Or Maybe Your Model Leaves Something to be Desired…

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From last week’s WSJ (requires a paid subscription for now, pending Rupert’s next move):

“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 Black Swan has been on bestseller lists for a couple months and we’ve seen multiple 1 in 10,000 year events over the last decade, but some people still seem to believe in their models…

Reverence for models does seem to be breaking down on other fronts.

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