Re: Derivate - wie bei Lloyd's. Die 'bell-shaped curve'..

verfasst von black elk, 31.01.2002, 15:05

Hattest du glaube ich auch schon angesprochen.

[img][/img]

"Blind Faith in"Reversion to the Mean"

Meriwether’s investment strategy was based on the fact that patterns always revert to their mean. Therefore any abnormality in the market would, over time, revert to normal. Thus patterns or events are predictable. This instilled in Meriwether an investment stratagem of riding out losses until they turned into gains. It was blind faith in the concept of reversion to the mean. But markets are never certain. In real life they are always in a state of flux. The trading patterns that make up today’s universe of certainty may change. How do you know what the next pattern will be? The probability of each new trading pattern is independent of the other. One doesn’t remember the other. He believed that mathematics could make an uncertain world certain. Wall Street is completely blind to this fact.

Mathematical models, the certainty of trading patterns within various markets, and the reversion to the mean have become a religion on the Street. Its adherents follow it with blind faith to this day. In the case of LTCM, it eventually led to its demise. The professors and traders at LTCM became convinced of the invincibility of their models. Their bets became bigger and as a result less liquid. For example, in the case of an arbitrage bet on Royal Dutch and Shell Transport, their positions were so large that they became the market, which made them even more vulnerable. Their models didn’t take into account or make allowances for what lies at either end of the tail of the curve. In a short period of time, events at the tail of the curve would overwhelm them. In the fall of 1998, a series of events took place that shook the financial markets. It began with Russia’s debt default which widened credit spreads on debt - something the traders at LTCM hadn’t envisioned.


<center>

<HR>

</center>

Thread gesperrt

 

gesamter Thread:

• Derivate - black elk, 31.01.2002, 11:18
  • Re: Derivate - wie bei Lloyd's - dottore, 31.01.2002, 14:44
    • Re: Derivate - wie bei Lloyd's - black elk, 31.01.2002, 14:57
      • Re: Derivate - wie bei Lloyd's. Die 'bell-shaped curve'.. - black elk, 31.01.2002, 15:05
        • Re: Der ganze Link ist mit das Beste im Web überhaupt! Vielen Dank! (owT) - dottore, 31.01.2002, 15:10
      • Re: Derivate - wie bei Lloyd's / WOW! Das muss man lesen, auch wenn´s dauert oT - JÃœKÃœ, 31.01.2002, 16:55
        • ...die von Chase hätten das lesen sollen! - Tofir, 31.01.2002, 22:33
  • Re: Derivate - mguder, 31.01.2002, 16:46
    • Re: Derivate - Interessanter Ansatz von dir! - black elk, 31.01.2002, 18:42