The Accidental Quant
I became a “quant” in September of 1980, purely by accident. This led me to a 30-year career in quantitative asset management, from the days when “high frequency” meant daily data and all screens were green, to the days when time is measured in milliseconds and many institutional investors are left wondering what to do in the wake of the worst financial crisis in three generations.
In this talk, I will reflect on some of the lessons I have learned in my career as a quant, and try to draw some useful conclusions from them. Some of these lessons are idiosyncratic to quantitative investing and risk management, while others are more general lessons about being in the asset management business…indeed, about being in business at all.
Jeremy Evnine is currently CEO of Evnine & Associates, Inc., an Investment Advisory firm engaged in quantitative strategies since 1992. From 1991 to 2003, Jeremy was also a partner in Iris Financial Engineering and Systems, a financial software firm specializing in providing high-end trading and risk systems to top-tier investment banks. He sold his interest in Iris in 2003.
From[masked], Jeremy was SVP in charge of research at WFIA (now Barclays Global Investors). In this capacity, he worked with such people as Fischer Black and Myron Scholes, Bill Sharpe, and Michael Brennan and Eduardo Schwartz. From[masked], Jeremy was a consultant at Barra, where he developed the firm’s option products.
Jeremy earned his B.Sc. in Mathematics at Manchester University in England, his M.Sc. in Pure Mathematics at the Hebrew University of Jerusalem, and his Ph.D. in Operations Research and Finance at U.C. Berkeley. He has taught courses in finance at U.C. Berkeley, published articles in the financial literature on option pricing and tactical asset allocation, and lectured in the United States and abroad.
This is a joint Thalesians-GARP, San Francisco chapter meeting event and is complimentary to members. Thalesians SF Quant Finance seminars are sponsored by the Golden Gate finance club. Further details of our seminars are available at http://www.thalesians.com