Misc Comments From Yesterday

Alpha — Wed, 28 Jul 2010 13:44:31 +0000

Did I mention I’m in the process of wrapping up a white paper on the quantitative finance industry. White papers are fun to start and tedious to finish. The conversations around the paper have been interesting. Yesterday I discussed with a Quant, how often individuals use factor models to value equities. From our perspective, the answer was not very often. This is interesting, considering how common factor models are. But, all the Quants that I know would prefer to do some custom statistical pattern recognition. That’s not to say we are hacks. We’ll still use a Monte Carlo or bootstrap to add a layer of rigor around what we are doing. One exception that was brought up was Arrowstreet Capital. I’m pretty sure they don’t qualify as “Quant.” But, rumor has it that they ARE on the record for using factor models in this fashion.

…noteworthy from yesterday, the Tech Tock blog posting on RX that surfaces through lab49. That was my first introduction to RX – the reactive framework by Microsoft, which is focused on programming patterns that can make your program “react” to it’s environment. Very cool / interesting… beautiful to see patterns for marrying Complex Event Processing (CEP) type streams with LINQ. I think you’ll quite like it.

…spent a little time looking at CPLEX. Not sure how commonly used that is. But, because it’s on my radar, I’d argue it is a contender in the Quant optimization space.

Market Data Trader » RX

Misc Comments From Yesterday