Re:How Software Models Doomed Financial Markets
by DaniFong on Thursday December 18, 2008 @12:39PM
(#402333)
"radically large market shifts are unlikely and that all price changes are statistically independent; today’s fluctuations have nothing to do with tomorrow’s—and one bank’s portfolio is unrelated to the next’s"
Is this actually true? I thought that a number of models at least correlated price changes at a single point in time, and that agent models were correlated nonlinearly across time as well...
Is this actually true? I thought that a number of models at least correlated price changes at a single point in time, and that agent models were correlated nonlinearly across time as well...