Monday, September 10, 2007

A billion billion Universe lifetimes later……

Chebyshev and chickens

[In Finance there are many Russian sounding names from statistics, Chebyshev, Sobolev, Kolmogorov-Smirnoff) Felix Salmon asks what the hell David Viniar, Goldman’s chief financial officer, meant when he said:
We were seeing things that were 25-standard deviation moves, several days in a row [last week].

Posted by lvmreader @ 04:57 PM (584 views)
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2 thoughts on “A billion billion Universe lifetimes later……

  • When the CFO of Goldman Sachs is this much of an idiot, what chance has average Joe got of staying solvent?

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  • The fundamental problem = the mathematics that people are applying to markets and the extent to which they apply them to markets.

    The Black Swan is a great book.

    You must stay flexible to cope with the unknown unknows (to borrow this gem from Mr Rumsfeld) and often this means remaining adaptive AND WITH PLENTY OF CAPACITY (ie. a little conservative) . You may still not survive them.

    If you are always running along at optimal – how can you possibly cope with the unknown unknowns. By defintion you have no capacity.

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