- How did shared beliefs, practices, ways of calculating, and technical systems impact evaluation of asset-backed securities and CDOs before and during the credit crises?
- Was that Lucky or Good? Creating a framework for skill attribution in finance, business management and other risky endeavors.
- The “backing out” phenomena observed in options markets: how traders use models to imply independent variables consistent with market observed pricing, and where enough traders can be wrong about the expected results and the backed-out positions can send the wrong message.
Saturday, February 27, 2010
Conference on the sociology of quantitative finance
A new conference called Psi-Q will be held in London this June, featuring luminaries in the academic quantitative finance world, as well as risk and fund managers from various banks and hedge funds. Example topics:
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7 comments:
Very interesting angle (quant + sociology). Ultimately I believe most departure from the Efficient Market Theory models have a root in human behaviour biases - so it makes sense to integrate this as well.
It’s great to see good information being shared.
Hi,
Unrelated to your post somewhat I was wondering if you know of any services that provide news for a large portfolio of stocks (>500)
on a daily basis. I use Yahoo or google but they have a limit of 200 symbols per portfolio and I keep having to alternate to get the relevent news of the day on my portfolio of stocks.
Thanks,
Jim
Jim,
Try Newsware.com.
Ernie
Ernie,
nice to see you're still here!
The past six weeks have been quite a slog for pairs. I think this straight up mkt has caused a lot of pair divergences.
Hope all is well, looking forward to more blog goodness.
Steve
Hi Ernie -
It's my first reply here so just want to thank you sincerely for sharing your thoughts on quantitative finance through this blog. I certainly enjoyed reading through it.
Some comments about this post. I found this to be a good example of what George Soros describes as the "principle of reflexivity". (I personally wouldn't use such an erudite word :) ) Namely people's perception/understanding of asset prices all have a feedback on the asset prices themselves.
In other words one should probably not think about trading as going through an optimization problem against the objective world. Rather it's an evolutionary game in which each player's success is dependent on the strategy of the population. Do you think this will have some interesting implications in the world of quantitative trading?
David
David,
Yes, I very much agree that trading is similar to a game, where success in a particular strategy breeds competition and will gradually depress the returns of that strategy, unless there are non-speculative participants in that market (e.g. the futures markets) that will continue to supply traders fresh profits.
Ernie
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