Sunday, September 13, 2009

Unboxed - Creating Quant Models That Are Closer to Reality - NYTimes.com

A suggestion to those on Wall Street who think they might add new variables for emotions (such as greed and panic) to refine their models: when one of the pioneers of complexity theory calls your efforts “awfully ambitious” (and while people with the ability to retain memories for longer than six months are still very annoyed with you for almost destroying the global economy with your esoteric models last year), you may want to reconsider…

J. Doyne Farmer, a former physicist at Los Alamos National Laboratory and a founder of a quantitative trading firm, finds the behavioral research intriguing but awfully ambitious, especially to build into usable models. Instead, Mr. Farmer, a professor at the interdisciplinary Sante Fe Institute, is doing research on models of markets, institutions and their complex interactions, applying a hybrid discipline called econophysics.

Unboxed - Creating Quant Models That Are Closer to Reality - NYTimes.com

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