Saturday, November 11, 2006

weeks 33/34...Nobel Laureates and more!!

2 more weeks into the internship. Things are looking working on many aspects of fixed income and learning about new products and strategies.

The other day, I had a chance to go to a very interesting seminar hosted by National Academy of sciences - featuring some very prominent speakers - Robert Engle (of the ARCH fame), Derman, D. E. Shaw (yes it's also a fund, run by guess who?), and so on. Heard some really interesting views on volatity, statistical mechanics, econophysics, and so on. Some tidbits:
  • Returns are non-gaussian. Large events cluster together. One of the speakers (Eugene stanley) used high-frequency data (TAQ) to show that the data actaully follows an inverse cubic law.
  • ARCH models give forward measure of vol. Vol is low in bull markets and vice versa. (why??)
  • Dr. Engle talked about his new book (in works) : "Anticipating correlations".
  • Doyne Farmer talked about using agent based models for behavioral models.

Later, at the reception, I had a chance to talk to Dr. Engle, who was so accessible to talk to....I never realized for a moment, that I was in fact talking to a Nobel Laureate. I later had also a chance to meet my good friend - Aloke (read more about this on his blog!!!) from NYU. We chatted about life, work and of course, how our classmates are faring in what seems to be a bull job market! As Borat says - "Nice!!"

In other depressing news: Cal lost to Arizona!! This was just not expected.. oh well!!


Blogger aloke said...

I get equal billing with Robert Engle and Borat!!! "Nice!"

9:17 PM, November 11, 2006  
Blogger Quantjock said...


7:51 AM, November 12, 2006  

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