I know, as a kid it hurts quite a bit to face what some would call a BSD for the first time. But come on kid, keep up the good work, have your porridge every day and may be one day you will be one too...
Quants --Alive and Kicking
- Thread starter marketsurfer
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I know, as a kid it hurts quite a bit to face what some would call a BSD for the first time. But come on kid, keep up the good work, have your porridge every day and may be one day you will be one too...
You're starting to sound a bit desperate,I know,make up some more stuff about how clever you are,convince yourself that you'll make back all the money you lost in 2008 and that science really can be applied to the markets.With a lot of hard work,that 7 figures you're apparently managing will be 6 figures by 2010.
BSD=Bull $hitting D!ckhead
Based on your collective2 systems, I would say there is much doubt about your financial claims. Right, Mr. Kaui +???
I beg you pardon?
Oh on, "quant" bashing!
But term needs to be defined. While we all learn cool math
, there are really two different quants. There are the guys who are into really incredible valuation. They do derivative pricing. Also, there are the guys who are into statistical arbitrage. Both involve risk management, but to two different ends.
I'm into the latter application, like what Jim Simons does at Renaissance (but not Emanuel Derman and the big banks). I believe that the valuation guys are miss-applying many assumptions from economics.
However, while this may sound contradictory, I see that the techniques of today's physicists can help the social sciences.
The truth is that the natural and the social sciences were developed in tandem. The likes of Newton, Adam Smith, and Darwin all used very similar logic to explain the phenomenon in their field. They all believed that a system could converged to some beautiful solution/ explanation. Newton had gravity acting on everything. Smith had individual preferences directing the entire economy. Darwin had natural selection determining all of ecology.
But since then, physics and chemistry have become a lot more complicated. No longer is the physical world viewed as a beautiful equilibrium. Instead, we understand the basic particles of existence as being dynamic and in constant motion. The math of quantum physics has evolved to allow us to work with this view of uncertainty.
Economics, on the other hand, has not kept up. The underlying assumptions of the math used in economic models still imply static, deterministic individuals. Even more "behind the times" is the assumption that group behavior is just the sum of individual behavior. (Behavioral finance and game theory try to address this issue, but they are not brought into the quant models).
With this outdated view, the economists claim that social behavior and one of its artifacts, risk, is deterministic (rational). So, once the risk is found, the logical next step is try and reduced it.
OOPS!
My hope is in new field called Econophysics. It is just starting to gain notice in the physics community. Economists aren't welcoming. That is understandable. The approach of econophysics is focused empirical evidence from experiments. Economics is a theoretical science.
But term needs to be defined. While we all learn cool math
, there are really two different quants. There are the guys who are into really incredible valuation. They do derivative pricing. Also, there are the guys who are into statistical arbitrage. Both involve risk management, but to two different ends.I'm into the latter application, like what Jim Simons does at Renaissance (but not Emanuel Derman and the big banks). I believe that the valuation guys are miss-applying many assumptions from economics.
However, while this may sound contradictory, I see that the techniques of today's physicists can help the social sciences.
The truth is that the natural and the social sciences were developed in tandem. The likes of Newton, Adam Smith, and Darwin all used very similar logic to explain the phenomenon in their field. They all believed that a system could converged to some beautiful solution/ explanation. Newton had gravity acting on everything. Smith had individual preferences directing the entire economy. Darwin had natural selection determining all of ecology.
But since then, physics and chemistry have become a lot more complicated. No longer is the physical world viewed as a beautiful equilibrium. Instead, we understand the basic particles of existence as being dynamic and in constant motion. The math of quantum physics has evolved to allow us to work with this view of uncertainty.
Economics, on the other hand, has not kept up. The underlying assumptions of the math used in economic models still imply static, deterministic individuals. Even more "behind the times" is the assumption that group behavior is just the sum of individual behavior. (Behavioral finance and game theory try to address this issue, but they are not brought into the quant models).
With this outdated view, the economists claim that social behavior and one of its artifacts, risk, is deterministic (rational). So, once the risk is found, the logical next step is try and reduced it.
OOPS!
My hope is in new field called Econophysics. It is just starting to gain notice in the physics community. Economists aren't welcoming. That is understandable. The approach of econophysics is focused empirical evidence from experiments. Economics is a theoretical science.
And that is why quants are destined to fail.Sure,some quants do OK but you guys are still talking like you're all making a fortune.And you're not.Does anyone have the stats for quant funds,rather than you just patting each other on the back with nothing to back it up.There's no shame in admitting when you get it wrong,people would probably take you more seriously if you did it once in a while.
I've nothing against people being determined,it's actually a strong quality,especially in this business where there are a lot of doomsayers constantly predicting failure but there comes a point where even the most arrogant quants have to admit you're not all successful,especially seeing as even some of the best-funded and 'brightest' mathematical brains in the business got well and truly battered in 2008.
aren't MN managers (usually quant) supposed to be something like flat for the year while HFR global index is down around -20%?
Who is doing better this year? Managed futures and dedicated short sellers around +15%.
Equity L/S where you have the typical traditional "analysts" are down to -20%.
I honestly don't know,that was sort of my question,does anybody actually know?
http://www.hedgeindex.com/hedgeindey/en/default.aspx?cy=USD
but the number for MN managers for November is obviously wrong.
Index Value Return
Currency Nov 08 Oct 08 Nov 08 Oct 08 YTD
Credit Suisse/Tremont Hedge Fund Index USD 351.20 366.39 -4.15% -6.30% -19.04%
Convertible Arbitrage USD 223.82 228.10 -1.88% -12.59% -30.92%
Dedicated Short Bias USD 90.46 87.79 3.04% 9.66% 16.83%
Emerging Markets USD 263.92 268.95 -1.87% -13.63% -30.56%
Equity Market Neutral USD 224.54 377.08 -40.45% -1.83% -40.56%
Event Driven USD 400.56 413.85 -3.21% -5.09% -16.69%
Distressed USD 463.96 488.38 -5.00% -5.66% -18.41%
Multi-Strategy USD 372.86 381.13 -2.17% -4.77% -15.83%
Risk Arbitrage USD 273.26 273.31 -0.02% -3.06% -4.79%
Fixed Income Arbitrage USD 168.13 178.11 -5.60% -14.04% -28.24%
Global Macro USD 576.30 567.56 1.54% -5.13% -5.67%
Long/Short Equity USD 397.78 403.48 -1.41% -7.13% -20.60%
Managed Futures USD 277.61 268.96 3.22% 4.96% 15.59%
Multi-Strategy USD 280.04 293.63 -4.63% -6.94% -22.45%