In “Black box” blues I argued that automated trading was a potentially dangerous element to include in a quantitative investment strategy, citing the “program trading / portfolio insurance” crash of 1987. When the market started falling in 1987 the computer programs caused the writers of derivatives to sell on every down-tick, which some suggest exacerbated the crash. Here’s New [...]
Posts Tagged ‘Momentum’
The trend is your end.
Posted in About, Behavioral economics, Quantitative investment, Stocks, Value Investment, tagged Momentum, Quantitative, Value on January 28, 2010 | 4 Comments »
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