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New Journal ---Algorithmic Finance

Posted: March 31st, 2012, 1:32 pm
by jfuqua
Algorithmic Financehttp://algorithmicfinance.org/

New Journal ---Algorithmic Finance

Posted: March 31st, 2012, 2:16 pm
by Cuchulainn
Why no mentions of the implementation, performance, parallel processing etc. Seeing that much quant work is concerned with these issues."the intersection of theoretical computer science and theoretical or empirical finance." How many developers are intimately familiar with TCS?

New Journal ---Algorithmic Finance

Posted: March 31st, 2012, 5:25 pm
by SierpinskyJanitor
Unfortunately, this intersection appears to happen in the ivory towers of academia only, just by looking at the scientific/editorial boards that is. There's hardly any practitioner involved, only academics.

New Journal ---Algorithmic Finance

Posted: March 31st, 2012, 6:18 pm
by Cuchulainn
QuoteOriginally posted by: SierpinskyJanitorUnfortunately, this intersection appears to happen in the ivory towers of academia only, just by looking at the scientific/editorial boards that is. There's hardly any practitioner involved, only academics.Indeed.... I would think the real challenges arise in the software. The financial and mathematical models probably exist already?

New Journal ---Algorithmic Finance

Posted: March 31st, 2012, 8:22 pm
by SierpinskyJanitor
... the disconnect between theoretical research and business practice in finance is simply absurd. There are a few academics around who have made a "name" for themselves by publishing completely useless papers on "market efficiency", "triangular arbitrage" and similar nonsensical and unrealistic topics. Many people have received prestigious awards as a result, but the only books I have seen, almost inevitably in every single trading desk I worked with were written by practitioners and some iconoclasts such as Taleb's "Dynamic Hedging", Glasserman, Jaeckel, Cuchulain and Wilmott. Authors who, having once belonged to the Academy as well, are also sound practitioners and have real-life experience on these matters. Might be completely wrong ( usually I am ) but I never bought or studied any books nor read any articles on q-fin written by people who haven't actually been grilled at trading-desks or in control/risk/operations.

New Journal ---Algorithmic Finance

Posted: April 1st, 2012, 8:28 pm
by mtsm
I entirely agree with what you say, but I think that the situation is more complex than that. I am also shocked day-in day-out by the disconnect that exists between academic research and practice. I don't actually think that it is necessary to look at finance to see that disconnect. In many fields of study there is a disconnect between the 'practitioners' of the field of study and the theoreticians, but finance is the field I know of where I think that this disconnect is the most obvious due to the existence of an entire branch of industry that uses technical aspects to generate revenue. Now that said, I actually think that most contributors on this forum, among which some of the most prolific writers or those who have made a name for themselves here and by writing a ton of books, suffer from exactly the same problem. I think the list you set up is just hypocritical, unless you actually believe thatthe names you cite actually have significant industry experience or have contributed genuinely useful knowledge, in which case I think that you yourselfare disconnected. Other than writing in simple terms and publishing at Wiley & Sons, what is the difference between that and academic research. Help me, cause I don't see it and I looked hard for a a very long time.There is lots more to say on this topic. For instance, I do turn to these forums when I have questions and I do often get v. useful advice from people I think I would not like to work with day to day. I actually think that some cross-fertilization between practitioners and more academically minded people is very useful and there should lots more. Quants employed by practitioners often are quite limited in what they will come up with in terms of innovation. So it is actually very important to have some people who can devote a lot of thought to topics with an academic mind set to provide answers to questions you would find easy to ask in practicing environment, but hard to answer in any meaningful way. In that sense I actually have a lot of respect for many very helpful theoreticians here as I learn a lot from them.The other aspect you need to take into account is that in practicing quant space a lot of nonsense stems from the sell-side. It is very different on the buy side. Finally it is important to understand that 99% of all quants (including myself) are working in a practicing environment and are entirely disconnected from practice. It is very hard to be a somewhat well rounded quant maintaining a handful of actually usefl skills and at the same time stay market savvy. I know very few people who are and those who are don't really have a really good reason staying employed as quants, as a quant job is inevitably a shit jobin the industry.

New Journal ---Algorithmic Finance

Posted: April 1st, 2012, 10:33 pm
by quantmeh
QuoteOriginally posted by: mtsmI am also shocked day-in day-out by the disconnect that exists between academic research and practice.i agree, and this disconnect is not only in finance. for instance, i haven't ever seen plumbers reading Landau's Fluid Mechanics volume. personally, I buy books on the subject at Home Depot, e.g. Plumbing 1-2-3 is a good one, and it's written by practitioners. I wouldn't let an academician mess with my toilet sink.

