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2008年 - 09年危机揭示了数量造型的新光,并不有利。金融模式 - 或者也许对他们的信仰太多 - 争夺了崩溃的责任。彼得克那then in charge of Bloomberg’s quantitative research group and now Morgan Stanley’s global head of market modeling, rolled with the punches and maintained his stature in the quant world, winning the International Association of Financial Engineers/SunGard Financial Engineer of the Year award in 2010. “It has been a pretty tumultuous time because of the spillover effects of the crisis,” observes the 54-year-old, a former Cornell University finance professor who was a Morgan Stanley vice president in the 1990s and returned to the New York investment bank in 2010. “We’re taking a much more disciplined approach as a firm,” adds Carr. “I think the major success has been acceptance of quantitative approaches for day-to-day operations.” When he was studying for his Ph.D. at the University of California, Los Angeles, more than 20 years ago, Carr recalls, the reigning paradigm was the Efficient Market Hypothesis, but “the crisis got people thinking differently.” |
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