Profile: NYU’s Robert Engle on volatility, liquidity and systemic risk

An Arch economist

Robert Engle

Outsiders might not believe it, but within the quantitative finance world there are styles as distinctive as that of any artist, musician or actor. Researchers with a more mathematical bent may favour very axiomatic approaches with high levels of abstraction; former physicists tend to invoke the methods of thermodynamics or quantum mechanics (see pages 59 and 60–66); computer scientists are concerned mainly with the construction of efficient algorithms.

But unlike many in the quantitative

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