When genius failed: the rise and fall of Long-Term Capital Management by Roger Lowenstein.
Subject: How a hedge fund with two Nobel-calibre alleged experts in the mathematical modelling of asset pricing won big in the short term and imploded disastrously in the slightly longer term.
Lessons: Sophisticated but semi-detached mathematical models can lead to overconfidence and get you absolutely destroyed. (This applies no matter how clever they are.) A strategy that notionally wins on average, in the long term, may still lead to disaster in the shorter term. Markets are anti-inductive.
See also: The smartest guys in the room, recommended by Eliezer.
Whoa, thanks. I missed out the aitch tee tee pee colon slash slash from the URL part of the link, and the result is that the whole thing didn’t show at all.
When genius failed: the rise and fall of Long-Term Capital Management by Roger Lowenstein.
Subject: How a hedge fund with two Nobel-calibre alleged experts in the mathematical modelling of asset pricing won big in the short term and imploded disastrously in the slightly longer term.
Lessons: Sophisticated but semi-detached mathematical models can lead to overconfidence and get you absolutely destroyed. (This applies no matter how clever they are.) A strategy that notionally wins on average, in the long term, may still lead to disaster in the shorter term. Markets are anti-inductive.
See also: The smartest guys in the room, recommended by Eliezer.
Missing word or link: “Markets are ???”
Whoa, thanks. I missed out the aitch tee tee pee colon slash slash from the URL part of the link, and the result is that the whole thing didn’t show at all.