"(every IB have a research department) "Do you know one where work in this department is not =="implement an academic model ((created 10 years ago)) with a super duper quick algo"? (10%)+"update some legacy spreadsheets created 10 years ago" (40%)+"insert new PnL adjusters into arbitrageable model (implemented by chap who left 3 years ago)" (50%)?"is not what I consider as quant finance"In my experience, it doesn't really matter to employers what "(you) consider", instead the employer is entirely focused on "how to book a profit now". It doesn't make any sense to employ somebody who doesn't actively participate to booking a profit, unless it's mandatory due to some **!#@ compliance rule.What chills my blood somewhat, is to realize how unimportant quant finance really was in the booking of all these profits. The feeling that any alternative theory could have done the trick, the trick being to obfuscate the subject matter enough to confuse risk management and regulators. To communicate the flavor of this feeling, consider that in 2001 (think about where this is in the historical evolution of the bubble you mention) the head of a great IB's research department actually claimed "due to the Markov property, Ft=sigma(x(t))" as sigma-algebras. I argue that if quant finance was not just a smokescreen to give traders some slack and some keywords to go about their business, then this great IB would have been eaten by competitors who had quants who were aware of the difference between Ft and sigma(x(t)). Yet it was not. As the wondrous world around us doth prove the existence of God, so the survival of this bank proves the uselessness of quant finance.Now, if it pays the bills... (insert straight smiley)
Last edited by croot
on October 19th, 2011, 10:00 pm, edited 1 time in total.