962:
accounting factors. An investment manager might implement this analysis by buying the underpriced stocks, selling the overpriced stocks, or both. Statistically oriented quantitative analysts tend to have more of a reliance on statistics and econometrics, and less of a reliance on sophisticated numerical techniques and object-oriented programming. These quantitative analysts tend to be of the psychology that enjoys trying to find the best approach to modeling data, and can accept that there is no "right answer" until time has passed and we can retrospectively see how the model performed. Both types of quantitative analysts demand a strong knowledge of sophisticated mathematics and computer programming proficiency.
424:
854:. The majority of quantitative analysts have received little formal education in mainstream economics, and often apply a mindset drawn from the physical sciences. Quants use mathematical skills learned from diverse fields such as computer science, physics and engineering. These skills include (but are not limited to) advanced statistics, linear algebra and partial differential equations as well as solutions to these based upon
254:
processes. Merton was motivated by the desire to understand how prices are set in financial markets, which is the classical economics question of "equilibrium", and in later papers he used the machinery of stochastic calculus to begin investigation of this issue. At the same time as Merton's work and
961:
A typical problem for a statistically oriented quantitative analyst would be to develop a model for deciding which stocks are relatively expensive and which stocks are relatively cheap. The model might include a company's book value to price ratio, its trailing earnings to price ratio, and other
504:
Front office work favours a higher speed to quality ratio, with a greater emphasis on solutions to specific problems than detailed modeling. FOQs typically are significantly better paid than those in back office, risk, and model validation. Although highly skilled analysts, FOQs frequently lack
222:
and statistical analysis to successfully win blackjack games. His research was subsequently used during the 1980s and 1990s by investment management firms seeking to generate systematic and consistent returns in the U.S. stock market. The field has grown to incorporate numerous approaches and
949:
A typical problem for a mathematically oriented quantitative analyst would be to develop a model for pricing, hedging, and risk-managing a complex derivative product. These quantitative analysts tend to rely more on numerical analysis than statistics and econometrics. One of the principal
766:
Post crisis, regulators now typically talk directly to the quants in the middle office - such as the model validators - and since profits highly depend on the regulatory infrastructure, model validation has gained in weight and importance with respect to the quants in the front office.
175:'s 1952 doctoral thesis "Portfolio Selection" and its published version was one of the first efforts in economics journals to formally adapt mathematical concepts to finance (mathematics was until then confined to specialized economics journals). Markowitz formalized a notion of
590:
Machine learning models are now capable of identifying complex patterns in financial market data. With the aid of artificial intelligence, investors are increasingly turning to deep learning techniques to forecast and analyze trends in stock and foreign exchange markets. See
783:
Quantitative developers, sometimes called quantitative software engineers, or quantitative engineers, are computer specialists that assist, implement and maintain the quantitative models. They tend to be highly specialised language technicians that bridge the gap between
775:, or to ensure that the positions being held were correctly valued. An MV quantitative analyst would typically earn a fraction of quantitative analysts in other groups with similar length of experience. In the years following the crisis, as mentioned, this has changed.
623:
are sometimes used in non-performance critical tasks. LQs spend more time modeling ensuring the analytics are both efficient and correct, though there is tension between LQs and FOQs on the validity of their results. LQs are required to understand techniques such as
770:
Before the crisis however, the pay structure in all firms was such that MV groups struggle to attract and retain adequate staff, often with talented quantitative analysts leaving at the first opportunity. This gravely impacted corporate ability to manage
750:
In the aftermath of the financial crisis, there surfaced the recognition that quantitative valuation methods were generally too narrow in their approach. An agreed upon fix adopted by numerous financial institutions has been to improve collaboration.
88:
quants" from market maker firms, concerned with derivatives pricing and risk management, the meaning of the term has expanded over time to include those individuals involved in almost any application of mathematical finance, including the
278:
In 1981, Harrison and Pliska used the general theory of continuous-time stochastic processes to put the Black–Scholes model on a solid theoretical basis, and showed how to price numerous other derivative securities. The various
2228:
1047:
analysis and methods are being increasingly employed in portfolio performance and portfolio risk modelling, and as such data science and machine learning Master's graduates are also hired as quantitative analysts.
165:, suggesting "in a more literary form, the conceptual setting for the application of probability to stockmarket operations". It was, however, only in the years 1960-1970 that the "merit of was recognized" as
763:. The MV group might well be seen as a superset of the quantitative operations in a financial institution, since it must deal with new and advanced models and trading techniques from across the firm.
501:
quantitative analyst and a quantitative trader is increasingly blurred, and it is now difficult to enter trading as a profession without at least some quantitative analysis education.
