Slashdot is powered by your submissions, so send in your scoop

 



Forgot your password?
typodupeerror
Compare cell phone plans using Wirefly's innovative plan comparison tool ×
The Almighty Buck

Submission + - Wallstreet Quant Funds Fail (washingtonpost.com)

eldavojohn writes: "You may remember the article covering AI on Wallstreet but there's an interesting problem that came with the recent 387 point drop in the Dow Jones — too many quant funds were trying to take the same exit door at the wrong time. From the article, "Last week, Goldman Sachs said its Global Alpha quant fund had lost 27 percent of its value this year because its computers failed to anticipate what the firm called '25 percent standard deviation moves' or events so rare Goldman had seen them only twice before in the firm's history." Quant funds normally thrive on tiny deviations in the market for short term trades but evidently this past deviation was not only too much but unforeseen. Is this a case of something that's too good to be true (30% return) becoming so big that everyone's doing it and it is too good to be true?"
This discussion was created for logged-in users only, but now has been archived. No new comments can be posted.

Wallstreet Quant Funds Fail

Comments Filter:

The party adjourned to a hot tub, yes. Fully clothed, I might add. -- IBM employee, testifying in California State Supreme Court

Working...