Radical Complexity
arXiv:2103.09692 · doi:10.3390/e23121676
Abstract
This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; crowded trades; high-frequency trading & market stability; and "radical complexity" & scenario based (macro)economics. Some open questions and research directions are briefly discussed.
10 pages, edited columns published in Risk.net