terça-feira, março 17, 2009

Kill all the Quants?

Uma leitura de Andrew Lo sobre a crise:

2009 Nomura Lecture
Professor Andrew W. Lo
Harris and Harris Group Professor of Finance
MIT Sloan School of Management

‘Kill all the Quants?’: Models vs. Mania in the Current Financial Crisis
As the shockwaves of the financial crisis of 2008 propagate throughout the global economy, the ‘blame game’ has begun in earnest, with some fingers pointing to the complexity of certain financial securities, and the mathematical models used to manage them.
In his talk, Professor Lo will review the evidence for and against this view, and argue that a broader perspective will show a much different picture. His hypothesis is that blaming quantitative analysis for the financial crisis is akin to blaming Newton’s law F = MA for a fallen mountain climber's death.
A more productive line of inquiry is to look deeper into the underlying causes of financial crisis, which ultimately leads to the conclusion that bubbles, crashes, and market dislocation are unavoidable consequences of hardwired human behavior coupled with free enterprise and modern capitalism. However, even though crises cannot be legislated away, there are many ways to reduce their disruptive effects, and Professor Lo will conclude with a set of proposals for regulatory reform.
Date: Tuesday 19 May 2009
Start: 1800 hours
Venue: Nelson Mandela Lecture Theatre, Saïd Business School

O ponto é mesmo que eu coloquei no artigo de Cópulas, mas com um exemplo muito melhor. Não faz o mínimo sentido culpar uma fórmula.
Se você pode ir até Oxford, seminário extremamente indicado. Andrew Lo é um dos analistas mais inovadores em finanças matemáticas.