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I found this funny: http://www.eschatonblog.com/2011/09/unauthorized_16.html http://www.eschatonblog.com/2011/09/unauthorized_16.html "I think even I could cod
by ddw 15y ago
I found this funny: http://www.eschatonblog.com/2011/09/unauthorized_16.html http://www.eschatonblog.com/2011/09/unauthorized_16.html
"I think even I could code the little trading computer with something like "if bet>$1 trillion, deny authorization." Or, ok, these things are complicated, how about if "Probability of loss>$1 trillion is >.00001 then deny authorization."
- StrawberryFrog 15y agoThe devil is in the details, specifically in working out the probability of loss. The whole point is to know that a bit better than the other guy. See also: putting your trust in AAA rated mortgage-backed securities.
- gwern 15y agoThat is pretty hilarious. If only things were that easy...
- arethuza 15y agoI worked for a bit on the mid 90's on a distributed real-time risk management tool that was based on simplified VaR calculations. From what I recall, the calculation of a "risk" value for an individual trade isn't too bad but it gets exciting when you try to do this for a lot of trades across a complex portfolio - especially when you have to factor in other kinds of risk (e.g. forex). I was the lead software guy and it was fascinating to work with the ex-traders who were providing the financial knowledge. A shame that the product died horribly due to litigation on contractual issues.