Многие сигмы - многие печали
Mar. 18th, 2020 05:48 pm![[personal profile]](https://www.dreamwidth.org/img/silk/identity/user.png){kind=small}
ny_quantGoldman’s CFO David Viniar created one of the more memorable memes of the GFC period:
On 13 August 2007, The Financial Times reported Viniar's explanation of why two large hedge funds managed by Goldman Sachs had both lost over a quarter of their value in a week, requiring the injection of $3 billion to support them.[9] Viniar ascribed the events to a series of exceptional events: “We were seeing things that were 25 standard deviation moves, several days in a row”.[10]
Stop here and think. How likely do you think is the 25-sigma event under Normal distribution?
Even people who immediately realized that the notion of a 25-sigma event is ridiculous couldn’t intuitively estimate the actual probability themselves. Here's one quote:
According to Goldman’s mathematical models, August, Year of Our Lord 2007, was a very special month. Things were happening that were only supposed to happen once in every 100,000 years. Either that … or Goldman’s models were wrong.
In reality, under Normal distribution, a 25 sigma event happens once in 10^135 years.
Я это к не к тому вспомнил чтобы посмеяться над дураком Винни (а чего смеяться если он мульти-миллионер, а я оффисный раб и нищеброд), а к тому что за последние несколько дней я дважды услышал о 12-сигма событии где-то в глубине кредитных рынков. (Один раз от вроде бы уважаемого банковского аналитика, а в другой раз от приятеля.) И опять с печальными последствиями для тех, кто думал, что такого быть не может.
On 13 August 2007, The Financial Times reported Viniar's explanation of why two large hedge funds managed by Goldman Sachs had both lost over a quarter of their value in a week, requiring the injection of $3 billion to support them.[9] Viniar ascribed the events to a series of exceptional events: “We were seeing things that were 25 standard deviation moves, several days in a row”.[10]
Stop here and think. How likely do you think is the 25-sigma event under Normal distribution?
Even people who immediately realized that the notion of a 25-sigma event is ridiculous couldn’t intuitively estimate the actual probability themselves. Here's one quote:
According to Goldman’s mathematical models, August, Year of Our Lord 2007, was a very special month. Things were happening that were only supposed to happen once in every 100,000 years. Either that … or Goldman’s models were wrong.
In reality, under Normal distribution, a 25 sigma event happens once in 10^135 years.
Я это к не к тому вспомнил чтобы посмеяться над дураком Винни (а чего смеяться если он мульти-миллионер, а я оффисный раб и нищеброд), а к тому что за последние несколько дней я дважды услышал о 12-сигма событии где-то в глубине кредитных рынков. (Один раз от вроде бы уважаемого банковского аналитика, а в другой раз от приятеля.) И опять с печальными последствиями для тех, кто думал, что такого быть не может.
