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Dilip B. Madan Selected as the Recipient of the 2021 IAQF/Northfield Financial Engineer of the Year Award

New York, New York (PRWEB) December 13, 2021 The International Association for Quantitative Finance (IAQF) and Northfield Information Services have named ....

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The art of solving problems with Monte Carlo simulations

The Go programming language is deemed to be
the most promising programming language today due to its speed and simplicity, and I recommend you to at least get acquainted with it.
Quick Introduction
Generally speaking, Monte Carlo methods (or simulations) consist of a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. This technique is used throughout areas such as physics, finance, engineering, project management, insurance, and transportation, where a numerical result is needed and the underlying theory is difficult and/or unavailable.
It was invented by John von Neumann, Stanisław Ulam, and Nicholas Metropolis, who were employed on a secret assignment in the Los Alamos National Laboratory, while working on a nuclear weapon project called the Manhattan Project. It was named after a well-known casino town called Monaco, since chance and randomness are core to the modeling approach, similar to a game of roule ....

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What quant funds actually do – Investment Watch

This is the bread-and-butter for quant funds. AQR has pioneered this space the most.
Multifactor models are models designed to extract cross-sectional risk premia in markets. Put simply you look at all the stocks in a market. Rank them based on some metric(s). Long the top decile. Short the bottom decile. If that market-neutral portfolio outperforms on a consistent basis then well done! You have found a risk premium.
Classical and well known risk premia include:
Momentum – stocks that moon continue to moon.
Size – small caps tend to outperform large caps.
Value – high-value stocks tend to outperform low-value stocks. ....

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