SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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EscapeArtist999
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Joined: May 20th, 2009, 2:49 pm

QUANT FINANCE IS DEAD

October 14th, 2011, 2:16 pm

Maybe that should just read FINANCE IS DEAD.What are people's thoughts? Is there much of a viable career in quant finance out there? From examining the prior threads on this forum there's been a discernable pattern of quanty type wanting to be traders to quanty types happy to accept quant jobs to quanty types happy to accept any job to well silence...Maybe it's just me, that I don't hang out enough....What are your thoughts?
 
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Hansi
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Joined: January 25th, 2010, 11:47 am

QUANT FINANCE IS DEAD

October 14th, 2011, 2:36 pm

I only get calls from head hunters for HFT or risk roles now a days. I don't think quant finance is dead but the supply for the regular "quant" roles is massively exceeding the demand. Quant finance as it was known say 5 or 10 years ago (old school quant only buy side funds trading on a model) has already stagnated and is slowly being reshaped. Heck a lot of teams are now scared of saying they are pure quant in their investment decisions. It's all quantimentals (fundamental and analyst overlay on top of the model output), scientific investment strategies (seriously...) and model assisted strategic investing. Really those are terms I've heard thrown around.
 
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GaleMartin
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Joined: March 20th, 2011, 4:09 pm

QUANT FINANCE IS DEAD

October 14th, 2011, 5:08 pm

QuoteOriginally posted by: HansiQuant finance as it was known say 5 or 10 years ago (old school quant only buy side funds trading on a model) has already stagnated and is slowly being reshaped. That's somewhat worrying in light of my career plans. However, I had a perception that quant funds did fairly well in the recent market compared to more discretionary funds. Take for example AHL vs GLG under the Man's umbrella. Or maybe this is not a general trend and I'm being confused?
 
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Hansi
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QUANT FINANCE IS DEAD

October 14th, 2011, 7:48 pm

Depends on which strategies and assets they were in. See http://www.wilmott.com/messageview.cfm? ... adid=86874 for YTD for the basic equity ones.
 
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ppauper
Posts: 70239
Joined: November 15th, 2001, 1:29 pm

QUANT FINANCE IS DEAD

October 16th, 2011, 10:00 am

RIP
 
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neuroguy
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Joined: February 22nd, 2011, 4:07 pm

QUANT FINANCE IS DEAD

October 18th, 2011, 10:10 am

Long Live Quant Finance!
 
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Orbit
Posts: 492
Joined: October 14th, 2003, 5:34 pm

QUANT FINANCE IS DEAD

October 19th, 2011, 4:20 pm

Quant finance is dead. Mind you, it is a fascinating area of study, but the "bull market" in intellect is OVER.THERE.ARE.NO.JOBS.
 
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ithousekeeper
Posts: 33
Joined: March 28th, 2009, 11:09 pm

QUANT FINANCE IS DEAD

October 19th, 2011, 11:17 pm

Where I work...the bank's focus is on streamlining and automation now.Even the quants are doing IT type work.
 
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cryptic26
Posts: 971
Joined: February 18th, 2002, 9:39 am

QUANT FINANCE IS DEAD

October 20th, 2011, 12:47 am

True.Evidence Goldman has shutdown its global alpha fund.
 
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frenchX
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Joined: March 29th, 2010, 6:54 pm

QUANT FINANCE IS DEAD

October 20th, 2011, 4:41 am

In my opinion, quant finance was just a bubble which blew up. But in an horizon less than 10 years I would expect that the bubble will inflate again.I may be wrong but I would say that the reign of FO quant is almost over, quant finance is dead long live risk management I think I would hope that this very sharp crisis would make the banks change, push them to do more research but I don't think so and it's sad. The policy I implement an academic model created 10 years ago with a super duper quick algo is not what I consider as quant finance. Coding is obviously needed and ITs will be always required for banks but quant and especially quant researchers (every IB have a research department) should do what they must : research. This shouldn't be the death but the birth of quant finance.
 
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croot
Posts: 104
Joined: July 23rd, 2006, 8:30 pm

QUANT FINANCE IS DEAD

October 20th, 2011, 5:57 am

"(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.
 
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Gamal
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QUANT FINANCE IS DEAD

October 20th, 2011, 6:34 am

QuoteOriginally posted by: frenchXIn my opinion, quant finance was just a bubble which blew up.I don't agree. There were real problems which were eventually solved. The last intellectually challenging topic was pricing of CDOs. I remember creating a model on my desk, implementing it within a month an seing traders using it within next month. Quant finance died with CDOs.
Last edited by Gamal on October 19th, 2011, 10:00 pm, edited 1 time in total.
 
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frenchX
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QUANT FINANCE IS DEAD

October 20th, 2011, 6:37 am

@Croot: Sure the current system is really good. Just have a look where it got you . Not sure but I have heard -10 000 jobs in Wall street next year, -15000 in the Citi and also some big numbers in Europe. If you book a X profit today which could lead to a 10 X loss in two years that's not really optimal. 99% of models (even acedemic ones) are based on at least one of the very dangerous assumption:-markovian property (1)-complete market (2)-efficient market (3)-risk neutral measure (4)while some guys developped some increases such as discrete time hedging models, transaction cost analysis and some times erased (1-3), (4) the risk neutral stuff is almost considered as God command. "The drift is the risk free rate" (euh there is no counterparty or liquidity risk ?) . No arbitrage argument : there is not such a thing as a free lunch BUT there is a risk free rate. This concept is in my opinion VERY dangerous. "I have my nice stochastic volatility model with jumps so I'm happy and under the risk neutral measure (first model mistake) the process is affine (second model mistake). So it means that the market price of risks are proportionnal to the risk (third model mistake)for some agents with a constant risk aversion utility (fourth model mistakes)." Result you're dead. Moreover and I'm sure that all with agree with that in quant finance there is finance inside and finance is (or at least should be) related to global economy. Some models seems to have forgotten that.
 
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chocolatemoney
Posts: 322
Joined: October 8th, 2008, 6:50 am

QUANT FINANCE IS DEAD

October 20th, 2011, 7:23 am

QuoteOriginally posted by: Hansi model assisted strategic investing Cool! A new buzzword for my CV. Can I borrow it?
 
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Hansi
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Joined: January 25th, 2010, 11:47 am

QUANT FINANCE IS DEAD

October 20th, 2011, 8:07 am

As long as you don't send that CV to JPM, I think it comes from them
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