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My Two Cents

Are You a Quant?

Chris Farrell Oct 5, 2007

Andrew Lo is a finance economist and quant jock at MIT. I follow his work closely, and check in on his website every once in awhile to see what he is up to. (I’m currently rereading his paper on the Adaptive Market Hypothesis.) I got a good chuckle out of this post on his website.

I’m sure not a quant….

How To Tell If You Might Be A Quant

Andrew W. Lo

Latest Revision: September 29, 2007

  1. If your idea of a “cute model” is the Black-Derman-Toy short-rate model, and your idea of a “supermodel” is Duffie and Singleton’s multi-factor term structure model for defaultable bonds, you might be a quant.

  2. If you think “Max Factor” is a parameter setting in the BARRA optimizer, you might be a quant.

  3. If you’ve read everything that Robert C. Merton ever published, but you’ve never heard of his father, Robert K. Merton, you might be a quant.

  4. If you’ve ever programmed your own portfolio optimizer in Matlab rather than using the BARRA or Northfield optimizer, you might be a quant.

  5. If October 1987, August 1998, and August 2007 are more meaningful to you than July 1776, August 1945, and April 1975, you might be a quant.

  6. If your boss invites you to a golf game at your company offsite and asks you what your handicap is, and you respond that, well, you did sprain your ankle really badly when you were 12 so your left leg is 1/2 an inch shorter than your right leg, you might be a quant.

  7. If you know who Kiyosi Ito is, but you have no idea who Judge Lance Ito is, you might be a quant.

  8. If you know what the following letters mean: PDE, PDF, PCA, PGP, QED, QCD, FFT, LCD, KMV, MIT, HJM, BDT, APT, CIR, AQR, SSRN, LANL, CAPM, LTCM, (X’X)−1(X’Y), and XYZZY, you might be a quant.

  9. If you’ve heard of Leonardo Fibonacci and Henri Poincare, but have never heard of Georgio Armani and Louis Vuitton, you might be a quant.

  10. If you’re familiar with Hilbert’s 8th problem, Deep Space Nine, and the G-10, but you’ve never heard of the Magnificent Seven, the Jena 6, or the Jackson 5, you might be a quant.

  11. If you know what 13030 means but have no idea what 90210 means, you might be a quant.

  12. And finally, if you’ve gained or lost more than 20 pounds over the last three months, haven’t slept more than four hours a night since returning from your July 4th vacation, and you actually find these jokes funny, you might be a quant.

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