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September 2011

The Week in MoneyScience - Digest 30/09/11

September 30, 2011 Comments (0)

Welcome to the latest edition of our Weekly Digest! To get a copy in your email box every Friday, you can SIGN UP HERE, or to see previous editions go HERE.
Featured | Sponsored | Announcements | Computational Finance | Finance and Banking | Technology and Science | General Interest | Research


Curious list: "10 greatest econophysicists of all time" goes right back to Léon Winiarski in 1894 - http://bit.ly/n2pqrm
Computational Finance Research Library at...

Sample Chapter: 'Street Freak: Money and Madness at Lehman Brothers' by Jared Dillion

September 29, 2011 Comments (0)

When Jared Dillian joined Lehman Brothers in 2001, he fulfilled a life-long dream to make it on Wall Street—but he had no idea how close to the edge the job would take him.
Like Michael Lewis’s classic Liar’s Poker, Jared Dillian’s Street Freak takes readers behind the scenes of the legendary Lehman Brothers, exposing its outrageous and often hilarious corporate culture.
In this ultracompetitive Ivy League world where men would flip over each other’s ties to...

Risk Management Technology on the BBC

September 27, 2011 Comments (0)

The BBC, unusually, have published a couple of pieces on quant finance and risk management over the last few days. As ever, I leave you to draw your own conclusions:
Quant trading: How mathematicians rule the markets:

Trading floors were once the preserve of adrenalin-fuelled dealers aggressively executing the orders of brokers who relied on research, experience and gut instinct to decide where best to invest.
Long ago computers made dealers redundant, yet brokers and their ilk have...

Video - The Use of Models in Economics

September 26, 2011 Comments (0)

What is a good model in economics? The History of Economics Playground at the Institute for New Economic Thinking asked a dozen economists in the halls of the Mount Washington Hotel in Bretton Woods.
Good models are those that pass the test of time, says Philippe Aghion. Brad DeLong presents what has come to be called Friedman's "F-Twist": assumptions don't matter -- a good model is one that predicts well. Wrong, says Anatole Kaletsky, economists ought to model the whole range of human...

Special Relativity, Time-Stamps and a Potted History of Communication Technology in Financial Markets

September 26, 2011 Comments (0)

Last week we heard this from Data Publisher, Nanex:

On September 15, 2011, beginning at 12:48:54.600, there was a time warp in the trading of Yahoo! (YHOO) stock. HFT has reached speeds faster than the speed-of-light, allowing time travel into the future. Up to 190 milliseconds into the future, or 0.19 fantaseconds is the record so far. It all happened in just over one second of trading, the evidence buried under an avalanche of about 19,000 quotes and 3,000 individual trade executions....

The Future of Computer Trading in Financial Markets - Supplementary Materials, Research and Reviews

September 26, 2011 Comments (0)

This is the collection of review papers and commentary which the UK Government Office for Science, Foresight Project commissioned, reviewed and condensed for the recently released report: The Future of Computer Trading in Financial Markets which you can download HERE.
Thanks to Professor Dave Cliff,  Director of the UK Research and Training Initiative in the Science and Engineering of Large-Scale Complex IT Systems (LSCITS) for the heads-up.

What has happened to UK equity market...

The Week in MoneyScience - Digest 24/09/11

September 24, 2011 Comments (0)

Welcome to the latest edition of our Weekly Digest! To get a copy in your email box every Friday, you can SIGN UP HERE, or to see previous editions go HERE.
Featured | Sponsored | Announcements | Finance and Banking | UBS Fraud | Technology and Science | General Interest | Research


Who was the first Quant? bit.ly/n4YJmF
A Sea Change in Quantitative Finance - bit.ly/pGFovS
Video - Why Is There a Nobel Memorial Prize in Economics? bit.ly/nfXLSe
Milton Friedman's grand...

A Sea Change in Quantitative Finance

September 21, 2011 Comments (0)

Quantivity has a brilliantly thought-provoking post on P - Q Convergence in Quantitative Finance. I will extract below but you should definitely read the whole thing.

Numerous smart people are foreshadowing a sea change in quantitative finance. This change has big alpha potential for the mathematically inclined, and will result in a much higher technical bar for those trying to learn algorithmic trading. And, pity those buy and hold investors.
Different folks are converging on this change...

UBS Fraud - in Quotes

September 19, 2011 Comments (0)

"While occupying a position, namely being a senior trader with Global Synthetic Equities, in which you were expected to safeguard, or not to act against, the financial interests of UBS Bank, you dishonestly abused that position intending thereby to make a gain for yourself, causing losses to UBS or to expose UBS to risk of loss." - Fraud charge read against Kweku Adoboli

"I and the rest of the firm's management are fully focused on thoroughly investigating the issue, and will do all it...

Downgrading the downgraders? Ratings, sovereign debt, and financial-market volatility

September 16, 2011 Comments (0)

Donato Masciandaro 16 September 2011
Credit-rating agencies have come in for strong criticism for their role in the global crisis. This column asks whether by communicating their opinions rating agencies can make a crisis worse and outlines some of the policy implications if they do.
Since the financial crisis began the volatility of financial markets has significantly increased. Such increase in volatility is particularly important when it comes to sovereign debt. The credit-rating agencies...