David Orrell

Writer and mathematician. Books include Economyths, The Money Formula (with Paul Wilmott), The Evolution of Money (with Roman Chlupaty), Truth or Beauty.

[David Orrell @d_orrell]

@DIAMANpartners My take on the Q-Variance Challenge https://t.co/5P2etx2U7n

[DIAMAN Partners Ltd @DIAMANpartners]

Recap #QUANT2026

Esiste un comportamento reale della volatilità dei mercati che nessun modello riesce a simulare. E nessuno sa ancora perché.

Nel suo intervento al #QUANT2026, Paul Willmott, matematico, fondatore di https://t.co/ksHdqkqC0N e tra le voci più iconoclaste della finanza quantitativa mondiale, ha portato sul palco una delle domande aperte più affascinanti del settore.

Il modello di David Orrell, partendo dalla fisica quantistica, fa una previsione precisa sul comportamento della varianza dei prezzi, chiamata q-variance, con un solo parametro. Per confronto, il modello di Heston ne usa quattro.

La previsione si verifica. Su azioni, indici, valute. Su tutti i timeframe. Con lo stesso coefficiente.

Il problema? Nessuno riesce a simularlo in tempo continuo!

Wilmott ha consultato i più famosi quant al mondo. Ha aperto una competizione pubblica su https://t.co/ksHdqkqC0N. Decine di partecipanti. Nessuna risposta soddisfacente.

GARCH? No. Heston? No. Jump diffusion? Neanche.

Un modello che predice la realtà meglio di tutti gli altri e che ancora non sappiamo come costruire formalmente.

▶️ Vuoi vedere la registrazione integrale dell'intervento e partecipare a questa sfida? Seguici sul nostro canale YouTube e attiva la campanella:  https://t.co/qb5dQKcqsG

#Quant2026 #PaulWilmott #QuantitativeFinance #Volatility #AssetManagement #Econophysics #MathematicalFinance #Derivatives

[David Orrell @d_orrell]

@TheMichaelEvery Who is the quote from?

[David Orrell @d_orrell]

@matt_barrie Ditto Canada
https://t.co/utBZ1VoIXi

[Nat Dyer @natjdyer]

It's publication day!
A book 🧵
https://t.co/BQgNUWnWqg

[David Orrell @d_orrell]

@TheMichaelEvery These can be combined https://t.co/GUoS62hMfn

[David Orrell @d_orrell]

@Graff2023 @OntarioGreens https://t.co/utBZ1VpgMQ

[World Finance @worldfinance]

#Canada is trying to bump up its population growth through #immigration amid dwindling birth rates, but a better #economy doesn’t equate to a larger one and this approach could prove to be no more than an economic stopgap.
https://t.co/MjGjWPf5rm

[David Orrell @d_orrell]

It was a pleasure speaking with @QuantumDaily about quantum models in economics
https://t.co/1i8hymswUt

[The Quantum Insider @QuantumDaily]

Quantum Economics: Could A New Economic Paradigm Be Guided By Quantum Models?

https://t.co/aWdtqDBQOk

#QuantumEconomics #QuantumModels #EconomicInnovation

[David Orrell @d_orrell]

Quantum economics – real or fake? https://t.co/0z0XVQSiWw

[World Finance @worldfinance]

The #volatility smile can seem illogical from the perspective of classical #finance, but applying quantum logic allows us to see that it accurately describes a genuine aspect of the #market.
https://t.co/Z4whq5kXsD

[Quantum Economics and Finance Journal @QEFjournal]

It's nearly Halloween, and quantum entanglement continues to "spook"!👻🎃#quantumfinance

[Quantum Economics and Finance Journal @QEFjournal]

"...some in academia are starting to take quantum ideas a little more seriously but an interesting question is why it took so long."
Check out the full interview with @d_orrell, our co-editor-in-chief, below.

#quantumscience #quantumfinance

https://t.co/Q4YqhjPbiq

[Quantum Economics and Finance Journal @QEFjournal]

"Its trick is to present itself, not so much as a prediction, but rather as a magical machine which somehow defines the correct option price – like a mentalist who predicts the future by making it happen."
Learn about the magic of the Black-Scholes Model: https://t.co/EkkHMPEG2W

[David Orrell @d_orrell]

@Doctoroid1 @CQFInstitute The talk can be seen here (free registration required): https://t.co/QCL92PW0aU
I am working on an update to the 3rd edition, should be ready by end of the year

[David Orrell @d_orrell]

It was a pleasure speaking yesterday at the @CQFInstitute conference marking the 50th anniversary of the Black-Scholes model. My talk presented 9 predictions of the quantum model.

[Robert Klitgaard @RobertKlitgaard]

A stunning, entertaining critique of psychology. Many points apply to anthropology, political science, and sociology. #EconTwitter : many also to economics? https://t.co/ofbarW4ptz

[Quantum Economics and Finance Journal @QEFjournal]

Open call for high-impact topics in quantum social science! The @OhioState Quantum Soc. Sci. Bootcamp is creating Top 5 lists of potentially high-impact articles that could be written in various disciplines. Share your ideas below: https://t.co/P1z7ihs2hK

[David Orrell @d_orrell]

@jackroycro50669 Thanks, but no, I'm not really into podcasts

[World Finance @worldfinance]

The Nobel prize-winning model has been heralded as a game changer for #traders but in making sweeping assumptions about #growth and #volatility, it is perhaps not quite as elegant as it seems.
https://t.co/IHwZjbEPqq