth A. Posner

Publisher: Columbia University Press

ISBN: 9780231521673

Category: Business & Economics

Page: 288

View: 5964

Kenneth A. Posner spent close to two decades as a Wall Street analyst, tracking the so-called "specialty finance" sector, which included controversial companies such as Countrywide, Fannie Mae, Freddie Mac, CIT, and MasterCard many of which were caught in the subprime mortgage and capital markets crisis of 2007. While extreme volatility is nothing new in finance, the recent downturn caught many off guard, indicating that the traditional approach to decision making had let them down. Introducing a new framework for handling and evaluating extreme risk, Posner draws on years of experience to show how decision makers can best cope with the "Black Swans" of our time. Posner's shrewd assessment combines the classic fundamental research approach of Benjamin Graham and David Dodd with more recent developments in cognitive science, computational theory, and quantitative finance. He outlines a probabilistic approach to decision making that involves forecasting across a range of scenarios, and he explains how to balance confidence, react accurately to fast-breaking information, overcome information overload, zero in on the critical issues, penetrate the information asymmetry shielding corporate executives, and integrate the power of human intuition with sophisticated analytics. Emphasizing the computational resources we already have at our disposal our computers and our minds Posner offers a new track to decision making for analysts, investors, traders, corporate executives, risk managers, regulators, policymakers, journalists, and anyone who faces a world of extreme volatility.

Trading Regime Analysis

The Probability of Volatility

Author: Murray Gunn

Publisher: John Wiley & Sons

ISBN: 0470742844

Category: Business & Economics

Page: 440

View: 2879

Trading Regime Analysis is a groundbreaking work on how markets behave and how to profit from this behaviour. The book describes that it is the human nature of markets which explains why this behaviour exists and whether one believes in fundamental or technical market analysis, the ebb and flow of volatility is the one undeniable truth that exists in financial and commodity markets. It is the up and down cycles of volatility that is the manifestation of human psychology as the ultimate driver of markets and volatility, like human behaviour, has a distinct cycle to it. Offers in detail the methods that can be used to identify whether a market is about to start trending or about to enter a period of range trading Highlights important applications for this analysis for institutional investors, asset allocators, hedge fund managers and retail investors Provides unique content as there are no existing titles on trading regime analysis

Die Google-Story

Author: David A. Vise,Mark Malseed

Publisher: N.A

ISBN: 9783938017562

Category:

Page: 300

View: 4518

Frequently Asked Questions in Quantitative Finance

Author: Paul Wilmott

Publisher: John Wiley & Sons

ISBN: 047068514X

Category: Business & Economics

Page: 624

View: 9632

Getting agreement between finance theory and finance practice is important like never before. In the last decade the derivatives business has grown to a staggering size, such that the outstanding notional of all contracts is now many multiples of the underlying world economy. No longer are derivatives for helping people control and manage their financial risks from other business and industries, no, it seems that the people are toiling away in the fields to keep the derivatives market afloat! (Apologies for the mixed metaphor!) If you work in derivatives, risk, development, trading, etc. you'd better know what you are doing, there's now a big responsibility on your shoulders. In this second edition of Frequently Asked Questions in Quantitative Finance I continue in my mission to pull quant finance up from the dumbed-down depths, and to drag it back down to earth from the super-sophisticated stratosphere. Readers of my work and blogs will know that I think both extremes are dangerous. Quant finance should inhabit the middle ground, the mathematics sweet spot, where the models are robust and understandable, and easy to mend. …And that's what this book is about. This book contains important FAQs and answers that cover both theory and practice. There are sections on how to derive Black-Scholes (a dozen different ways!), the popular models, equations, formulae and probability distributions, critical essays, brainteasers, and the commonest quant mistakes. The quant mistakes section alone is worth trillions of dollars! I hope you enjoy this book, and that it shows you how interesting this important subject can be. And I hope you'll join me and others in this industry on the discussion forum on wilmott.com. See you there!” FAQQF2...including key models, important formulae, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers' Manifesto and lots more.

Portfolio Risk Analysis

Author: Gregory Connor,Lisa R. Goldberg,Robert A. Korajczyk

Publisher: Princeton University Press

ISBN: 9781400835294

Category: Business & Economics

Page: 400

View: 9154

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.

