TITLE

Speed of Markets Accelerates Model Degradation

AUTHOR(S)
Duffy, Maureen Nevin
PUB. DATE
January 2008
SOURCE
Securities Industry News;1/21/2008, Vol. 20 Issue 3, p1
SOURCE TYPE
Trade Publication
DOC. TYPE
Article
ABSTRACT
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.
ACCESSION #
28812625

 

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