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victor123
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Quant Research - Current trends

November 13th, 2012, 11:24 am

Hi Folks,Just keen to get a veiw of the current trends in financial quant research. In terms of approaches, are most current resarchers using 'Calculus centered around partial differential equations' OR are they using 'Statistics and probability' ? Or, is it something different.The other day I visited the Stanford's website. It mentioned although one could pursue PhD in Fin Math from Mathematics, Statistics, Finance and some other dept, it's the Statistics department who has got new funding, research opportunities in this area currently. Is this something true for other uni's too ? Rgds,Victor
 
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Gamal
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Quant Research - Current trends

November 13th, 2012, 12:19 pm

 
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victor123
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Quant Research - Current trends

November 13th, 2012, 12:29 pm

Like your pic, got the message.. But, saying the profession is dead would perhaps be exaggerating it. I would think not all job adverts are fake. Jokes apart, on a serious note, please share your views guys.
 
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Gamal
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Quant Research - Current trends

November 13th, 2012, 12:34 pm

The proffesion isn't dead yet and some quants will be needed in the future, probably less than now. All I say is that quant research is dead.
 
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hamster
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November 14th, 2012, 7:11 pm

nice pic victor. is your question about "research" or related to the job market?in both cases it is always good to know how to model stuff and program it.
 
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victor123
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Quant Research - Current trends

November 15th, 2012, 11:04 am

QuoteOriginally posted by: hamsternice pic victor. is your question about "research" or related to the job market?in both cases it is always good to know how to model stuff and program it.Thanks. My question was related to current research activities in academia & industry in the Financial quantitative arena. In terms of approaches, are most current resarchers using 'Calculus centered around partial differential equations' OR are they using 'Statistics and probability' ?
 
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Hansi
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November 15th, 2012, 11:18 am

.... both?One would be more used in pricing on sell side and the other is more generally buy side investment modelling or risk.
 
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Gamal
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Quant Research - Current trends

November 15th, 2012, 11:26 am

QuoteOriginally posted by: victor123My question was related to current research activities in academia & industry in the Financial quantitative arena. In terms of approaches, are most current resarchers using 'Calculus centered around partial differential equations' OR are they using 'Statistics and probability' ?For my knowledge PDEs are rarely used these days, at least in research. You don't develop new models, you rather optimize performance of the existing ones. So the answer would be "neither", what is important is optimization theory and C++ C++ C++
 
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Gamal
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Quant Research - Current trends

November 15th, 2012, 12:04 pm

 
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frenchX
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Quant Research - Current trends

November 15th, 2012, 2:56 pm

The only way to a "new research" to happen would be :-a new type of highly fashionable structured product (such as the CDS/CDO when they were created)-a new regulatory environment (it caused the appearance of CVA/DVA and so on)-a new market (for example weather derivatives)except that in the big five (interest rates/FX/equities/credit/commodities) I have the feeling that the work is complete (badly complete but complete). An interesting topic would be a deeper quantitative study of model risk and even better how to reduce it (with why not new hedging derivatives?).This is my opinion obviously, maybe there are more important topics.
Last edited by frenchX on November 14th, 2012, 11:00 pm, edited 1 time in total.
 
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Alan
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Quant Research - Current trends

November 15th, 2012, 3:13 pm

QuoteOriginally posted by: victor123QuoteOriginally posted by: hamsternice pic victor. is your question about "research" or related to the job market?in both cases it is always good to know how to model stuff and program it.Thanks. My question was related to current research activities in academia & industry in the Financial quantitative arena. In terms of approaches, are most current resarchers using 'Calculus centered around partial differential equations' OR are they using 'Statistics and probability' ?I would like to rephrase this to:Are most current researchers modelling risk-neutral processes or real-world processes?Personally, I am spending a lot more time on the latter.
 
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Fermion
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Quant Research - Current trends

November 15th, 2012, 3:52 pm

As regards Victor's question, I use both. I also echo Alan's sentiment. On the general question of whether quants are a dying breed, I don't know. But I do know that if they are it is because (1) they have singularly failed to solve the important problems and (2) big players are betting on technological opportunities like HFT rather than mathematical opportunities. There is so much to learn about the behavior of markets, there is still plenty of room for research.
 
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farmer
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Quant Research - Current trends

November 15th, 2012, 4:23 pm

QuoteOriginally posted by: FermionThere is so much to learn about the behavior of markets, there is still plenty of room for research.The behavior of markets is like the behavior of flashlight beams. It depends what you point them at. Like a flashlight, the ticker can pick up signals from an infinite variety of phenomena.
Last edited by farmer on November 14th, 2012, 11:00 pm, edited 1 time in total.
 
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DevonFangs
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Quant Research - Current trends

November 15th, 2012, 7:58 pm

A huge topic would be to find an acceptable way of quantifying model risk.
 
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victor123
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Quant Research - Current trends

November 15th, 2012, 9:17 pm

QuoteOriginally posted by: AlanI would like to rephrase this to:Are most current researchers modelling risk-neutral processes or real-world processes?Personally, I am spending a lot more time on the latter.Agree, my original question wasn't worded very well.QuoteOriginally posted by: frenchXThe only way to a "new research" to happen would be :-a new type of highly fashionable structured product (such as the CDS/CDO when they were created)-a new regulatory environment (it caused the appearance of CVA/DVA and so on)-a new market (for example weather derivatives)except that in the big five (interest rates/FX/equities/credit/commodities) I have the feeling that the work is complete (badly complete but complete). An interesting topic would be a deeper quantitative study of model risk and even better how to reduce it (with why not new hedging derivatives?).This is my opinion obviously, maybe there are more important topics. Very interesting ideas, some of them may have even taken their roots in some circle.QuoteOriginally posted by: DevonFangsA huge topic would be to find an acceptable way of quantifying model risk. Can't agree more with ongoing debates between the big banks and regulators re: their IMM Risk models.
Last edited by victor123 on November 14th, 2012, 11:00 pm, edited 1 time in total.
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