CHRONOLOGY: History of quantitative analysis
(Reuters) - Some key dates in the history of quantitative analysis:
1952: Harry Markowitz, an economist at the University of Chicago, develops the Modern Portfolio Theory, which holds that diversification can reduce risk.
1964: William Sharpe publishes a paper outlining the Capital Asset Pricing Model, which separates systemic risk, which affects all securities, from asset-specific risk.
1973: Robert Merton publishes paper setting framework for options pricing model, later called "Black Scholes."
1987: Some blame computerized "program trading" for exacerbating the severity and speed of the market's fall during the October 19 crash.
1994: Hedge fund Askin Capital Management loses $420 million on bad bets on collateralized mortgage obligations (CMOs).
Carnegie-Mellon University launches Master's of Science in Computational Finance, the first of many to combine financial theory and computer engineering.
1997: Merton and Myron Scholes win Nobel Prize in Economics.
1998: Long Term Capital Management, a hedge fund founded by John Merriwether that has Scholes as a partner loses $4.6 billion in derivatives after the Russian financial crisis.
2007: Some quant funds including Goldman Sachs' Global Alpha Fund and Renaissance Technologies Corp. suffer large drops as the credit crisis begins to worsen.
Nassim Taleb assails modern portfolio theory in an op-ed in the Financial Times, saying it does not factor in the possibility of rare events.
2008: Financial crisis and recession strike world economy, with quants being singled out for blame.
(Compiled by Phil Wahba)
