Speed of Markets Accelerates Model Degradation

Duffy, Maureen Nevin
January 2008
Securities Industry News;1/21/2008, Vol. 20 Issue 3, p1
Trade Publication
The article discusses factors that contribute to the degradation of financial models. Such models are based on assumptions made by quantitative financial engineers, also known as quants, on Wall Street. According to Emanuel Derman, a Columbia University professor, more quants nowadays tend to work in factor models and prediction. Quants' models failed during a period of unusual market volatility in August 2007.


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