759:
Model validation (MV) takes the models and methods developed by front office, library, and modeling quantitative analysts and determines their validity and correctness; see
552:. Some, such as FQ, AQR or Barclays, rely almost exclusively on quantitative strategies while others, such as PIMCO, Blackrock or Citadel use a mix of quantitative and
2007:
954:. The mindset, however, is to prefer a deterministically "correct" answer, as once there is agreement on input values and market variable dynamics, there is only
73:
in other industries. The process usually consists of searching vast databases for patterns, such as correlations among liquid assets or price-movement patterns (
275:, i.e., the right to buy one share of a given stock at a specified price and time. Such options are frequently purchased by investors as a risk-hedging device.
2471:
339:
helped to both make the role of a quantitative analyst better known outside of finance, and to popularize the abbreviation "quant" for a quantitative analyst.
592:
2064:
2091:"An Overview of Machine Learning, Deep Learning, and Reinforcement Learning-Based Techniques in Quantitative Finance: Recent Progress and Challenges"
1931:
McKean, H. P. Jr. (1965). "Appendix (to
Samuelson): a free boundary problem for the heat equation arising from a problem of mathematical economics".
686:
This area has grown in importance in recent years, as the credit crisis exposed holes in the mechanisms used to ensure that positions were correctly
493:, quantitative analysts work to determine prices, manage risk, and identify profitable opportunities. Historically this was a distinct activity from
603:
Major firms invest large sums in an attempt to produce standard methods of evaluating prices and risk. These differ from front office tools in that
2162:
1095:
445:
505:
software engineering experience or formal training, and bound by time constraints and business pressures, tactical solutions are often adopted.
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and quantitative analysts. The term is also sometimes used outside the finance industry to refer to those working at the intersection of
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2372:
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268:
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for any given security (which can be demonstrated, albeit often inefficiently, through a large volume of Monte Carlo simulations).
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whose variance is minimal among all portfolios with a given mean return. Thus, although the language of finance now involves
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1999:
17:
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and Robert
Litterman: Global Portfolio Optimization, Financial Analysts Journal, September 1992, pp. 28–43
299:. Similarly, and in parallel, models were developed for various other underpinnings and applications, including
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The
Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
407:
228:
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Typically, a quantitative analyst will also need extensive skills in computer programming, most commonly
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232:
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for common stocks which allowed him to quantify the concept of "diversification" in a market. He showed
2715:
2709:
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The demand for quantitative skills has led to the creation of specialized
Masters and PhD courses in
975:
677:
355:
1601:, "Pricing interest-rate derivative securities", The Review of Financial Studies, Vol 3, No. 4 (1990)
1004:". Quantitative analysis is a then major source of employment for those with mathematics and physics
410:, necessitating technical changes to the latter framework, while the underlying logic is unaffected).
1727:
1630:
1557:
1449:
711:
629:
328:
296:
210:(1965–1977). Considered the "Father of Quantitative Investing", Thorp sought to predict and simulate
579:, both based in New York. Prediction hired scientists and computer programmers from the neighboring
3104:
2779:
2334:
1594:
1524:
1467:
1205:
and hedging: involves software development, advanced numerical techniques, and stochastic calculus.
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1024:
1012:
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to create sophisticated statistical models using "industrial-strength computers" in order to " the
572:
513:
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347:
105:
78:
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models; (ii) The risk neutral value is adjusted for the impact of counter-party credit risk via a
3058:
2919:
2814:
2697:
1756:
Derman, E. (2004). My life as a quant: reflections on physics and finance. John Wiley & Sons.
1546:
1483:
1289:
971:
933:
719:
703:
438:
264:
1878:
1496:
Factor-Related and
Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency
2946:
1598:
1507:
Autoregressive
Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation,
1197:
1123:
889:
883:
387:
312:
214:, a card-game he played in Las Vegas casinos. He was able to create a system, known broadly as
195:
113:
70:
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1654:
1520:
1389:
1384:
1265:
The
Movements of Interest Rates. Bond Yields and Stock Prices in the United States since 1856
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1052:
937:
793:
653:
568:
395:
375:
316:
98:
66:
46:
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Because of their backgrounds, quantitative analysts draw from various forms of mathematics:
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58:
34:
1110:) increasingly includes a significant technical component. Likewise, masters programs in
8:
3149:
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3018:
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2637:
2610:
1880:
The Quants: How a New Breed of Math
Whizzes Conquered Wall Street and Nearly Destroyed It
1717:
1516:
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1001:
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the mean return and variance for a given portfolio and argued that investors should hold
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1968:
1951:
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1305:
1277:, "Stochastic Integral", Proceedings of the Imperial Academy, 20(8), pp. 519–524
1193:
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324:
271:. It provided a solution for a practical problem, that of finding a fair price for a
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851:
727:
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191:, management of risk in a quantifiable manner underlies much of the modern theory.
