http://www.wilmott.com/blogs/editor/index.cfm en-us Wed, 19 Jun 2013 19:01:52 --0100 Mon, 21 Jan 2013 17:03:00 --0100 BlogCFC http://blogs.law.harvard.edu/tech/rss blogs@wilmott.com blogs@wilmott.com http://www.wilmott.com/blogs/editor/index.cfm/2013/1/21/The-Ps-and-Qs-of-Quant-Finance-and-Big-Data Read a nice little article by Attilio Meucci the other day which provides a useful summary of what he identifies as two separate branches of finance that require advanced quantitative techniques: the "Q" area of derivatives pricing, whose task is to "extrapolate the present"; and the "P" area of quantitative risk and portfolio management, whose task is to "model the future". "Q" refers to risk neutral probability based practitioners, typically in derivatives pricing on the sell side. "P" refers to "real" probability types on the buy side or in risk management anywhere. Coming across the article was timely because it helped me focus my addled brain on a number of points I wanted to draw together for an article I'm working on right now which discusses just what the term ?quant finance practitioner? is going to mean in five to ten years time. It is obviously the "Q" type quant that has come to dominate the popular perception of what a financial quant is over the last two decades. Unsurprising given the emphasis there has been on complex derivatives over that time span, given the fact that this particular branch of quant finance has been the best remunerated too! Meucci's classification is particular apt in that it accurately reflects the siloed nature of quantitatively skilled personnel in the finance industry. What I sense is a sea change; a diffusion of quant skills throughout the industry into areas where the profession was thought peripheral. This adoption will come about almost by the back door and under the guise of 'data science' as that seems to be a more palatable, more easily understood label than 'quantitative finance'. It will come about as an evolution of Meucci's less glamorous "P" type quant?s meeting with the frenzied activity afoot under that catch-all banner of 'Big Data'. editorial Mon, 21 Jan 2013 17:03:00 --0100 http://www.wilmott.com/blogs/editor/index.cfm/2013/1/21/The-Ps-and-Qs-of-Quant-Finance-and-Big-Data