[My Life as a Quant] Reading Note 1

Emanuel Derman was one of the first physicists to move to Wall Street, and his career paralleled the growth of quantitative trading over the past twenty years. In My Life as a Quant, he traces his transformation from ambitious young scientist to managing director and head of the renowned Quantitative Strategies group at Goldman, Sachs & Co.


Prologue The Two Cultures
“Data on its own dose not speak.”(p1)

“There is no logical path to these laws; only intuition, resting on a sympathetic understanding of experience, can reach them.”(p2)

“The majority of options dealers make their living by manufacturing the products their clients need as efficiently as they can – that is, by providing service for a fee. For them, a simple, easy-to-understand model is more useful than a better, complicated one. Too much preoccupation with details that you cannot get right can be a hindrance when you have a large profit margin and you want to complete as many deals as possible.”(p9)

“Market crashes are not randomly occurring lighting bolts; they are the consequence of the madness of crowds who are busy avoiding the last mania as they participate in what will turn out to be the current one.”(p10)

“When I moved to Wall Street, the hardest attitude adjustment for me was to learn to carry out multiple assignments in parallel, to interrupt one urgent and still incomplete task with another more pressing one, to complete that, and then pop the stack.”(p12)

Chapter 1 Elective Affinities
“At age 16 or 17, I had wanted to be another Einsteinl at 21, I would have be happy to be another Feynman; at 24, a future T.D.Lee would have sufficed. By 1976, sharing an office with other postdoctoral researchers at Oxford, I realized that I ahd reached the point where I merely envied the postdoc in the office next door because he had been invited to give a seminar in France. In much the same way, by a process options theorists call time decay, financial stock options lose their potential as they approach their own expiration.”