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 [原创]关于LTCM那次事件的一些疑点（我有些推测，因为市面上似乎没有类似的猜想，所以提出来，供评判） |
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[原创]关于LTCM那次事件的一些疑点（我有些推测，因为市面上似乎没有类似的猜想，所以提出来，供评判） -- 正月鼠 - (2947 Byte) 2007-2-07 周三, 09:36 (2359 reads) |
sapientaf
头衔: 海归上校
声望: 学员
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加入时间: 2006/08/20
文章: 821
来自: 弯曲，上海，班格罗尔，北京，新加坡
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作者：sapientaf 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
LTCM's models and strategies are fine. What caused the squeeze was its mdoel broken under extreme conditions such as the Russian default. The Russian default was an outside 3 standard deviation event. LTCM's liquidity VaR models did not cover this very unlikely event.
If LTCM could stay afloat 12 month longer, a lot of its bet could be recovered.
But when LTCM was leveraged so much, then The street got the wind of its positions, then bood suckers moved in to take the opposite side to add in more pressure.
This has happened many times. UBS traders make 100M+ recently when a brokerage firm in Japan entered a trade with bad data (swapped the price and quantity field).
There are two things good traders always kind in mind:
1. When Robert Rubin was working at Goldman, the model guy told him when market is down, some positions should be up because they take the opposite side. But when the market crashed in 87, boy, all positions are going in one direction, which is down.
So don't just trust the model, use your best judgement.
2. The market can remain irrational longer than you think.
Keep your position solvent and protect your capital. This means you must take losses up to the stop loss limit and avoid a very large loss.
If you don't have these disciplines, even your trades make money, they are the wrong trades.
作者：sapientaf 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
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