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Когда гении терпят поражение: взлет и падение LTCM

Взлет и падение фонда Long-Term Capital Management (LTCM) имеет все признаки великой истории. Блестящие умы, включая двух лауреатов Нобелевской премии, создали впечатляющий хедж-фонд c торговыми системами, основанными на безотказных математических моделях. Ослепительный успех, почти перевернувший с ног на голову традиционные представления о финансах, риске, доходности. Захватывающий и трагический финал – катастрофа, которая поставила под угрозу не только крупнейшие банки, но и стабильность мировой финансовой системы. И во всем этом Россия сыграла не самую последнюю роль…

https://habr.com/ru/articles/1047142/

#LTCM #хеджфонд #Майрон_Шоулз #Роберт_Мертон #марковиц #VaR #Гаусс #кредитное_плечо #Говард_Маркс #Виктор_Хагани

Когда гении терпят поражение: взлет и падение LTCM

Хабр

🅱🅸🅶🅾🆁🆁🅴.🅾🆁🅶 Dec 30

Aviation weather for Sinop airport (Turkey) is “LTCM 290850Z 24016KT 4000 -SHSNRA FEW012 BKN030 02/01 Q1008” : See what it means on https://www.bigorre.org/aero/meteo/ltcm/en #sinopairport #airport #sinop #turkey #ltcm #nop #metar #aviation #aviationweather #avgeek vl

🅱🅸🅶🅾🆁🆁🅴.🅾🆁🅶 Jul 6, 2025

Beautiful weather for takeoff from Sinop airport (Turkey) “LTCM 060450Z 26004KT 230V290 CAVOK 21/14 Q1017” : See what it means on https://www.bigorre.org/aero/meteo/ltcm/en #sinop #turkey #sinopairport #ltcm #nop #metar #aviation #aviationweather #avgeek #airport vl

Sinop airport (Turkey) aviation weather and informations LTCM NOP

Aviation weather with TAF and METAR, Maps, hotels and aeronautical information for Sinop airport (Turkey)

Bigorre.org

🅱🅸🅶🅾🆁🆁🅴.🅾🆁🅶 May 11, 2025

Aviation weather for Sinop airport (Turkey) is “LTCM 101650Z 29008KT 260V320 9999 FEW013 SCT030 BKN090 13/10 Q1018” : See what it means on https://www.bigorre.org/aero/meteo/ltcm/en #sinop #turkey #sinopairport #ltcm #nop #metar #aviation #aviationweather #avgeek #airport vl

Sinop airport (Turkey) aviation weather and informations LTCM NOP

Aviation weather with TAF and METAR, Maps, hotels and aeronautical information for Sinop airport (Turkey)

Bigorre.org

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TallTim📈📉💰Sep 2, 2018

@jon Precisely. The distribution curve is #leptokurtic - https://www.investopedia.com/terms/l/leptokurtic.asp This is what blew up #LTCM when they used a mean-reversion strategy assuming standard distribution. Fun fact, volatility has anti-persistent qualities, where net positive changes or negative ones are more likely to be met with opposite moves, unlike most financial data. #trading #statistics

Leptokurtic

A statistical distribution where there are extreme points(or outliers) along the X-axis, resulting in a higher peak (higher kurtosis) than found in a normal distribution. These extreme values (outliers) are also evidence of “fat tails” relative to the normal distribution’s tail.

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TallTim📈📉💰Aug 13, 2018

@nic That advice sits on the bookshelf at the former #LTCM offices. Kings of the "mean reversion" theory that nearly blew up the financial system (again). Conventional wisdom doesn't give an edge, but you knew that already.

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TallTim📈📉💰Aug 13, 2018

@BanTheBBC 1) Price data has time-persistent qualities #HurstExponent versus randomized sets 2) Most indicators are crap, which doesn't help perception of #TA at all 3) Price distributions are #leptokurtic with higher means and "lumpy" tails which makes any model using standard gaussian distribution fail #LTCM and "mean reversion" strategies.
So, I respectfully disagree.

Stefanie Schulte Jul 31, 2017

In 1997, Nobel laureate Robert C. Merton emphatically praised the hedge fund "Long-Term Capital Management" (#LTCM), which he had co-founded: http://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/1997/merton-bio.html (take note of the last five paragraphs)

In 1998, LTCM wasn't so great anymore: https://www.federalreservehistory.org/essays/ltcm_near_failure

#Economics