Of course, very few people on Wall Street truly understand what the method actually does and its limitation. Most people are either not smart and skilled enough or just lazy to truly analyze any mathematical method and understand it. Most just run on herd instinct.
nightrider 发表评论于
"他基本肯定可以拿到炸药奖" is arguable. The name of the initiator of the application of the method is David X. Li, 李祥林. The Gaussian copula is indeed an ingenious simple elegant method to transform the problem of finding a distribution given the marginal distributions into the familiar problem of constructing a Gaussian distribution. However, it is only one class of copulas and describes only that class of dependency amongst random variables. Its adoption largely comes from its ease of use and wishful thinking than solid empirical support that the method does largely capture the real distribution. So it is unlikely that a Nobel Prize would be awarded to this technique.
火爆老头 发表评论于
回复 'XC11' 的评论 : 我记错了,是big short电影
XC11 发表评论于
我只记得big short 里有个中国程序员,wolf of Wall Street 里没记得有中国人