Yesterday, I completed reading Emanual Derman's new book Models.Behaving.Badly. A Book across philosophy, literature and high finance. He establishes the difference between model and theory to make clear that modeling financial markets cannot be scientific.
Emanual Derman is Head of Risk at Prisma Capital Partners and a professor at the Columbia University (financial engineering) and he was a leading Quant at Goldman Sachs.
I follow his Blog and I know that he is not only one of the most influencing quants (with Paul Wilmott he released the Financial Modelers Manifesto), but also with practical experience that includes where to find the best financial market data.
In his book he showed that the EMH (Efficient Market Hypothesis) and derived from it the CAPM (Capital Asset Pricing Model) are illuminating bat not reality - with an example of the comparison of the returns of Apple equities related to the S&P index over time.
A little surprise in the first second, that he did not take data from one of the leading market data providers, Blomberg, Reuters, .... to show the correlations required for explanation, but Wolfram|Alpha.
But after the input AAPL S&P 500 I saw it with my eyes. It is amazing.
