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Secrecy on Wall Street (Risk, August 2004)


A reflexive secrecy appears to have taken hold of bank quantitative research. Emanuel Derman remembers a time when quants were more likely to share their thinking for the greater good of the industry, and wonders whether firms who keep their models a secret really gain any benefit.

During the past year, I’ve occasionally invited quantitative acquaintances from Wall Street firms to speak to the students in my class about the models used by practitioners. Though some quants agree to give a talk, many tell me they aren’t allowed to or, worse, that they would be embarrassed to even ask for permission to do so. More and more, I’ve noticed a strong pressure on people in research to discourage or even prevent them from communicating with the outside world. Hardly anyone talks about this; it’s

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