« Google: Price Targets Inching Toward $1,000 | Main | Twine: Color Me Skeptical »

Latest Stories

October 19, 2007

The Blow-Up: MIT Tech Review on the Quant Meltdown

There is a long, must-read piece on the August quant fund meltdown in the current issue of MIT Technology Review. While it doesn't advance things in terms of naming names for whose unwound leverage sparked things, it does an able job of getting under the hood of quantative investing, explaining along the way how huge increases in storage, computing power, and network speed, alongside open source's economics, plus ballooning amounts of current and historical data, are the enablers behind a new generation of investors.

There is also good stuff on realtime event processing, probabilities, stat arb, high-frequency trading, and on and on. It's like a giant advertisement for my Money:Tech conference.

The preceding said, there a few laughers in here, like the comment from one trader that "one-in-a-hundred events" can easily happen twice a year. Yo, dude, one-in-a-hundred events can happen many times a year in capital markets, depending on frequency of the stream from which said event flows.

Read Part 1 and Part 2.

Sphere It   |  Digg this! Digg it   |  Bookmark this! Bookmark it   |  Stumble It! Stumble it