The Econophysics Blog

This blog is dedicated to exploring the application of quantiative tools from mathematics, physics, and other natural sciences to issues in finance, economics, and the social sciences. The focus of this blog will be on tools, methodology, and logic. This blog will also occasionally delve into philosophical issues surrounding quantitative finance and quantitative social science.

Sunday, October 08, 2006

Belated Post-Mortems on Amaranth

Not to beat a dead horse, but here are some interesting post-mortems on Amaranth (a hedge fund that recently 'blew up') that I ran across recently. (Note: I had little to say on the matter up to this point because: (a) I was too busy to post anything to the blog while all that was happening, and (b) as I've said before, I don't like to chase after some transient news event.)

There were a couple of stories by Heather Timmons -- one for the New York Times and the other for the International Herald Tribune -- that did a good job of disecting the whole affair. The Times article focused on the foibles of one of Amaranth's young traders who made a bad bet on natural gas prices that people ascribe as the proximate cause of the blow up.

On Nassim Nicholas Taleb's non-blog section of his website titled "Notebook," he makes some interesting comments about the Amaranth situation (including brief comments on the Zelig-like coincidence of having once been in the same office complex with them in Connecticut).

0 Comments:

Post a Comment

Links to this post:

Create a Link

<< Home