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How can the individual trader hope to succeed against programs trading thousands of times a second programmed by Ph.D’s? They can’t. Such quant trading increasingly dominates Wall Street now. It’s inevitable that something outside their parameters will happen and they will all try to get out the door at the same time. They aren’t [...] From Wired. In 2000 a brilliant quant named David X. Li devised a mathematical formula called a copula function that got widely used by Wall Street to model risk. Li came up with an ingenious way to model default correlation without even looking at historical default data. Instead, he used market data about the [...] |  | ||||
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