Quants in the cloud November 25, 2008
Posted by James Webster in : finance, development , trackbackWithin a week of each other the vendors of industry standard mathematical software packages MATLAB and Mathematica have demonstrated their software running on Amazon EC2. MATLAB has greater dominance in the field of financial mathematics but as a layman in the frequently mind-boggling world of quant finance Mathematica’s approach seems more appealing and visual. Might the embattled banks start to use these packages to offload intensive batch risk calculations to 3rd party compute grids on demand? Or maybe just buy a couple of these?
Of course the future shape of the quant and quantitative finance is under much debate at the moment as the leaders of the world seek to tame the global financial crisis which many blame on quant finance in the first place; Nassim Nicholas Taleb (author of Fooled by Randomness & The Black Swan: The Impact of the Highly Improbable) says Many of You Will be Sued. As a technologist within the field (and assuming things don’t collapse completely!) my bet is that the skills to cultivate will be around exchange connectivity and standards such as FIX and FpML… as the call for greater transparency of the OTC derivatives market becomes ever louder some products might be regulated out of existence and a large portion of the rest will become exchange traded. Why bother with mark-to-model when you can simply mark-to-market?
The Economist has two great level-headed articles about the much maligned credit default swap’s role in the current crisis and how they can still have a valuable if restrained role in the markets moving forward:
Meanwhile major players and central counterparties in the CDS market are already making progress in netting out CDS exposures in an attempt to reduce that much quoted (but misunderstood) outstanding notional CDS value of $62.2 trillion USD.
Comments»
no comments yet - be the first?