abc1990
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So if you could have a one on one conversation with one of the leading research experts in the field of quantitative finance, what would you ask him? I have an opportunity to do that and I'm extremely excited but want to make the most of it.
So can you guys think of some interesting questions about the future of the quant finance industry? High frequency trading? What the major areas of development for quantitative modeling are gonna be? Something else that I should use the opportunity to ask?
Thanks! |
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jslade
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It depends what kind of quant he is. If it's Jimmy Simons, "how the fuck did you make all that money: also, what's it like driving a moped to Columbia in the 50s?" would be a nice place to start. If it's Peter Carr, "why does Bloomberg suck so bad?" If it's Andy Lo, "how come you tried to patent kernel regression?"
Though I don't include any of the above in the category, many "leading research experts" are vain, impractical asswipes who aren't worth talking to. I'd rather have a beer with someone in the trenches.
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"Learning, n. The kind of ignorance distinguishing the studious." |
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FDAXHunter
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Pray do tell, who is a "leading research expert" in the field?
Agree with jslade. Good luck with that one. |
Salman Pushdie |
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Cheng
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Go and talk to an experienced trader. Not the big swinging dick kind of guy but one who makes his  and doesn't need to show off because everyone knows he's a f*cking genius. Forget about the research guys... most research out there is crap anyway and serves only as toilet paper replacement. |
"He's walking like a small child / But watch his eyes burn you away / Black holes in his golden stare / God knows he wants to go home / Children of the damned"
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polysena
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| ach Cheng, Sie sind aber gnadenlos! Toilet paper replacement.. that is not going to boast "research guys" egos :-) |
Свобода - это то, что у меня внутри.
(Ленинград и Кипелов - "Свобода") |
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Cheng
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Sad but true Poly  . Honestly, the challange is to find good quality reliable sources... Browse defaultrisk.com for example and you will know what I mean. Most papers there are nice theoretically but that's about it. |
"He's walking like a small child / But watch his eyes burn you away / Black holes in his golden stare / God knows he wants to go home / Children of the damned"
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filthy
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i broadly agree with cheng but think he is also too harsh on academic quant research and academic research in general. the bigger point is that most stuff of every flavour is useless. most fundamental analysis is uselesss, most behavioural finance is useless, all technical analysis is useless.
i think there is an edge in being able to sift through the piles of crap. |
"Game's the same, just got more fierce" |
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Scotty
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Man, that's a bit depressing Filthy.
And did Lo really try to patent kernel regression? I've gotta look that up.
Anyway, quantitative finance is a massive field so you need to narrow it down a bit to get some good questions... |
“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.” |
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chiral3
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| Agreed w/ filthy. The more years that go by being in the trenches the less meaningful much of this becomes. Thinking deeper and harder on existing things and focusing on execution and implementation has really formed a rift between reality and research. |
Solipsism (Listeni/ˈsɒlɨpsɪzəm/; from Latin solus, meaning "alone", and ipse, meaning "self") is the philosophical idea that only one's own mind is sure to exist. |
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pj
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> most behavioural finance is useless
And which parts of it are any good? |
вакансия "Программист Психологической службы"
-але! у нас ошибко! не работает бля-бля-бля
-вы хотите об этом поговорить? |
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| The parts used to sell books about it |
in the words of one such quant ‘were on the whole either less quanted or
not quanted at all’. |
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granchio
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>> most behavioural finance is useless
>And which parts of it are any good?
IMHO: "Know thyself"
PS: I humbly disagree. I don't know a single human trader that does not display at least some of deficiencies highlighted by BF. Reading about them help to correct them |
"Deserve got nothing to do with it" - Clint |
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jslade
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gnarsed
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| LOL at the repeated "kernal regression" misspellings in the filing. i'm always disgusted to read the things people try to patent. |
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MrMagoo
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My .01 cent
What do you mean by "field of quantitative finance" ? systematic quant trading ? macro quant modelling ? high-frequency trading ? many sub-areas would fit.