150:
2371:, February 1, 2010, including excerpt "Chapter 2: The Godfather: Ed Thorp". Also,
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2145:
1746:
https://web.archive.org/web/20060430115935/http://siam.org/about/pdf/brochure.pdf
1502:
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2342:: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
2318:
2136:
1661:
1580:
1232:
839:
332:
315:. Quants are thus involved in pricing and hedging a wide range of securities –
239:
158:
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2617:
2574:
2561:
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2116:
2042:
1619:
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1332:
Capital asset prices: A theory of market equilibrium under conditions of risk
1309:
1268:
1237:
921:
917:
699:
284:
260:
256:
215:
69:
and other related finance occupations. The occupation is similar to those in
1926:
1274:
681:
3209:
3129:
3099:
3089:
2909:
2883:
2632:
2622:
2605:
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2507:
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1922:
1636:
1435:
1341:
1040:
847:
735:
657:
509:
498:
351:
350:
were incorporated into the modelling, previously performed in an entirely "
308:
292:
104:
Some of the larger investment managers using quantitative analysis include
2089:
Sahu, Santosh Kumar; Mokhade, Anil; Bokde, Neeraj
Dhanraj (January 2023).
1952:"Martingales and Stochastic Integrals in the Theory of Continuous Trading"
640:
Often the highest paid form of Quant, ATQs make use of methods taken from
3214:
3194:
3174:
3169:
3114:
3003:
2935:
2030:
1639:
1585:
A One-Factor Model of
Interest Rates and Its Application to Treasury Bond
1429:
1365:
1212:
1032:
997:
903:
827:
661:
645:
162:
2107:
2090:
1566:
Bond pricing and the term structure of interest rates: a new methodology
571:
to secure investment returns, along with three other funds at the time,
3199:
3119:
2796:
2659:
2339:
1627:
823:
772:
760:
521:
2424:
Quantitative Work Alliance for Finance Education and Wisdom (QWAFAFEW)
559:
One of the first quantitative investment funds to launch was based in
2835:
2830:
2745:
2664:
2446:
at Stack Exchange – question and answer site for quantitative finance
2368:
1744:
See Definition in the Society for Applied and Industrial Mathematics
1649:
2002 – Patrick Hagan, Deep Kumar, Andrew Lesniewski, Diana Woodward,
1314:
The Cost of Capital, Corporation Finance and the Theory of Investment
1091:
593:
Applications of artificial intelligence § Trading and investment
517:
211:
85:
2449:
508:
Increasingly, quants are attached to specific desks. Two cases are:
423:
3013:
2649:
831:
161:
had posited already in 1863 that stock prices can be modelled as a
90:
2857:
2443:
993:
742:, assessment of the models used by the bank's various divisions.
57:). Quants tend to specialize in specific areas which may include
42:
2397:
Analysing Quantitative Data for Business and Management Students
696:
Tail risk § Role of the global financial crisis (2007-2008)
2600:
2289:"Finance and Stochastics – incl. Option to publish open access"
1904:
Samuelson, P. A. (1965). "Rational Theory of Warrant Pricing".
1028:
146:
2375:
from "Chapter 10: The August Factor", in the January 23, 2010
2246:
2523:
1510:
1016:
608:
604:
391:
362:- to some extent, equity-option prices have incorporated the
126:
Mathematical finance § Derivatives pricing: the Q world
93:. Applied quantitative analysis is commonly associated with
2308:
Capital Ideas: The Improbable Origins of Modern Wall Street
1211:: involves a lot of time series analysis, calibration, and
1083:
are becoming popular with students and with employers. See
691:
635:
2413:
1543:
Efficient analytic approximation of American option values
799:
394:
as previously, and, relatedly, quants must model under a "
2438:
1090:
This has, in parallel, led to a resurgence in demand for
1005:
383:
149:"Theory of Speculation", which provided a model to price
1129:
2429:
Professional Risk Managers Industry Association (PRMIA)
2423:
632:, as well as the nature of the products being modeled.
516:
as well as (minimizing) the capital requirements under
2414:
Q-Group Institute for Quantitative Research in Finance
2179:"Machine Learning in Finance: Theory and Applications"
1666:
My Life as a Quant: Reflections on Physics and Finance
390:
curve is used for the "risk free rate", as opposed to
358:: (i) Option pricing and hedging inhere the relevant
27:
Use of mathematical and statistical methods in finance
1454:
An equilibrium characterisation of the term structure
531:
2408:
1782:
1780:
718:- while this is supplemented with various forms of
567:. By the late-1990s, Prediction Company began using
484:
2428:
2065:"Millennium Shuts Down Pioneering Quant Hedge Fund"
2433:
1925:the co-founder of stochastic calculus (along with
84:Although the original quantitative analysts were "
2434:International Association of Quantitative Finance
2418:
2205:"A Machine-Learning View of Quantitative Finance"
1950:Harrison, J. Michael; Pliska, Stanley R. (1981).
1777:
1126:may offer a quantitative finance specialization.
3242:
2163:International Association of Financial Engineers
2088:
1529:A theory of the term structure of interest rates
1404:The Pricing of Options and Corporate Liabilities
598:
544:Outline of finance § Quantitative investing
354:world", entailing three major developments; see
225:Outline of finance § Quantitative investing
2223:
2221:
1845:"Why Edward Thorp Owns Only Berkshire Hathaway"
1949:
1136:Society for Industrial and Applied Mathematics
980:Financial modeling § Quantitative finance
950:mathematical tools of quantitative finance is
810:Financial modeling § Quantitative finance
291:(1987), relatedly allowed for an extension to
101:, algorithmic trading and electronic trading.
