Herr Oberst (herr_0berst) wrote,
Herr Oberst

о статистике

Получил сегодня утром рассылку от имени гражданина Питера Брюса, основателя и президента statistics.com:

Ten Years Since Black Monday
Ten years ago Saturday, Lehman Brothers filed for bankruptcy, turning a growing financial crisis into a near panic.

Что характерно:
  • сегодня у нас 12-е сентября 2018-го года
  • Lehman Brothers подал на оформление банкротства 15-го сентября 2008-го
  • вышеупомянутый день 15.09.2008 был понедельник, а не суббота
  • тем не менее эта знаменательная дата не вошла в историю под именем «чОрный понедельник»
  • обвал рынка, традиционно известный как Black Monday, имел место быть 19-го октября 1987-го года
А так-то хорошее письмо, вдумчивое. Содержательное. Под катом -- полностью:

Ten Years Since Black Monday

Ten years ago Saturday, Lehman Brothers filed for bankruptcy, turning a growing financial crisis into a near panic. The events of 2008 tainted the profession of financial quants - analysts who used statistical methods to craft new and complex financial instruments derived from more familiar ones, such as home mortgages.

The complexity of the new instruments made them opaque, and transparency is the oil that keeps the financial system running smoothly and honestly. While there was an ample supply of blame to go around, quants came in for their share of finger-pointing, and the profession lost some of its allure.

Where do quants stand today?

Quants Back at Center Stage

The profession is alive and flourishing, and even more dependent on statistics. Web sites like Quantstart.com devoted to careers in quantitative finance tout courses in topics like those taught at Statistics.com (Bayesian statistics, machine learning, time series analysis), focusing on using R and Python.

The 2008 crash quickly erased the market for "cowboy quants" who whipped up derivative recipes that were complex enough to defy easy understanding, but not nearly sophisticated enough to truly reduce risk. But the crash also seeded the ground for a new generation of quantitative financial talent by bringing to light all the sources of risk that were ignored prior to 2008. Large financial institutions, with the 2008 collapse in mind, now need the quants to help evaluate systemic risk in the financial system, and help reduce it. For example, where more than one party is involved in creating an instrument, each participating party may need to consider the risk that one of the other parties will default.

Government regulations such as Dodd-Frank have accentuated this trend, by forcing banks to better define the risks they face, and to hold more capital to hedge against those risks. Identifying and quantifying a broader range of risks requires more analytic talent. The resulting need for further diversification also demands more analytic talent, to evaluate the greater diversity of investments. The accelerating shift towards automation also means firms need more analytic and programming skills. By 2012 the New York Times commented on the shift towards automated trading, and traders whose desks were "piled high with textbooks like the "R Graphs Cookbook" (Bond Trading Loses Some Swagger Amid Upheaval).

If you have started to collect books in this fashion and need some help working through them, or some formal recognition for your learning, join us here at Statistics.com for a course or two, or a certificate program!

Peter Bruce
Founder and President
Tags: finance, history, panoptikos

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