Who actually do econometrics?

cstassen · July 30th, 2008, 3:07 pm

Hi GuysAs the header sounds - who does that? I mean, in banks, quants do programming and modelling, structurers do a little econometrics but not much, and traders certainly don't. Who, except researchers, use that? And who do economic analysis?I know it might sound stupid, but I have never met anyone who do proper statistics, econometrics etc on job!!!

ChicagoGuy · July 30th, 2008, 5:04 pm

Risk Management and Portfolio management certainly do. In Risk management you might be regressing returns against factors to see what is driving performance. In portfolio theory, you diversify portfolios also by regressions. Think CAPM!Time Series econometrics is also extremely important in finance (industry and academia). Ask any stat trader if he has ever used the concept of "Moving Average".

cstassen · July 30th, 2008, 6:17 pm

I agree, but what you refer to is "simple stuff" - regressing returns against factors is really not what I would call a very good approach! Neither in the CAPM example. And moving averages are, IMHO, bulls...! Just like any other charting means, like waves, fibonacci stuff etc!

rvrob · July 31st, 2008, 8:10 am

We're all just a bunch of duffers using moving averages writing a bunch of if-statements...

hungryquant · July 31st, 2008, 8:16 am

QuoteOriginally posted by: cstassenI agree, but what you refer to is "simple stuff" - regressing returns against factors is really not what I would call a very good approach! Neither in the CAPM example. And moving averages are, IMHO, bulls...! Just like any other charting means, like waves, fibonacci stuff etc!any reason why you think this is so? , there are a number of academic documents discussing wavelets and time scale behviour in the markets, like this for example http://www.sfu.ca/~rgencay/jarticles/whmm.pdf

cstassen · July 31st, 2008, 9:06 am

The first part is because of the statistical properties (nonergodicity), the moving averages is because it has been statistically "proven" that they can't predict anything, and wavelets, honestly, i don't know very well (will get back on that one)

hungryquant · July 31st, 2008, 9:12 am

would agree with you on simple regression , but i have personally found spectral type methods and fractal analysis very useful

rvrob · July 31st, 2008, 11:03 am

"proper econometrics"...well, I've seen countless papers using some econometric technique of one variety or other; it's as if they invent a technique and try and find some problem to apply it to, without actually understanding what the problem is.Let's do a bunch of silly sums and apply it to a time-series.WRONG. Think about the problem, then find the tools to solve it.

hungryquant · July 31st, 2008, 11:19 am

QuoteOriginally posted by: rvrob"proper econometrics"...well, I've seen countless papers using some econometric technique of one variety or other; it's as if they invent a technique and try and find some problem to apply it to, without actually understanding what the problem is.Let's do a bunch of silly sums and apply it to a time-series.WRONG. Think about the problem, then find the tools to solve it.I can imagine you backhanding the poor little econometrist (?) across the face whilst saying this !

cstassen · July 31st, 2008, 12:46 pm

Proper econometrics means applying a solution that makes sense. Fx - don't use OLS on time series if non-stationary (which is what they did), use cointegration instead!Proper econometrics doesn't imply using the toughest solution of all, it just implies not using a false solution! That's what I meant!!!

aiQUANT · July 31st, 2008, 1:05 pm

QuoteProper econometrics doesn't imply using the toughest solution of all, it just implies not using a false solution! That's what I meant!!! That's a generalization.

ppauper · July 31st, 2008, 1:32 pm

>>Who actually do econometrics?econometricians ?

CiVoDuL · August 1st, 2008, 9:53 pm

I think you will find answer if you search "econometric" in the jobs board.There is currently only one result "quantitative strategist/ econometric..."edit: http://www.wilmott.com/messageview.cfm? ... SGDBTABLE=

meteor · August 1st, 2008, 10:46 pm

>>Who actually do econometrics?IMO it is more used in hedge funds

ntruwant · August 2nd, 2008, 7:10 am

econometrics are certainly used in the credit risk part of Basel 2: logistic regression or neural networks for scoring models, ant algorithm, SUR for economic capital, ARMA processes