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

Joined February 2014
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 wilmott.com 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 wilmott.com. 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:  youtu.be/M2cqAAZemso?si=CGij… #Quant2026 #PaulWilmott #QuantitativeFinance #Volatility #AssetManagement #Econophysics #MathematicalFinance #Derivatives
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David Orrell retweeted
It's publication day! A book 🧵 bristoluniversitypress.co.uk…
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It's nearly Halloween, and quantum entanglement continues to "spook"!👻🎃#quantumfinance
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"...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 e-ir.info/2023/10/22/intervi…
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"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: bitly.ws/UbfN
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A stunning, entertaining critique of psychology. Many points apply to anthropology, political science, and sociology. #EconTwitter : many also to economics? experimental-history.com/p/i…
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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: rb.gy/2c2gs
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Today is the day, pop in to listen to @EmmanuelPothos, from our Editorial board discuss quantum cognition, all are welcome! u.osu.edu/quantumbootcamp/sc…
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Our journal is now live! We are looking forward to receiving your submissions. us.sagepub.com/en-us/nam/qua…
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QEF is a new journal focusing on the applications of quantum approaches to finance and economics. Visit our website here: us.sagepub.com/en-us/nam/qua… We will be accepting manuscript submissions in the near future and look forward to showcasing your work in this area!
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Check out the Black-Scholes 50th Anniversary Conference this Wednesday, 14 June, where @d_orrell, co-editor of the upcoming journal Quantum Economics and Finance, will be speaking. #quantitativefinance #blackscholesmodel @CQFInstitute Register here: ow.ly/kJ2H50OMNvL
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David Orrell retweeted
Pricing the Future - Black Scholes @50 gaiageld.com/2023/06/12/pric…
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Ancient Pythagorean ideas about a "music of the spheres" have been central to the development of modern physics, now musicians are trying to make "quantum music". Can superposition and entanglement be new sources of audio pleasure? @philipcball speculates physicsworld.com/a/can-we-us…
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An interesting paper from @d_orrell and Larry Richards. It argues that there's a major flaw in the Black-Scholes model of options pricing. The problem? Price volatility seems to be a function of the strike price. papers.ssrn.com/sol3/papers.…
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"Economists seem to want to have it both ways – they want to be seen as serious scientists, but when it comes to prediction all they have is that the economy can’t be predicted" worldfinance.com/the-econocl…
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