World Cup Forecasting Challenge For Quants 111
databuff writes "As a break from projecting the strength of subprime mortgages, credit default swaps, and other obscure financial instruments, quantitative analysts at Goldman Sachs, JP Morgan, UBS, and Danske Bank have modeled the 2010 FIFA World Cup. Now Kaggle has set up a forecasting competition, allowing statisticians to go head-to-head with these corporate giants. The challenge is to predict how far each country will progress in the tournament."
What's the x-bar (Score:4, Interesting)
For somebody falling to the ground clutching their leg long enough to get a card thrown?
Don't they have other things to do? (Score:3, Interesting)
I mean, the financial market is still a mess and I'd rather have them working on the real issues we face. Or is this a quick glance at what actually always goes on at those companies? Are they nothing more than professional gamblers and don't care about their responsabilities?
For the record... (Score:5, Interesting)
For the record, quants rarely try to predict things in the market. That's left to people who work in econometrics. The main job that a quant does is to price financial instruments in a way that is consistent with the market prices of other liquidly traded assets. I'm being deliberately vague about what precisely is meant by "consistent" because that often depends on the choice of model, but there are also model-free results which require certain asset prices to obey certain relations: put-call parity [wikipedia.org], for example.
Re:Considering how well they did in the past... (Score:5, Interesting)
Worse than that, JP Morgan picked Slovenia to finish fourth. Ahead of teams like Germany and Slovenia.
...that's basically how credit default swaps work.
Stats game... (Score:3, Interesting)
<spam>If you think you're good at this sort of thing, you might want to join the free online prediction game I run [scorefive.com]. There's a US$50k prize up for grabs, if you're better than these guys...</spam>
(Yeah it's spammy, but check my account ID - it's not like I just signed up recently or anything)
Re:For the record... (Score:2, Interesting)
I'm not sure the distinction you are using. Quants predict nothing. They are used to see which companies appear undervalued, and thus would be good values (and not in the sense of a value vs growth company). They are also used to determine which appear overpriced. Then, if you hold shares in an overvalued stock, you sell it and buy the undervalued one. Of course, Google has perpetually be "overvalued" even while rising in value greatly, and many companies with troubles have been "undervalued" while their stock dropped.
But it's true that quants are never used to "predict" anything like a specific target price. They are used as an indicator to the relative valuation of a stock based on numerical data to determine whether it is expected to go up or down in value in the future. But then, that sounds a lot like a prediction, even though everyone working with them will say they don't predict anything. Or, to more plainly state my opinion on the matter and your statement, they don't actually predict anything, but they are often used in order to predict things.
Markov Chain Monte Carlo Online WorldCup Simulator (Score:2, Interesting)
Re:Bias (Score:3, Interesting)
Re:Bias (Score:3, Interesting)
Re:For the record... (Score:1, Interesting)
So quants are well accustomed to considering future events, designing models of the future and identifying critical factors that future outcomes are particularly sensitive to. So by considering future dependencies and what-if scenarios, and then attempting to measuring these outcomes, quants are well qualified to model what may happen in the world cup. Now we know there is major unpredictability in sport--this is particularly true for football (soccer), and more so in a cup-format tournament--so much like their analysis of CDOs and other funky products, don't be surprised to discover they are all wrong!
Just my tuppence worth.