mjaniec + pdt   1

FT 20100210 - Business books - Maths geniuses’ models did not add up
At their peak, quantitative traders were a force with which to be reckoned. Between them they controlled about $150bn (€109bn, £96bn) and, because many used lots of borrowed money as well, they collectively had assets of as much as $1,000bn. But many of them were then crushed in the market meltdown, having failed to factor in just how vulnerable their models were. “Even as the mortgage market imploded, quant funds such as AQR, Renaissance, Saba [Weinstein’s group at Deutsche] and Citadel believed they were immune to the trouble,” Patterson writes, “either because they didn’t dabble in subprime or because they believed they were the smart guys in the room and had either hedged against losses or were on the right side of the trade and were poised to cash in.” The whizzes who studied market relationships so exhaustively failed to grasp some elementary truths, such as that distress in one market can lead to selling in an entirely different and hitherto unrelated market.
hedge_funds  Renaissance_Technologies  James_Simons  Citadel  Ken_Griffin  AQR  Cliff_Asness  Boaz_Weinstein  Peter_Muller  PDT  Morgan_Stanley  algorithmic_trading  Global_Alpha 
february 2010 by mjaniec

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