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Wednesday, October 30, 2019

Michael Goodkin on Getting Answers Faster

Recent reading inspires some thoughts.

Struck me that such methods what we are doing today.  Is faster always better?  And may be further advanced by technologies like 5G.   Depends on the risk involved and how it is managed.

The Wrong Answer Faster: The Inside Story of Making the Machine that Trades Trillions

(Michael Goodkin).   His company's original investment techniques became known as statistical and quantitative arbitrage. By 1996, these techniques accounted for most of the volume on the global exchanges and the financial derivatives market. Having resettled in Chicago, Goodkin then set out to make the market less risky by introducing computational physics to derivatives risk management.[1]

Goodkin’s most successful start-up was Numerix. Recruiting a group of academic physicists, including Mitchell Feigenbaum, winner of the MacArthur grant and the Wolf Prize in Physics for his pioneering work in Chaos Theory, Numerix was founded in 1996. The company’s initial product was a software algorithm that dramatically reduced the time required for Monte Carlo pricing of exotic financial derivatives and structured products. Numerix remains one of the leading software providers to financial market participants.[3]   .... "

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