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Keyword: computerdrivenmodels

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  • Limitations of computer models [system error for quants]

    08/14/2007 9:25:31 PM PDT · by bruinbirdman · 22 replies · 1,108+ views
    Financial Times ^ | 8/14/2007 | Gillian Tett and Anuj Gangahar
    In recent years, Goldman Sachs has become renowned as one of the savviest players on Wall Street. This week, however, the mighty US bank was forced into an embarrassing admission. In a rare unplanned investor call, the bank revealed that a flagship global equity fund had lost over 30 per cent of its value in a week because of problems with its trading strategies created by computer models. In particular, the computers had failed to foresee recent market movements to such a degree that they labelled them a “25-standard deviation event” – something that only happens once every 100,000 years...