15

Of course making money is always the key issue. That (not completely facetious) comment aside: On the practical side, in many firms IT is struggling with being clear, transparent, and intuitive in their handling of multiple curves and their associated risks. Stumbling over your own systems is an annoying way to lose money. These risks can be surprisingly ...


10

Q. Why do Quants have the best job in the world? A. Because they spend their time looking at MODELS all day.


9

Really you need a degree Reading any one book from the above will not set you up. Furthermore, you will find yourself trapped in a cycle, where really none of the books you suggested can be read in isolation. Taking for example a book on PDEs, you will quickly find you need a lot of knowledge of linear algebra if you want to approximate any of these. For ...


9

I get this question frequently from academic types, and happily for you, the path does not involve any of those books. The major gaps in your knowledge, from the point of view of statistical arbitrage, are not mathematical. Most or all of them are not even statistical. Rather, they are gaps in knowledge about arbitrage, and how to take part in it. PhDs ...


8

Two Day-Traders went to go eat (after the market closed of course!). One of the traders orders a steak and has a hard time cutting it. He then asks for a sharper knife... when he unfolds his cutlery the knife hits his plate and falls out of the table and lands right by his foot which was slightly sticking out of the table. The other trader looks at him and ...


7

Probably, the statement $\small \text{Pareto} \iff \text{Fréchet} \iff \text{fractal} \iff \text{power law} \iff \text{fat tailed}$ may not be completely accurate. For instance, there are distributions other than the Pareto with fat tails, and as pointed out in a comment, not all fat-tailed distributions exhibit fractal properties. Power law distribution: A ...


5

It doesn't matter since multiplication is commutative (in $\mathbb{R}$); you will always end up losing the same.


5

On the N. N. Taleb's website, you can find all his papers collected in the bibliography he updates on his own site. Hope this will help.


5

Read it somewhere... What is the difference between a bond and a bond trader????? The bond matures. Here's another. What is the difference between a hedge fund and a mutual fund? Mutual funds returns more and are safer.....:)


5

Most RIAs have to file a Form ADV, through which some information is publicly available via SEC's website. Further, large RIAs are sometimes involved in high profile civil lawsuits through which information, e.g. revealed by current or former employees in the discovery process, becomes accessible in the form of public court filings. This would be available ...


4

A Banker explains another banker why he is not getting married ... "She is hot, but not half my fortune hot".


4

My girlfriend borrowed £100 off of me. After 3 years when we broke up, she returned £100. I had no interest in that relationship.


4

Go check out http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=475810 For social science literature, ssrn is almost always the best source.


3

The simplest workaround is actually to forget that Macauley duration exists. I actually feel very strongly about this: Macauley duration shouldn't be taught in school, should be mentioned only in passing in textbooks (if at all), and belongs only in the history section on Wikipedia. This is because it's more or less useless in practice. When practitioners ...


3

While amsh's answer definitely gives you what you need for interview purposes, for any visual learners like me, here's what running through all possible paths ends up looking like. Another thing I might consider bringing up in an interview context would be the intuitive reasoning behind why it works out this way. In other words, just explaining that a 15% ...


3

What are some indicators that a given security might be inefficiently priced? What about efficiently priced (i.e., how can we estimate the degree of information already baked into price)? You would need to get lower level data than what was used in this paper that was referenced here. The MSF data is probably fine for the paper, but if you were to drill ...


3

You might find this paper interesting: "Does Finance Benefit Society?" It's a very complicated question and in my opinion the above paper provides a nuanced answer.


3

There are a few things: Non-cynical: Active absolute return managers tend to underperform passive benchmarks after fees. So if you can get a manager that can outperform a passive benchmark (perhaps who has a mostly passive strategy with some active tilts), then you are doing well. Your scenario of a portfolio dropping 48% is not realistic. Most asset ...


3

The first reason is the answer to this question : should I bother invest in your fund and not simply invest in the S&P500 etf ? The second is : Are you a fraud ? If someone claims to use a long only strategy with stocks from the S&P500, you expect his fund returns to be correlated to the S&P500 to some extent. If it is not the case => fraud.


3

Summary Answer: Those are interested to benchmark against indexes who sell such index products (pricing data, trade marks, rights to use and publish), and of course portfolio managers because they look generally much better when indexed against indexes than when being assessed through risk-adjusted returns. The general public is sadly just too uninformed to ...


3

Some more references. Here are three starting books: for generic knowledge: Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management, by Bouchaud and Potters; for risk + statistical approach: Risk and Asset Allocation, by Meucci; for microstructure: Market Microstructure in Practice, by Lehalle and Laruelle.


3

A photographer and a quant have one thing in common, as they both fall in love with their models...


3

I just started using the library. So far I am pretty satisfied with the content, even though there are some small bugs here and there, and you might have to rewrite some of the functions to make them really robust. Concerning the price I completely disagree that it is overpriced. If you think that you are paying $250/month for just a bunch of python ...


3

For Rentech, try the Greg Zuckerman book, "The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution". HSBC Hedge Fund Report might be of use for other funds.


3

This is an opinion-based question. In practice, sometimes one needs to calculate mark to market and also various risk measures under risk scenarios that stress/perturb market data so much that arbitrage becomes possible. (See (*) below for more information.) Hence, 1 it's a perfectly reasonable question, provided there was some class discussion of heuristics ...


2

Who is a quant's favourite actor? A) Heston


2

I recommend to you : "Market Risk Analysis" by Alexander Carol for the "finance" part and "Time Series Analysis" by Hamilton for the "maths/stats" part;


2

As regards the free sources, the best place where you can find material about credit risk management is defaultrisk.com; it is a website where are collected (almost) all academic (and not) articles and working paper, references and researchers. Moreover, as regards the forums, I think you should try visiting Credit Risk Group at Linkedin; it is a very ...


2

I have heard good things about Epps but haven't read it. Hull is aimed at less technical people and can get a bit turgid. I have my list of recommended books with discussion at http://www.markjoshi.com/RecommendedBooks.html


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