LTCM

[James Devine]

I bet that their models did pretty well, on average, even compared to other
models. The reason they were able to get such high returns in the past is
that they were highly leveraged. That of course, meant that when things
went bad (as they did), they lost big. 

At 02:35 PM 9/28/98 EDT, Jason wrote:
><< What they forgot to do is to statistically test their models on line.  >>
>
>My experience with having to "model under pressure" is that:  1) you never
>have time to do sensitivity analysis, because 2) the people who are paying
you
>are arrogant and convinced of their paradigm.
>
>These trades are partly built upon programs that feed into othertrading
>situations.  The permutations are difficult to understand and the "swinging
>dicks" actually believe that they've got the longest IQs on the block!!!

Jim Devine jdevine at popmail.lmu.edu &
http://clawww.lmu.edu/Departments/ECON/jdevine.html