Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee
In this paper, the authors present a robust method for the detection of chaos based on the Lyapunov exponent, which is consistent even for noisy and finite scalar time series.
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Upturn in performance creates chance of “fundamental factor timing”, analyst says
Risk30 profile: “People think we’re crazy,” says giant fund’s co-CEO of its unique approach to op risk
By comparing the Libor and FX benchmark manipulation scandals, this paper describes how misbehavior emerged independently in both of these markets and the conditions that permitted the misconduct to survive and thrive.
Author of Adaptive Markets tells Risk.net what his ideas mean for investors and regulators
Libor-rigging and similar misconduct across multiple firms may be the result of 'macro-cultures'
This paper investigates the causes of the quality anomaly by exploring two potential explanations - the “risk view” and the “behavioral view”.
Economists, risk managers and traders must learn the lessons of crisis, says Kaminski
Risk managers should be aware of unconscious flaws in estimation
Funds fall victim to IPO hype and behavioural biases affecting traders
Common psychological traps at the root of risk
Risk managers urged to focus on group dynamics
Central bank eyes big data and psychology
Patricia Jackson discusses her new book and the different factors that influence an effective risk culture.
The author uses behavioral finance theory to create a measure that detects when stock markets become irrational.
Sanjay Sharma talks about risk transparency and how his book helps achieve it.
'Madness of crowds' psychology governs investment policy
Market reaction to price changes and fat-tailed returns