Mostly… fixed income and cross product eTrading

August 10, 2007

everything is average nowerdays

Filed under: Algos, etrading — holky @ 2:45 pm

EFN revealing (?) that Managers are suffering as quant similarities are revealed….A quantitative manager said: “The falls are across the quant management board and that shows that, although the equity models may be superficially different, really they are variations on the same theme. Everyone has been taking long positions on value stocks and short positions on growth stocks, and now they are all making losses.”

so are the really smart cookies finding alternate venues and products in which to prove and capitalise on their investment/trading/positioning skills?

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3 Comments »

  1. It can never happen. Poof. It happened!

    As many readers of this blog, I trade these markets and have read and spoken with many traders of the classic asset classes about etrading.

    I can think of so many stories and personal experiences where the simple trader to the head of a firm says “It can never happen” or “Not in 10,000 years” or “I just can’t see that because of a, b, c…”

    Well, it was great to see today in the WSJ just that statement once again made by a Lehman trader.
    Except this time it was not really him saying it, get this, it was a “model”. The quote was as follows.

    “Wednesday is the type of day people will remember in quant-land for a very long time,” said Mr. Rothman, a University of Chicago Ph.D. who ran a quantitative fund before joining Lehman Brothers. “Events that models only predicted would happen once in 10,000 years happened every day for three days.”

    The best of part this article was the very last paragraph:

    On Thursday, Mr. Rothman published an industry note explaining the situation and pleading with quant investors to remain calm. “Self-fulfilling prophesies of losses can come true if investors stampede and head for the door in unison,” he said in the note. “We certainly hope this situation does not materialize and stress the need for investor calm.”

    A QUANT asking other QUANTS and “investors” to remain calm. This is a guy who’s very position in life (and LUCK of astronomic proprotions- I mean he was born in a first world rather than a third world country) allows him to take advantage of so much and so many of these investors each day (I know I know Quants and HF equity trading add liquidity- I know, save the argument for another post), and he actually asks investors to take an action just so his “models” can work the way he programmed the models to work.

    That is a new level of audacity for any master of the universe. Tom Wolfe you have a new character for the revision of your novel. Bonfire of the Algorithms.

    Comment by lacidar — August 11, 2007 @ 2:36 pm

  2. Well, further proof that “we” in the “City” or on the “Street” don’t live in the Real World. But this bloke takes the cake!

    Comment by waratah — August 13, 2007 @ 8:51 am

  3. less kaiser Chiefs please…. 😉

    Comment by John Greenan — August 14, 2007 @ 6:10 pm


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