Imperial Subjects

Citizenship in an Age of Crisis and Empire

Author: Colin Mooers

Publisher: Bloomsbury Publishing USA

ISBN: 1441164936

Category: Political Science

Page: 176

View: 6981

This highly original work posits that the changes in the nature of citizenship caused by neoliberal globalization must be understood as the result of an ongoing imperial project. Although they may seem admirable, policies such as humanitarian and citizenship rights are really an imperial venture led by global institutions and corporations in order to export capitalist market forces worldwide. This entails a form of neoliberal citizenship in which social security is replaced by market insecurity and rising inequality. In this light, the citizen becomes an "imperial subject" whose needs and desires have been colonized by the global market. However, emerging social forces in Latin America and elsewhere have begun to challenge this imperialist logic, fostering a resistance that may bring forth a new global vision of citizenship. This unique analysis draws together neoliberal citizenship, new imperialism, and the creation of 'financial subjects' into an innovative theoretical exploration. By expanding the debate on global citizenship, Imperial Subjects will engage readers in political and social sciences interested in contemporary political thought, citizenship, and globalization.

Trading the Measured Move

A Path to Trading Success in a World of Algos and High Frequency Trading

Author: David Halsey

Publisher: John Wiley & Sons

ISBN: 1118283325

Category: Business & Economics

Page: 224

View: 8586

A timely guide to profiting in markets dominated by highfrequency trading and other computer driven strategies Strategies employing complex computer algorithms, and oftenutilizing high frequency trading tactics, have placed individualtraders at a significant disadvantage in today's financial markets.It's been estimated that high-frequency traders—one form ofcomputerized trading—accounts for more than half of eachday's total equity market trades. In this environment, individualtraders need to learn new techniques that can help them navigatemodern markets and avoid being whipsawed by larger, institutionalplayers. Trading the Measured Move offers a blueprint forprofiting from the price waves created by computer-drivenalgorithmic and high-frequency trading strategies. The core ofauthor David Halsey's approach is a novel application of Fibonnaciretracements, which he uses to set price targets and low-risk entrypoints. When properly applied, it allows traders to gauge marketsentiment, recognize institutional participation at specificsupport and resistance levels, and differentiate between short-termand long-term trades at various price points in the market. Provides guidance for individual traders who fear they can'tcompete in today's high-frequency dominated markets Outlines specific trade set ups, including opening gapstrategies, breakouts and failed breakout strategies, range tradingstrategies, and pivot trading strategies Reveals how to escape institutional strategies designed toprofit from slower-moving market participants Engaging and informative, Trading the Measured Move willprovide you with a new perspective, and new strategies, tosuccessfully navigate today's computer driven financial markets

Trillion Dollar Economists

How Economists and Their Ideas have Transformed Business

Author: Robert Litan

Publisher: John Wiley & Sons

ISBN: 111878183X

Category: Business & Economics

Page: 400

View: 9370

A detailed look at how economists shaped the world, and how thelegacy continues Trillion Dollar Economists explores the prize-winningideas that have shaped business decisions, business models, andgovernment policies, expanding the popular idea of the economist'srole from one of forecaster to one of innovator. Written by theformer Director of Economic Research at Bloomberg Government, theKauffman Foundation and the Brookings Institution, this bookdescribes the ways in which economists have helped shape the world– in some cases, dramatically enough to be recognized with aNobel Prize or Clark Medal. Detailed discussion of how economiststhink about the world and the pace of future innovation leads to anexamination of the role, importance, and limits of the market, andeconomists' contributions to business and policy in the past,present, and future. Few economists actually forecast the economy's performance.Instead, the bulk of the profession is concerned with how marketswork, and how they can be made more efficient and productive togenerate the things people want to buy for a better life. Full ofinterviews with leading economists and industry leaders,Trillion Dollar Economists showcases the innovations thathave built modern business and policy. Readers will: Review the basics of economics and the innovation ofeconomists, including market failures and the macro-microdistinction Discover the true power of economic ideas when used directly inbusiness, as exemplified by Priceline and Google Learn how economists contributed to policy platforms intransportation, energy, telecommunication, and more Explore the future of economics in business applications, andthe policy ideas, challenges, and implications Economists have helped firms launch new businesses, establishednew ways of making money, and shaped government policy to createnew opportunities and a new landscape on which businesses compete.Trillion Dollar Economists provides a comprehensiveexploration of these contributions, and a detailed look atinnovation to come.