Via MarketSci blog, Eric Rosenfeld talks about the collapse of LTCM at MIT. Funny I can't find in any MIT literature an advertisement for the fact that 2/3s of LTCM had MIT roots? (Caltech, snarky snark snark)
More like this
Below I semi-seriously mooted the possibility of killing individuals who destroy enormous amounts of wealth through risk-taking which inevitably results in particular instances losses.
Apologies, once again, for the blogging silence. I was busy in London, on tour for the UK version of the book, which is called "The Decisive Moment".
Books off the queue and lodge securely somewhere behind my eyes: "A Mathematician's Apology" by G.H. Hardy and "A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation" by Richard Bookstaber
Two notes from Caltech of interest:
He keeps talking about risk as "sigma". And he uses the word "uncorrelated" the way I would use the word "independent."
He says that LTCM critics are anti-intellectual, and don't believe in rationality, but he doesn't believe in moments after the second moment!