I guess it probably depends on the position/team. I wouldn't expect GS to open source anything they consider a competitive advantage, but then I don't see Google open sourcing their search algos either :-)
However, this is hardly something that is limited to Goldmans or financial services. I'm pretty sure that Apple require you not to work on side projects, for example.
We had a discussion regarding this at my company - Future Workshops - last week, and decided that what people work on in their own time is their own business, with the caveats that a) people don't work in conflict with any clients, b) the IP is clearly separate, and c) it doesn't affect their day job in a negative way.