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http://www.rollingstone.com/politics/news/everything-is-rigged-the-biggest-financial-scandal-yet-20130425 http://www.today.ucla.edu/portal/ut/prof-finds-a-way-to-flip-the-test-245597.aspx

Back in the news this past week, after a grad student debunked in part thru spreadsheet error http://blogs.ft.com/gavyndavies/2013/04/19/how-much-of-reinhartrogoff-has-survived/

James Kwak catches up with the Whale http://baselinescenario.com/2013/02/09/the-importance-of-excel/ but see also the follow-on discussion at HackerNews http://news.ycombinator.com/item?id=5198187

What about the ones who are mistresses? I can hear the escort servicer now: "I'm sorry, sir, I thought you said you wanted a little quant ... I distinctly remember you requesting modeling experience."

I got by on B.S. and on-the-job self-training but those were different times (CFA was new, I didn't bother). But you're positioned to benefit both from work experience (evolving with it) and from outside study; CFA rec was specific to your ASA endeavor. MS in engineering or suchlike (with big...

Given your handle, I suspect we have our B.S. Math from the same institution. (Mine was long ago, but along with homegrown wizardly APL it cleared a path for me into quant, albeit pre-MFE.) Given your circumstances & background, I'd suggest you might do well to recalibrate your path: rather...

yes well many years since for me (I worked in k version 1) but kdb/q is ideal as an investigative tool and for rapid deployment from prototype, both of which will hold in good stead beyond a technology role (in my case transition out to internal risk consulting); these are different times but...

GS has some details too: http://www.bloomberg.com/news/2012-10-18/greg-smith-quit-goldman-after-unrealistic-pitch-for-1m.html

Felix hisself: http://blogs.reuters.com/felix-salmon/2012/10/06/the-problem-with-high-frequency-trading/

http://www.ritholtz.com/blog/2012/10/the-new-nonsense-leaving-finance/

http://www.hedgeco.net/news/09/2012/college-students-launch-hedge-fund.html just sayin

I too found the article irrelevant and uninteresting. Not so the questions Andy raises. Yes, C++ or the like not so much Java esp not VBA despite http://mathbabe.org/2012/09/18/two-rants-about-hiring-a-data-scientist/#comment-10756 which of course brings up SQL ... and NoSQL...

Aaron Brown reviews here I haven't read, myself, but have long followed the author's blog, here (even when it was Mahalanobis way back when) (His career is something of a cautionary tale as well, but that's for another time)

Quaint. (And we know that etymology, eh? :rolleyes:) But then the essay kinda meanders as much as the term ...

shorter Graeber: Evil: the root of all money. http://jacobinmag.com/2012/08/debt-the-first-500-pages/ via http://crookedtimber.org/2012/08/29/debt-the-first-five-hundred-pages/

What areas of physics at doctorate level focus on numerics? Of course there's an analytical slant. It's what the analytics are about that carry over; after all, arxiv.org qfin split off from cond-mat. More in AnonKhoo's neck of the woods, a friend of mine who crossed over has spent years...

1. Statistical mechanics, rather obviously.

This just in (or out): Eric Falkenstein, The Missing Risk Premium: Why Low Volatility Investing Works. http://falkenblog.blogspot.com/2012/08/my-new-book-is-out.html http://www.efalken.com/MRPpreface.pdf

http://observer.com/2012/08/our-cheating-hearts-honor-integrity-and-playing-by-the-rules-are-all-out-of-style/?show=all via 3qd

http://mathworld.wolfram.com/BenfordsLaw.html

Another of the same ilk, Doug Henwood's Wall Street [Verso '97], a Marxian take on modern high finance: some (not all) salient points beyond rentier ranting, early on Keynes/Minsky rights reverted to author: download (copylefted (of course!)) from http://wallstreetthebook.com/ via...

HFT vs HFQ http://www.nanex.net/aqck/2804.HTML (is the gif a heatmap or flamemap?) via Felix Salmon

Michael Price http://sciencecareers.sciencemag.org/career_magazine/previous_issues/articles/2012_08_03/caredit.a1200087 Brooke Allen (a more personal take) http://sciencecareers.sciencemag.org/career_magazine/previous_issues/articles/2012_08_03/caredit.a1200088

start with Baxter & Rennie, short and coherent.