New Journal ---Algorithmic Finance

Posted: April 3rd, 2012, 8:09 am
by exneratunrisk
QuoteOriginally posted by: SierpinskyJanitor... the disconnect between theoretical research and business practice in finance is simply absurd. There are a few academics around who have made a "name" for themselves by publishing completely useless papers on "market efficiency", "triangular arbitrage" and similar nonsensical and unrealistic topics. Many people have received prestigious awards as a result, but the only books I have seen, almost inevitably in every single trading desk I worked with were written by practitioners and some iconoclasts such as Taleb's "Dynamic Hedging", Glasserman, Jaeckel, Cuchulain and Wilmott. Authors who, having once belonged to the Academy as well, are also sound practitioners and have real-life experience on these matters. Might be completely wrong ( usually I am ) but I never bought or studied any books nor read any articles on q-fin written by people who haven't actually been grilled at trading-desks or in control/risk/operations.Do you think this is true in general? Like those who propagate 10 Popular Idols Kill Innovation ?

New Journal ---Algorithmic Finance

Posted: April 3rd, 2012, 5:27 pm
by SierpinskyJanitor
dont know exneratunrisk, I cant really say much about other than finance, IT and physics.

New Journal ---Algorithmic Finance

Posted: April 4th, 2012, 11:14 am
by exneratunrisk
QuoteOriginally posted by: SierpinskyJanitordont know exneratunrisk, I cant really say much about other than finance, IT and physics.First hand it was a surprise when I read "scientific method", "lectures", "mentors" are assessed as innovation stoppers, but the more I brood, the more I think they are good for incremental innovation, but radical innovation might rather come from unexpected-critical barriers, danger, ... in "life" situations?

New Journal ---Algorithmic Finance

Posted: April 4th, 2012, 1:24 pm
by Traden4Alpha
QuoteOriginally posted by: exneratunriskQuoteOriginally posted by: SierpinskyJanitordont know exneratunrisk, I cant really say much about other than finance, IT and physics.First hand it was a surprise when I read "scientific method", "lectures", "mentors" are assessed as innovation stoppers, but the more I brood, the more I think they are good for incremental innovation, but radical innovation might rather come from unexpected-critical barriers, danger, ... in "life" situations?Indeed! "War" is listed as a obstacle, and yet it's historically been a huge motivator for innovation both on the discovery side and the early-development side. Some of the listed obstacles (e.g. "Critical Thinking", "Competition", "Performance Reviews") seem like strong contributors to innovation as long as they are used in moderation. For example, "Lectures" and "Mentoring" are good in moderation (as long as they don't become the dogma of excessive "Tradition") because they are efficient knowledge transfer activities. In fact I'd say that "Lectures" + "Critical Thinking" may be especially powerful because it primes the listener to look for "things-that-are-said-but-untrue" and "things-that-are-unsaid-and-awaiting-discovery". Note that even "Tradition" can be an aid to innovation to the extent that Tradition creates a worry-free segment of one's life so that one can devote cognitive resources to an innovative problem.

New Journal ---Algorithmic Finance

Posted: April 4th, 2012, 7:14 pm
by Cuchulainn
QuoteOriginally posted by: exneratunriskQuoteOriginally posted by: SierpinskyJanitor... the disconnect between theoretical research and business practice in finance is simply absurd. There are a few academics around who have made a "name" for themselves by publishing completely useless papers on "market efficiency", "triangular arbitrage" and similar nonsensical and unrealistic topics. Many people have received prestigious awards as a result, but the only books I have seen, almost inevitably in every single trading desk I worked with were written by practitioners and some iconoclasts such as Taleb's "Dynamic Hedging", Glasserman, Jaeckel, Cuchulain and Wilmott. Authors who, having once belonged to the Academy as well, are also sound practitioners and have real-life experience on these matters. Might be completely wrong ( usually I am ) but I never bought or studied any books nor read any articles on q-fin written by people who haven't actually been grilled at trading-desks or in control/risk/operations.Do you think this is true in general? Like those who propagate 10 Popular Idols Kill Innovation ?Innovation with a capital 'I'. Does continuous improvement Kaizen fit in here?

New Journal ---Algorithmic Finance

Posted: May 20th, 2012, 11:54 pm
by mj
For what it's worth I published a paper in Algorithmic Finance which is about how to compute Greeks using automatic differentiation for a range of swap-rate market models. I do think it's useful to practitioners since they want fast Greeks.