Phorgy Phynance

Quants R Us

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It’s been a while since I’ve been able to find the time to post anything. Work is completely insane, but I’m loving it πŸ™‚

I’ve been in a “tool” building frenzy lately. When you’re building quant models, one of the best uses of them is sensitivity analysis, i.e. trying to see how sensitive securities are to various parameters. After fiddling with one too many Excel charts, I decided to automate a lot of the sensitivity analysis we’re doing.

Building tools to automate mundane tasks is one thing, but I also enjoy throwing fancy looking interfaces on my tools. This is motivated in large part by Emanuel Derman. Both in his book and at conferences where I’ve heard him speak, he often emphasizes that some of the biggest impacts he made early in his quant career were in building nice user-friendly interfaces. Stuff that even the traders can figure out πŸ˜‰

Building tools requires a bit of effort up front and when you are barraged by demands that need to be done yesterday, you can either succumb to the “easy” way and just crank out results as fast as you can (knowing full well you will have to repeat the same process next week), or double your working hours to get the tools working asap. I chose the latter, which explains my hiatus.

Things are working quite nicely now and it was pleasing to watch the younger quants admiring the analysis tool I built πŸ™‚ There is no doubt in my mind the extra effort it took to build some useful tools, will be paid back tenfold (or more!) in time.


Written by Eric

October 9, 2007 at 8:00 pm

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