Most of today's theoretical "quant financial economics" boils down to just an organized way to think about the world. Theres an academicism / practicality trade-off. The map is not the territory. Dont expect a cross marking the spot where the gold is buried. Theres no such thing.
IMO, the problem with academic quantitative "leading research experts" is that, being 99% only theorists they have no real battle scars, no extensive real world experience, so they compensate that with bloated egos and unnecessary esoteric math.
Can you write poetry about great sex orgies if you did not phuck a single woman in your life ? sure you can. So what ?
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"One who says it can't be done should not interrupt the person doing it."
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filthy
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PJ, I think Thaler's work on myopic risk aversion explains a lot of things. And that example is just chosen from a paper currently on my desk. I think the field itself is useful, just that many individual papers within it are garbage. and this statement can be made about many areas (some, eg postmodernism, are not useful in any sense).
But the "know thyself" argument is a tough sell. there seems to be some evidence that knowing about biases doesn't make people immune to them (although while this maybe true in aggregate it possibly doesn't apply to all individuals).
anyway, back to the op, any good question would have to depend on exactly who the person was. |
"Game's the same, just got more fierce" |
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polysena
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MrMagoo- I like your post- and the "so what" is fantastic...
but coming back to abc1990- why do you really want to have that conversation for? For the excitement, to be able to write granny about it, or do you have a great philosophical question you'd like him to answer or meditate upon in live for you..? Research experts are what they are, not gurus.. or cristal ball holders.
Rather look that you know what he does (his books papers whatever) and then perhaps ask him about something you were interested in when you read his/her work.. just simply... on facts not on gurus and egos flattering.. my 2 cents. Poly |
Свобода - это то, что у меня внутри.
(Ленинград и Кипелов - "Свобода") |
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jungle
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"Man, that's a bit depressing Filthy."
I think Filthy is just invoking Sturgeon's Law. 
To the OP: If I had to ask an "expert" something, I'd choose a very specific question. Your proposed questions are very big picture and might well elicit a waffly answer. |
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Nonius
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| im surpirsed taleb doesnt have something to say here. |
Geen idee why it's a rainy day. |
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nuno
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wait did he ever say he actually *drove* the moped to colombia?
a few years ago i made this trek but had to take a boat panama to colombia as i was told there were no roads (cf., e.g., http://wikitravel.org/en/Panama#By_car ) |
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nuno
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london
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Irrelevant, semi related comment:
I was at a talk given by Bob Litterman a few years ago. It was billed as being about Black-Litterman model for asset allocation but he played to the crowd and just spoke about his life/ career/ etc.
Anyway, at the end he was inundated with people wanting to be in close proximity to him asking inane questions. The best one I remember was "what is a good sharpe ratio?". He avoided that one by saying that whatever the researcher tells him, he divided it by two...
Finally, he looked in my general direction (yes, I was one of those trying to get into close proximity...) rather than looking at my feet with nothing to say, i looked him in the eye and asked the first thing that came to my mind:..."who came up with the name of the model?" |
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Strange
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"And which parts of it are any good?"
I found that it's useful to understand idiotic behavior, including my own. It helps for both risk management and alpha generation.
My personal issue with most scientific research is that is has nothing to do with usefulness. As long as it provides grant money, it's good research. |
It's buy futures, sell futures, when there is no future! |
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sfca
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Per jungles' reference to Sturgeon's Law (and thank you very much for that link), there is a significant amount of garbage written in most areas. However, I think it is very useful to focus on what is important and useful and ignore the rest. Behavioral finance is a very important subject and a good balance to efficient markets assumptions.
For an example, look at WebVan during the dot com bubble. It was trying to create a door to door delivery service to replace grocery stores. Its last 6 month sales at its IPO was less than $400 thousand dollars. None of its management had any grocery store experience. But its market cap ballooned to $7.6 billion. I would prefer to make sense of this using behavioral finance rather than doing the mental gymnastics of pretending efficient markets were carefully working out its cash flows and discount factors. |
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