Re:Jane Street Market Prediction ($100k Kaggle competition)
by eru on Wednesday November 25, 2020 @02:05AM
(#25206644)
'Why aren't they shouting' also has some things to say about LTCM. Broadly in the same vein. Those guys were leveraged to the gills and couldn't take market movements against them.
From what I've read elsewhere, if you had managed to hold an LTCM replica portfolio until expiry, you would have actually made money.
From what I've read elsewhere, if you had managed to hold an LTCM replica portfolio until expiry, you would have actually made money.