2465:
1803:Markowitz, H. (1952). "Portfolio Selection".
1085:Master of Quantitative Finance § History
818:Financial economics § Derivative pricing
607:is very rare, with most development being in
548:Quantitative analysis is used extensively by
130:Financial economics § Derivative pricing
2218:
814:Outline of finance § Mathematical tools
250:promoted continuous stochastic calculus and
233:Financial economics § Portfolio theory
97:which includes a variety of methods such as
1956:Stochastic Processes and Their Applications
452:. Unsourced material may be challenged and
2472:
2458:
1997:
382:, or CVA, as well as various of the other
198:was first introduced from the research of
2132:
2130:
2128:
2126:
2106:
2062:
1967:
1903:
1876:
1802:
778:
678:Investment banking § Risk management
563:and began trading in 1991 under the name
472:Learn how and when to remove this message
327:– additional to classic derivatives; see
269:Nobel Memorial Prize in Economic Sciences
133:
2063:Beilselki, Vincent (September 6, 2018).
1498:, Journal of Finance, May 1982 V. 37: #2
1300:A New Interpretation of Information Rate
674:Financial risk management § Banking
636:Algorithmic trading quantitative analyst
2158:
2156:
2154:
1646:, 1996, RiskMetrics model and framework
1613:Brownian motion and stochastic calculus
1509:Seminal paper in ARCH family of models
1494:1982 – Barr Rosenberg and Andrew Rudd,
1243:
1063:(as well as in specific topics such as
800:Mathematical and statistical approaches
370:- and banks then apply "surface aware"
356:Valuation of options § Post crisis
14:
3243:
2123:
1982:
1930:
1545:. Journal of Finance. 42 (2): 301–20.
1444:Monte Carlo methods for option pricing
988:Quantitative analysts often come from
984:Financial analyst § Qualification
976:Financial engineering § Education
904:spot and forward interest rates curves
2479:
2453:
2247:"The Journal of Portfolio Management"
2028:
1998:Rothschild, John (November 7, 1999).
1476:Option pricing: A simplified approach
1130:Academic and technical field journals
861:Commonly used numerical methods are:
739:
2229:"Master's of the Financial Universe"
2151:
1872:
1870:
1868:
1866:
1864:
1838:
1836:
450:adding citations to reliable sources
417:
246:into the study of finance. In 1969,
1146:The Journal of Portfolio Management
972:Outline of finance § Education
754:
698:. A core technique continues to be
24:
2297:
1819:10.1111/j.1540-6261.1952.tb01525.x
1653:, Wilmott Magazine, January 2002,
1426:The pricing of commodity contracts
902:– used to interpolate values from
886:is also common in risk management;
667:
532:Quantitative investment management
196:quantitative investment management
95:quantitative investment management
25:
3272:
2419:CQA—Chicago Quantitative Alliance
2402:
1861:
1833:
1786:L. Carraro and P. Crépel (N.D.).
1537:1987 – Giovanni Barone-Adesi and
1490:Options as a Strategic Investment
1412:Theory of Rational Option Pricing
892:– used to estimate parameters in
485:Front office quantitative analyst
49:. Those working in the field are
2728:Electronic communication network
2409:Society of Quantitative Analysts
2386:(Great Minds in Finance Series)
2010:from the original on Jun 6, 2021
1181:
1140:Journal on Financial Mathematics
1000:backgrounds, learning finance "
732:direct analysis of the positions
422:
208:University of California, Irvine
2281:
2263:
2239:
2197:
2171:
2082:
2056:
2022:
1991:
1976:
1943:
1877:Patterson, Scott (2010-02-02).
1843:Lam, Leslie P. Norton and Dan.
1842:
1440:Options: A Monte Carlo Approach
1081:Master of Financial Engineering
1077:Master of Computational Finance
1073:Master of Financial Mathematics
894:statistical regression analysis
850:. Some on the buy side may use
287:in 1977), and the more general
2212:appliededucationpsychology.org
1916:
1897:
1796:
1767:"Top Quantitative Hedge Funds"
1759:
1750:
1738:
1644:RiskMetrics Technical Document
1607:1991 – Ioannis Karatzas &
1480:Binomial options pricing model
1224:Asset and liability management
1102:. Similarly, the more general
1069:Master of Quantitative Finance
880:partial differential equations
870:partial differential equations
836:partial differential equations
581:Los Alamos National Laboratory
528:of client specific solutions.
402:, with replacements including
13:
1:
2722:Multilateral trading facility
2365:Patterson and Thorp interview
2344:. Crown Business, 352 pages.
2029:Kelly, Kevin (July 1, 1994).
