The Blow Up -- the cover story from MIT Technology Review's Nov Dec issue. Utterly fascinating stuff here. Author Brian Urstadt traces the history of quant jocks in finance, from early toilers to celebrity quants like Emanuel Derman and James Simon.

This brief history of quantitative finance begins and ends with the titular blow up of the sub-prime lending market, a derivative facilitated niche created in part, as you'll learn, through a little quant-jock-magic.

The article addresses head on the issues of why all these smart, data-driven people didn't see the crash coming and what risks we take with computer automated decision-making becoming an ever larger proportion of market trading.

So polish up on your Black Scholes, outlier events and tight coupling. It's only the economy at stake.

Highly, highly recommended reading.

- MDT

Labels: James Simon, quantitative finance, Rennaisance Asset Management, Skynet

The Commodity Futures Trading Commission has filed a case against Anthony Ramunno, Jr., CEO of Roswell, Georgia-based Renaissance Asset Management. Ramunno and Renaissance have been barred from destroying any documents.

Investors had become suspicious that the pool of investment dollars under Ramunno's care wasn't quite the $32 million Renaissance claimed. An audit of the firm only identified about $4million and according to the CFTC complaint, Ramunno subsquently contacted the FBI offices in Atlanta and admitted committing fraud.

Further details here.

You can aslo read the CFTC press release or check out the online complaint (pdf).

-- MDT

Labels: Anthony Ramunno, CFTC, Fraud, Rennaisance Asset Management