31
Jan
11

Catarsis Quant

En un post de Zero Hedge se ofrece una interesante purga quant. Hay algunos condimentos de Rage Against The Models– pero entretenida de leer.

(…)

In 2008 Emanuel Derman and Paul Wilmott (two most famous names among quants) wrote the following in the article published in Business Week:

“Financial markets are alive. A model, however beautiful, is an artifice. To confuse the model with the world is to embrace a future disaster in the belief that humans obey mathematical principles.

How can we get our fellow modelers to give up their fantasy of perfection? We propose, not entirely in jest, a model makers’ Hippocratic Oath:

• I will remember that I didn’t make the world and that it doesn’t satisfy my equations.

• Though I will use models boldly to estimate value, I will not be overly impressed by mathematics.

• I will never sacrifice reality for elegance without explaining why I have done so. Nor will I give the people who use my model false comfort about its accuracy. Instead, I will make explicit its assumptions and oversights.

• I understand that my work may have enormous effects on society and the economy, many of them beyond my comprehension. “

(…)

 


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