1733:
1678:List of quantitative analysts
1570:Heath–Jarrow–Morton framework
1488:1980 – Lawrence G. McMillan,
1108:Master of Financial Economics
944:
745:
599:Library quantitative analysis
386:; (iii) For discounting, the
344:financial crisis of 2007–2008
267:, which was awarded the 1997
202:, a mathematics professor at
3145:Returns-based style analysis
2941:Post-modern portfolio theory
2847:Security characteristic line
1969:10.1016/0304-4149(81)90026-0
1933:Industrial Management Review
1906:Industrial Management Review
965:
938:interest rate curve-building
682:Bank § Capital and risk
229:Post-modern portfolio theory
7:
2899:Efficient-market hypothesis
2803:Capital asset pricing model
2740:Straight-through processing
2312:Bernstein, Peter L. (2007)
1792:Encyclopedia of Mathematics
1698:Financial signal processing
1671:
1350:Capital asset pricing model
1336:Capital asset pricing model
1094:qualifications, as well as
512:, responsible for managing
497:but the boundary between a
380:credit valuation adjustment
346:, considerations regarding
204:New Mexico State University
177:mean return and covariances
134:§ Seminal publications
10:
3277:
2716:Alternative Trading System
2141:"Finding a job in finance"
1929:) wrote the appendix: see
969:
803:
671:
541:
535:
526:the design and manufacture
255:with Merton's assistance,
123:
119:
2991:
2866:
2765:
2685:
2593:
2560:
2521:
2487:
1728:Alpha generation platform
1318:Modigliani–Miller theorem
1255:Théorie de la spéculation
1096:commercial certifications
712:Conditional value at risk
630:finite difference methods
400:LIBOR is being phased out
329:contingent claim analysis
297:interest rate derivatives
2780:Arbitrage pricing theory
2000:"The Gnomes of Santa Fe"
1983:Derman, Emanuel (2004).
1533:Cox–Ingersoll–Ross model
1116:computational statistics
866:Finite difference method
573:Renaissance Technologies
413:
348:counterparty credit risk
106:Renaissance Technologies
61:structuring or pricing,
3059:Initial public offering
2920:Modern portfolio theory
2815:Dividend discount model
2698:List of stock exchanges
1547:Barone-Adesi and Whaley
1290:Modern portfolio theory
1171:Finance and Stochastics
934:internal rate of return
710:approaches, as well as
169:theory was developed.
2947:Random walk hypothesis
2314:Capital Ideas Evolving
2271:"Quantitative Finance"
2227:Lindsey Gerdes (2009)
2031:"Cracking Wall Street"
1987:. John Wiley and Sons.
1693:Black–Scholes equation
1589:Black–Derman–Toy model
1198:Portfolio optimization
1124:industrial engineering
1067:). In particular, the
890:Ordinary least squares
884:Monte Carlo simulation
779:Quantitative developer
313:employee stock options
114:AQR Capital Management
71:industrial mathematics
3085:Market capitalization
2894:Dollar cost averaging
1655:SABR volatility model
1631:Black–Litterman model
1521:Jonathan E. Ingersoll
1390:Fixed income analysis
1385:Inside the Yield Book
1065:financial reinsurance
1061:computational finance
1053:financial engineering
878:– Also used to solve
804:Further information:
794:quantitative research
672:Further information:
654:market microstructure
569:statistical arbitrage
536:Further information:
396:multi-curve framework
376:stochastic volatility
185:only those portfolios
141:started in 1900 with
124:Further information:
99:statistical arbitrage
67:investment management
51:quantitative analysts
47:investment management
31:Quantitative analysis
3256:Mathematical finance
2905:Fundamental analysis
2889:Contrarian investing
2852:Security market line
2757:Liquidity aggregator
2734:Direct market access
2645:Quantitative analyst
2444:Quantitative Finance
2361:Amazon page for book
2275:Taylor & Francis
1723:Mathematical finance
1713:Fundamental analysis
1564:, and Andrew Morton
1244:Seminal publications
1194:Portfolio management
1176:Mathematical Finance
1152:Quantitative Finance
1057:mathematical finance
900:Spline interpolation
844:discrete mathematics
806:Mathematical finance
790:software engineering
716:Extreme value theory
561:Santa Fe, New Mexico
446:improve this section
273:European call option
139:Quantitative finance
110:D. E. Shaw & Co.
18:Quantitative analyst
3261:Valuation (finance)
3150:Reverse stock split
3095:Market manipulation
3019:Dual-listed company
2879:Algorithmic trading
2809:Capital market line
2611:Inter-dealer broker
2382:Read, Colin (2012)
2377:Wall Street Journal
2335:Patterson, Scott D.
2304:Bernstein, Peter L.
2108:10.3390/app13031956
2004:archive.nytimes.com
1718:Financial economics
1651:Managing Smile Risk
1549:method for pricing
1464:John Carrington Cox
1380:Martin L. Leibowitz
1358:and Sheen Kassouf,
1286:Portfolio Selection
1203:Derivatives pricing
1120:applied mathematics
1112:operations research
990:applied mathematics
952:stochastic calculus
932:of functions (e.g.
