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dc.contributor.authorMueller, Mark
dc.contributor.authorLo, Andrew W
dc.date.accessioned2011-10-17T20:02:09Z
dc.date.available2011-10-17T20:02:09Z
dc.date.issued2010-04
dc.date.submitted2010-03
dc.identifier.issn1545-9144
dc.identifier.issn1545-9152
dc.identifier.urihttp://hdl.handle.net/1721.1/66315
dc.descriptionCannot access final published version onlineen_US
dc.description.abstractThe quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems—and financial markets in particular—that are as predictive as those in physics. While this perspective has led to a number of important breakthroughs in economics, “physics envy” has also created a false sense of mathematical precision in some cases. We speculate on the origins of physics envy, and then describe an alternate perspective of economic behavior based on a new taxonomy of uncertainty. We illustrate the relevance of this taxonomy with two concrete examples: the classical harmonic oscillator with some new twists that make physics look more like economics, and a quantitative equity market-neutral strategy. We conclude by offering a new interpretation of tail events, proposing an “uncertainty checklist” with which our taxonomy can be implemented, and considering the role that quants played in the current financial crisis.en_US
dc.description.sponsorshipAlphaSimplex Group, LLCen_US
dc.description.sponsorshipMassachusetts Institute of Technology. Laboratory for Financial Engineeringen_US
dc.language.isoen_US
dc.publisherStallion Press for the Journal of Investment Managementen_US
dc.relation.isversionofhttps://www.joim.com/abstract.asp?IsArticleArchived=1&ArtID=354en_US
dc.rightsCreative Commons Attribution-Noncommercial-Share Alike 3.0en_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/en_US
dc.sourceLoen_US
dc.titleWARNING: Physics Envy May Be Hazardous To Your Wealthen_US
dc.typeArticleen_US
dc.identifier.citationLo, Andrew W. and Mark T. Mueller. "WARNING: Physics Envy May Be Hazardous To Your Wealth." Journal of Investment Management, 8.2 (2010).en_US
dc.contributor.departmentMassachusetts Institute of Technology. Center for Theoretical Physicsen_US
dc.contributor.departmentMassachusetts Institute of Technology. Laboratory for Nuclear Scienceen_US
dc.contributor.departmentSloan School of Managementen_US
dc.contributor.approverLo, Andrew W.
dc.contributor.mitauthorLo, Andrew W.
dc.contributor.mitauthorMueller, Mark
dc.relation.journalJournal of Investment Managementen_US
dc.eprint.versionAuthor's final manuscripten_US
dc.type.urihttp://purl.org/eprint/type/JournalArticleen_US
eprint.statushttp://purl.org/eprint/status/PeerRevieweden_US
dspace.orderedauthorsLo, Andrew W.; Mueller, Mark T.
dc.identifier.orcidhttps://orcid.org/0000-0003-0245-3364
dc.identifier.orcidhttps://orcid.org/0000-0003-2944-7773
mit.licenseOPEN_ACCESS_POLICYen_US
mit.metadata.statusComplete


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