A top school MSCS program would leave little room to focus on computational finance.

http://www.nakedcapitalism.com/2012/07/satyajit-das-the-libor-fix-part-1.html http://www.nakedcapitalism.com/2012/07/satyjit-das-the-libor-fix-part-ii.html

over to the reg, a familiar name crops up http://www.theregister.co.uk/2012/07/10/pushing_libor/ (via FTAV)

A+ is an C-APL hybrid. K is a crunchy Lisp kernel with APL sugarcoating. (I was expert in both, and APL of course ...) and Q is K/kdb+ with SQL brought onboard (after my time) (sorry for delay I've been away).

what I had to say about it: It would be uncharitable to characterize as a leftist version of Pound's Cantos without the poetry or cherrypicking [or anti-Semitism], but it is in part a broadside at homo economicus and neoliberalism (tho with its own moral confusions, and refuting originary myths...

Then again, my CV listed my BS Maths GPA as π, accurate if not precise ...

a round-up of reactions: http://ftalphaville.ft.com/blog/2009/10/16/78216/smart-guys-in-history-the-trillin-debate/ my own take: entertaining, but it elides an entire era between the prevalence of the white-shoe idiot progeny and the arrival of the quants in numbers, not to mention the...

from ams news, via Terry Tao: http://terrytao.wordpress.com/2009/10/07/israel-gelfand/ I found his Calculus of Variations (w/ S.V. Fomin, in trans) clear and useful, but that's old work (Dover reprint) ... he's in the roots of many branches of mathematics now getting attention in finance.

Something worth consideration, even if it is a tortured metaphor: http://rortybomb.wordpress.com/2009/10/13/student-loans-as-the-new-indentured-servitude/ Of course incurring such debt in pursuit of an MFE is more akin to indentured courtiership, but then the ranks of aspirants are swelling...

The more exposure to different disciplines, the better. And not just the higher or more theoretical versions. An interdisciplinary view can contribute insights across the joints (which are to some extent artificial anyway).

Well of course credentials are going to be the most pertinent to those trying to assemble them, which makes up the majority of forum participants; it's up to those of us who have been there done that to provide a corrective perspective. Mine is informed by 25 yrs inside large institutions, both...

Glad to hear baby Rudin is still so well regarded (my 1st time thru was 30 yrs ago, the last time, 10 yrs). I also found the follow-ons, Rudin's Real & Complex Analysis, and Functional Analysis, as clear and as relevant to financial analysis.

I think it depends quite a bit on the area of study. Maths and physical sciences have held up better than social sciences and humanities (computer science may even have gained in value due to the rapidity of technological development). But the proportion of business majors has doubled (largely...

Today's WSJ frontpage has another cite for Philippon & Reshev, in "Income Gap Shrinks in Slump At the Expense of the Wealthy" by Bob Davis and Robert Frank ($sub only, sorry), in much broader context. An additional datapoint: (P&R cite in next graf) Of course, this being the WSJ, the tone is...

Felix Salmon covered this well: http://blogs.reuters.com/felix-salmon/2009/09/06/life-settlements-still-no-dice/

The Nation, Aug 4, reprises this in "Money for Nothing", though they link to the payperview NBER version of Philippon/Reshev's paper; a free version [pdf] is available at Philippon's NYU website, also linked at the voxeu piece that Matt Lynn linked. Of particular interest around these parts are...

From management's perspective, it's a distinction without a difference. Otherworldly in either case. (Modellers might be grudgingly granted a bit more recognition.) Software developers who think they can do without programmers are delusional. And I say this as a former developer (ntm domain...

A provocative discussion of provocative discussion: the press corps asks why oh why can't why have a better press corps? http://www.cjr.org/the_audit/taibbi_goldman.php?page=all

Epicurean Dealmaker's take

I said organizationally more effective. So do Heidi, and Eppy.

the continuing story: http://trueslant.com/matttaibbi/ includes the piece bbw links above, which I thought far sounder than the Rolling Stone piece -- on which, cuttinpastin' my comment from elsewhere: __________ "... it is true that Taibbi is laying too much at the feet of Goldman Sachs...