924:– used to find the
626:Monte Carlo methods
577:D. E. Shaw & Co
554:fundamental methods
265:Black–Scholes model
244:stochastic calculus
155:normal distribution
39:statistical methods
3251:Financial analysts
3190:Stock market index
3029:Efficient frontier
2968:Technical analysis
2926:Momentum investing
2748:(private exchange)
2638:Proprietary trader
2580:Shares outstanding
2570:Authorised capital
2439:London Quant Group
2384:Rise of the Quants
2323:My Life as a Quant
2251:jpm.iijournals.com
1985:My Life as a Quant
1806:Journal of Finance
1708:Technical analysis
1688:Financial modeling
1572:for interest rates
1382:and Sydney Homer,
1267:, pp. 44–53,
1261:Frederick Macaulay
1229:Structured finance
876:Monte Carlo method
856:numerical analysis
786:software engineers
724:expected shortfall
565:Prediction Company
360:volatility surface
337:My Life as a Quant
305:exotic derivatives
301:credit derivatives
220:probability theory
3238:
3237:
3039:Flight-to-quality
2791:Buffett indicator
2481:Financial markets
2357:978-0-307-45337-2
2183:markets media.com
1890:978-0-307-45339-6
1703:Financial analyst
1683:Quantitative fund
1583:and William Toy,
1374:Theory of Finance
1328:William F. Sharpe
1322:Corporate finance
1306:Franco Modigliani
1104:Master of Finance
956:one correct price
930:maxima and minima
908:volatility smiles
702:- applying both
642:signal processing
538:Quantitative fund
514:counterparty risk
491:sales and trading
482:
481:
474:
281:short-rate models
16:(Redirected from
3268:
3155:Share repurchase
2867:Trading theories
2752:Crossing network
2710:Over-the-counter
2547:Restricted stock
2503:Secondary market
2474:
2467:
2460:
2451:
2450:
2293:
2292:
2285:
2279:
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2267:
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2258:
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2243:
2237:
2225:
2216:
2215:
2209:
2201:
2195:
2194:
2192:
2190:
2175:
2169:
2160:
2149:
2134:
2121:
2120:
2110:
2095:Applied Sciences
2086:
2080:
2079:
2077:
2075:
2060:
2054:
2053:
2051:
2049:
2026:
2020:
2019:
2017:
2015:
1995:
1989:
1988:
1980:
1974:
1973:
1971:
1947:
1941:
1940:
1920:
1914:
1913:
1901:
1895:
1894:
1874:
1859:
1858:
1856:
1855:
1840:
1831:
1830:
1800:
1794:
1788:Bachelier, Louis
1784:
1775:
1774:
1763:
1757:
1754:
1748:
1742:
1609:Steven E. Shreve
1603:Hull-White model
1562:Robert A. Jarrow
1551:American options
1408:Robert C. Merton
1188:Trading strategy
1165:Wilmott Magazine
1045:machine learning
868:– used to solve
852:machine learning
834:centered around
755:Model validation
728:economic capital
477:
470:
466:
463:
457:
426:
418:
364:volatility smile
283:(beginning with
223:techniques; see
206:(1961–1965) and
21:
3276:
3275:
3271:
3270:
3269:
3267:
3266:
3265:
3241:
3240:
3239:
3234:
3225:Voting interest
3135:Public offering
3070:Mandatory offer
3044:Government bond
3024:DuPont analysis
2987:
2983:Value investing
2978:Value averaging
2973:Trend following
2958:Style investing
2953:Sector rotation
2868:
2862:
2841:Net asset value
2767:Stock valuation
2761:
2681:
2589:
2556:
2542:Preferred stock
2517:
2483:
2478:
2405:
2319:Derman, Emanuel
2300:
2298:Further reading
2287:
2286:
2282:
2269:
2268:
2264:
2255:
2253:
2245:
2244:
2240:
2226:
2219:
2207:
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2198:
2188:
2186:
2185:. 22 April 2013
2177:
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2087:
2083:
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2071:
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2047:
2045:
2027:
2023:
2013:
2011:
1996:
1992:
1981:
1977:
1948:
1944:
1921:
1917:
1902:
1898:
1891:
1875:
1862:
1853:
1851:
1841:
1834:
1801:
1797:
1785:
1778:
1771:Street of Walls
1765:
1764:
1760:
1755:
1751:
1743:
1739:
1736:
1674:
1472:Mark Rubinstein
1450:OldĹ™ich VašĂÄŤek
1360:Beat the Market
1356:Edward O. Thorp
1282:Harry Markowitz
1251:Louis Bachelier
1246:
1219:Credit analysis
1209:Risk management
1184:
1132:
986:
968:
947:
820:
802:
781:
757:
748:
726:methodologies,
684:
670:
668:Risk management
650:Kelly criterion
638:
601:
546:
540:
534:
510:XVA specialists
487:
478:
467:
461:
458:
443:
427:
416:
252:continuous-time
173:Harry Markowitz
167:options pricing
143:Louis Bachelier
136:
122:
75:trend following
63:risk management
28:
23:
22:
15:
12:
11:
5:
3274:
3264:
3263:
3258:
3253:
3236:
3235:
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3227:
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3212:
3207:
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3197:
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3187:
3185:Stock exchange
3182:
3180:Stock dilution
3177:
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3157:
3152:
3147:
3142:
3137:
3132:
3127:
3122:
3117:
3112:
3107:
3105:Mean reversion
3102:
3097:
3092:
3087:
3082:
3080:Market anomaly
3077:
3072:
3067:
3062:
3056:
3051:
3046:
3041:
3036:
3031:
3026:
3021:
3016:
3011:
3006:
3001:
2999:Bid–ask spread
2995:
2993:
2989:
2988:
2986:
2985:
2980:
2975:
2970:
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2955:
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2861:
2860:
2855:
2849:
2844:
2838:
2833:
2828:
2826:Earnings yield
2823:
2821:Dividend yield
2818:
2812:
2806:
2800:
2794:
2788:
2783:
2777:
2771:
2769:
2763:
2762:
2760:
2759:
2754:
2749:
2743:
2737:
2731:
2725:
2719:
2713:
2712:(off-exchange)
2707:
2706:
2705:
2700:
2689:
2687:
2686:Trading venues
2683:
2682:
2680:
2679:
2674:
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2672:
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2657:
2652:
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2642:
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2595:
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2587:
2585:Treasury stock
2582:
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2572:
2566:
2564:
2558:
2557:
2555:
2554:
2552:Tracking stock
2549:
2544:
2539:
2534:
2528:
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2519:
2518:
2516:
2515:
2510:
2505:
2500:
2498:Primary market
2494:
2492:
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2484:
2477:
2476:
2469:
2462:
2454:
2448:
2447:
2441:
2436:
2431:
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2416:
2411:
2404:
2403:External links
2401:
2400:
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2380:
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2316:
2310:
2299:
2296:
2295:
2294:
2280:
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2238:
2217:
2196:
2170:
2150:
2137:Emanuel Derman
2122:
2081:
2055:
2021:
1990:
1975:
1962:(3): 215–260.
1942:
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1662:Emanuel Derman
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1581:Emanuel Derman
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1233:securitization
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1128:
967:
964:
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942:
941:
922:Secant methods
911:
897:
887:
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840:linear algebra
801:
798:
780:
777:
756:
753:
747:
744:
704:the parametric
669:
666:
637:
634:
600:
597:
550:asset managers
533:
530:
524:, tasked with
486:
483:
480:
479:
430:
428:
421:
415:
412:
333:Emanuel Derman
263:developed the
240:Paul Samuelson
181:how to compute
159:Jules Regnault
121:
118:
33:is the use of
26:
9:
6:
4:
3:
2:
3273:
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3160:Short selling
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3049:Greenspan put
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3035:
3034:Financial law
3032:
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3009:Cross listing
3007:
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2997:
2996:
2994:
2992:Related terms
2990:
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2964:
2963:Swing trading
2961:
2959:
2956:
2954:
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2948:
2945:
2942:
2939:
2937:
2934:
2932:
2931:Mosaic theory
2929:
2927:
2924:
2921:
2918:
2916:
2915:Market timing
2913:
2911:
2908:
2906:
2903:
2900:
2897:
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2703:Trading hours
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2618:Broker-dealer
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2603:
2602:
2599:
2598:
2596:
2592:
2586:
2583:
2581:
2578:
2576:
2575:Issued shares
2573:
2571:
2568:
2567:
2565:
2563:
2562:Share capital
2559:
2553:
2550:
2548:
2545:
2543:
2540:
2538:
2535:
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2529:
2527:
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2520:
2514:
2513:Fourth market
2511:
2509:
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2358:
2354:
2351:
2350:0-307-45337-5
2347:
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2336:
2333:
2331:
2330:0-470-19273-9
2327:
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2236:
2235:
2230:
2224:
2222:
2213:
2206:
2200:
2184:
2180:
2174:
2168:
2167:"Student FAQ"
2164:
2159:
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2155:
2148:
2147:
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2131:
2129:
2127:
2118:
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2100:
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2092:
2085:
2070:
2069:Bloomberg.com
2066:
2059:
2044:
2040:
2036:
2032:
2025:
2009:
2005:
2001:
1994:
1986:
1979:
1970:
1965:
1961:
1957:
1953:
1946:
1938:
1934:
1928:
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1919:
1911:
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1900:
1892:
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1656:
1652:
1648:
1645:
1641:
1638:
1634:
1632:
1629:
1625:
1621:
1620:Fischer Black
1617:
1614:
1610:
1606:
1604:
1600:
1596:
1592:
1590:
1586:
1582:
1578:
1577:Fischer Black
1574:
1571:
1567:
1563:
1559:
1555:
1552:
1548:
1544:
1540:
1539:Robert Whaley
1536:
1534:
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1526:
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1518:
1514:
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1504:
1500:
1497:
1493:
1491:
1487:
1485:
1484:Lattice model
1481:
1477:
1473:
1469:
1465:
1461:
1459:
1458:Vasicek model
1455:
1451:
1447:
1445:
1441:
1437:
1433:
1431:
1427:
1423:
1422:Fischer Black
1419:
1417:
1416:Black–Scholes
1413:
1409:
1405:
1401:
1400:Myron Scholes
1397:
1396:Fischer Black
1393:
1391:
1387:
1386:
1381:
1377:
1375:
1371:
1370:Merton Miller
1367:
1363:
1361:
1357:
1353:
1351:
1347:
1343:
1339:
1337:
1333:
1329:
1325:
1323:
1319:
1315:
1311:
1310:Merton Miller
1307:
1303:
1301:
1297:
1293:
1291:
1287:
1283:
1279:
1276:
1272:
1270:
1269:Bond duration
1266:
1262:
1258:
1256:
1252:
1248:
1247:
1239:
1238:Asset pricing
1236:
1234:
1230:
1227:
1225:
1222:
1220:
1217:
1214:
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586:
585:Supercollider
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334:
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306:
302:
298:
294:
290:
289:HJM Framework
286:
282:
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274:
270:
266:
262:
261:Myron Scholes
258:
257:Fischer Black
253:
249:
248:Robert Merton
245:
241:
236:
234:
230:
226:
221:
218:, which used
217:
216:card counting
213:
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3210:Tender offer
3130:Public float
3100:Market trend
3090:Market depth
2910:Growth stock
2884:Buy and hold
2793:(Cap-to-GDP)
2633:Floor trader
2623:Market maker
2606:Floor broker
2594:Participants
2537:Golden share
2532:Common stock
2508:Third market
2383:
2376:
2338:
2322:
2313:
2307:
2283:
2274:
2265:
2254:. Retrieved
2250:
2241:
2234:Businessweek
2232:
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2182:
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2144:
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2094:
2084:
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2068:
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2012:. Retrieved
2003:
1993:
1984:
1978:
1959:
1955:
1945:
1936:
1932:
1923:Henry McKean
1918:
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1899:
1879:
1852:. Retrieved
1848:
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1810:
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1798:
1770:
1761:
1752:
1740:
1665:
1650:
1612:
1584:
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1528:
1525:Stephen Ross
1506:
1503:Robert Engle
1495:
1489:
1475:
1468:Stephen Ross
1453:
1439:
1436:Phelim Boyle
1425:
1411:
1403:
1383:
1373:
1359:
1345:
1342:John Lintner
1331:
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444:Please help
432:
352:risk neutral
341:
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317:asset-backed
309:real options
293:fixed income
277:
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200:Edward Thorp
193:
189:ItĂ´ calculus
171:
145:'s doctoral
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30:
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3215:Uptick rule
3195:Stock split
3175:Squeeze-out
3170:Speculation
3115:Open outcry
3004:Block trade
2936:Pairs trade
2101:(3): 1956.
1939:(2): 32–39.
1912:(2): 13–32.
1849:barrons.com
1640:RiskMetrics
1637:J.P. Morgan
1558:David Heath
1517:John C. Cox
1430:Black model
1366:Eugene Fama
1213:backtesting
1190:development
1033:Mathematica
1006:PhD degrees
998:engineering
828:probability
720:stress test
664:analysis.
662:time series
648:, gambling
646:game theory
522:structurers
242:introduced
163:random walk
3245:Categories
3220:Volatility
3200:Stock swap
3120:Order book
2871:strategies
2797:Book value
2665:Arbitrager
2660:Speculator
2392:023027417X
2373:an excerpt
2340:The Quants
2256:2019-02-02
1927:Kiyosi ItĂ´
1854:2021-06-06
1734:References
1599:Alan White
1296:John Kelly
1275:Kiyosi ItĂ´
1002:on the job
970:See also:
945:Techniques
824:statistics
773:model risk
761:model risk
746:Innovation
736:desk level
730:analysis,
542:See also:
368:1987 crash
366:since the
342:After the
321:government
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2836:Fed model
2831:EV/EBITDA
2746:Dark pool
2677:Regulator
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2488:Types of
2369:Fresh Air
2117:2076-3417
2043:1059-1028
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1595:John Hull
1092:actuarial
966:Education
914:Bisection
611:, though
518:Basel III
462:June 2010
433:does not
325:corporate
238:In 1965,
212:blackjack
86:sell side
79:reversion
3165:Slippage
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3110:Momentum
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2693:Exchange
2650:Investor
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151:options
120:History
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3061:(IPO)
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2854:(SML)
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