Quantitative finance
WHAT IS THIS? Quantitative finance is a field of applied mathematics concerned with financial markets. In banking, it spread from the pricing of derivatives to the modelling of credit, market and operational risks. Today’s quantitative analysts are scattered across a range of functions, from risk management and model validation, to data science, algorithmic trading and regulatory compliance.
Cleaning noisy data ‘almost 70%’ of machine learning labour
Quants flag signal-to-noise ratio as key to reducing overfitting risk
Machine learning governance
The ability of machine learning models to read great quantities of unstructured data, spot patterns and translate it into actionable information is driving a significant uptake in the technology. David Asermely, SAS MRM global lead, highlights the need…
Systematic manager puts up guardrails for AI
Boston-based Acadian aims to limit risks from complex, machine learning algorithms
China Minsheng and SocGen team up for quant index product
CMBC Macro 1 signal index attracts $580 million as investors adapt to products without performance guarantees
Crowding can be good for quants (sometimes) – Goldman
Study finds timing dictates different results for convergent and divergent strategies in herd moves
Portfolio traders turn to tech – A new generation of strategies
Chris Bruner, head of US credit product at Tradeweb, explores the products that can help managers express portfolio views and how they can maximise the benefits they can reap by evaluating and understanding the price, risk and relative value of each…
Keep it real: tail probabilities of compound distributions
Igor Halperin proposes new approach to compute probabilities of heavy-tailed distributions
UK quant academics fear Brexit brain drain
Brexit hitting graduate jobs, funding and “driving European academics away from the UK”, say universities
Podcast: Princeton’s Carmona on the future of quant education
Course director discusses machine learning explainability and reclaiming game theory from economists
Asia moves: Natixis equity derivatives head departs, new banking head for JP Morgan, and more
Latest job changes across industry
Fundamentals fuelling smart beta in China
As Chinese equity markets mature and become increasingly driven by fundamentals, the time is right for international investors to invest in smart beta strategies, say Vincent Yam, head of trading, and Weiwei Wang, senior derivatives trader at Guotai…
Dabbling in data science won’t cut it
Banks are seeking data-led boost for research arms – only a few will succeed
Quant guide 2019: industry entrants face cultural ‘abyss’
Divide between industry and academia worries practitioners and professors
Arnott, Harvey: machine learning dangerous when data thin
Experts warn ML should be used “for its correct purpose”
Factor timing: scant upside, big downside
Stock selection trounces “tempting” factor timing in study
Banks bet on data to rescue research
Barclays, Morgan Stanley, UBS among those using data science to pep up their research offerings
Quant Guide 2019: University of Toronto
Toronto, Ontario, Canada
Quant Guide 2019: University of California, Berkeley
Haas School of Business, Berkeley, US
Quant Guide 2019: EPFL
Lausanne, Switzerland
Quant Guide 2019: Stony Brook University
College of Engineering and Applied Science, Brookhaven, New York, US
Quant Guide 2019: ETH Zurich/University of Zurich
Zurich, Switzerland