There is currently movement on the sell-side for quantitative modeling to be configured under a separate reporting line, rather than associated with specific business lines or within information technology. This is significant, not only as a response to the perception that modelers became...

from NYMag: How I Helped Build the Bomb that Blew Up Wall St

WTF, let's blame the computers!

Other comments: Rick Bookstaber Felix Salmon

I thought the story was either you're short or you're simple ...;)

Berkshire-Hathaway annual report & Warren's annual letter [pdf 100pp]

The higher-ups were also responding to incentives, nu? But your analogy is inept, since in Abu Ghraib terms the quant correspondence would be to low-level intelligence officers and contractors. Besides, Volcker already fulfilled Godwin's Law. Plenty of blame to go around, the quant community...

Another quarter heard from: Falkenblog There's plenty of shades of grey in play. Brave quants were marginalized in the institutional decision-making process, others were all too happy to certify extending models beyond their domain, still others remained blissfully unaware that there were any...

D.X.Li (aka 541) isn't responsible for all the misuses of his approach. But there is culpability among those who should have known better. see Paul Wilmott's reaction: Grow a copula see also Paul Volcker's talk, referenced therein: Just following order-flow

It's a poorly argued op-ed piece, Matt Lynn generally does better. Just for example, the excess capacity ("There were simply too many bankers out there doing too much banking.") is in part misallocation, since the whole TARP thang is because too little banking is going on. But what I hate is the...

More good advice: http://longorshortcapital.com/keys-to-getting-a-job-for-an-industry-in-the-toilet.htm

This seems to have passed unremarked: on 1Dec arxiv.org re-organized dispersed preprints of quantitative finance articles into a category of its own Announcement of new Quantitative Finance (q-fin) archive

Wilmott & Derman issue a joint statement excerpt: Read the whole thang.

IK86, that's not even the question (which is where I part company from Yves' plaint). Large firms used direct historical sampling (more than the 2 years indicated in NYT) across thousands of data series to estimate VaR (so higher moments are baked in as well), forgetting that past performance is...

Yves Smith doesn't like it so much: naked capitalism: Woefully Misleading Piece on Value at Risk in New York Times I'd agree that too much stress is put on normality. Overly simplistic, yes, and mere gestures on fundamental issues (overreliance on history and on ratings were baked into the...

Ito sent me (via google, following first [japantimes] report of his passing, to the relevant thread)

Taleb even annoys annoying political economists.

Buffeted "quants" are still in demand by Phil Wahba (Reuters Dec22 9:54am EST)

Paul Wilmott is (as usual) more on target: Paul Wilmott's Blog

It seems that the Editors of Scientific American are similarly confused about models and quantification and their limitations ... (forgot to mention: posted at bookforum.com today)

Yep, sorry, thanks, (ed: had I seen it) I should have linked his direct response on this, Taleb Blames VAR, Merton, Scholes for Crimes, wherein he links an expanded version of the BS review.

Taleb may make his dime these days on being provocative, but he's edging into Little Eichmanns territory *. Overreliance on VaR, sure there was, but there's that pesky bias towards measuring what's measurable, not to mention regulatory strictures (how to determine capital adequacy without...

Funny that this thread should come to life the day that the Bank of Int'l Settlements released their fourth quarter saga ... (the special report on repo also deserves attention, as it's where the funding is)

Stern's Joel Hasbrouck's Power Point presentation [pdf] The preliminary version of Donald MacKenzie's argument: An Equation and its Worlds: Bricolage, Exemplars, Disunity and Performativity in Financial Economics [pdf]

While the kdb download isn't the full-fledged version, it provides more than enough to gain familiarity with the language Q, begotten by K and SQL. (K is a crunchy Lisp kernel with APL sugarcoating; a decade ago I was expert in it; now I'm familiarizing myself with Q [SQL is embedded, not just...

For FE it's all about praxis: Theory and application go together like strategy and tactics (eg in chess), the more you know about the tools the better you can wield them. This holds for PDEs and SDEs in particular. It also determines how statistical estimation is approached. If you know your...

Yet another currently former quantitative risk analyst, previously former modeller (pre-MFE days; APL/A+/K) ...