(책 요약) Quantitative Finance with Python (Chapter 1 - Setting the Stage; Quant Landscape)

핵심 내용

• All Models are Wrong, Some are Useful.
• Players in quants
  • Sell side: Dealers & Market Makers (create derivative structures and exotic options)
  • Buy side: Asset Managers & Hedge Funds (main goal is to deliver strong investment returns)
  • Buy-side institutions often reach out to dealers with a desired structure, and the dealer responds with pricing.
• The majority of most quant problem is trying to understand the underlying distribution of assets.
• Commoditization of Factor Premias
  • investment_return == beta * market_benchmark + alpha
  • Identification of additional factors, or risk premia, such as carry, value, momentum, (low) volatility and quality, which used to be classified as alpha, have become another type of beta.