Investing in the Modern Age

Ziemba, Rachel E. S.; Ziemba, William T.

doi:10.1142/8793

Cited by 18 publications

(9 citation statements)

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“…The Shaw, Thorp and Ziemba [12] Nikkei put warrant trade (discussed in Ziemba and Ziemba [13], Chapter 12) was successful because we did a careful analysis to fairly price the securities. In many cases, losses are the result of trading in high-risk financial instruments by unsophisticated investors.…”

Section: Counterparty Defaultmentioning

confidence: 99%

“…These types of trades usually win, but if there is a big move in the wrong direction, the losses can be very large. The Niederhoffer bankruptcy from the Asian currency crisis in 1997 is a typical example [13]. One hundred twenty million dollars in his hedge fund were turned into $70 million by buying inexpensive Thai stocks, which continued to drop.…”

Section: What Types Of Traders Lost Moneymentioning

confidence: 99%

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The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?

Lleo

Ziemba

2015

IJFS

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Section: Counterparty Defaultmentioning

confidence: 99%

Section: What Types Of Traders Lost Moneymentioning

confidence: 99%

The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?

Lleo

Ziemba

2015

IJFS

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“…The market then stabilized during the turn of the month of October with rallies on September 29, 30 and October 1, 2, and 3. This took the S&P500 Ziemba and Ziemba, 2013;Ziemba, 2016). As usual in the Fed week, the market rallied in options expiry weeks.…”

Section: Bill Ziembamentioning

confidence: 99%

Inefficiencies and Anomalies

Ziemba¹

2016

Wilmott

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“…The Shaw, Thorp and Ziemba (1995) Nikkei put warrant trade (discussed in Ziemba and Ziemba (2013), Chapter 12) was successful because we did a careful analysis to fairly price the securities. In many cases, losses are the result of trading in highrisk financial instruments by unsophisticated investors.…”

Section: Misunderstanding the Risk Exposurementioning

confidence: 99%

The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?

Lleo

Ziemba

2015

SSRN Journal

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Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being over bet and being hit by a bad scenario. Black swans are the worst type of bad scenario: unexpected and extreme. The Swiss National Bank decision on January 15, 2015 to abandon the 1.20 peg against the euro was a tremendous blow for many Swiss exporters, but also Swiss and international investors, hedge funds, global macro funds, banks as well as the Swiss central bank. In this paper we discuss the causes for this action, the money losers and the All rights reserved. No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means without the prior permission in writing of the publisher nor be issued to the public or circulated in any form other than that in which it is published.Requests for permission to reproduce any article or part of the Working Paper should be sent to the editor at the above address. Abstract Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are the worst type of bad scenario: unexpected and extreme. The Swiss National Bank decision on January 15, 2015 to abandon the 1.20 peg against the euro was a tremendous blow for many Swiss exporters, but also Swiss and international investors, hedge funds, global macro funds, banks as well as the Swiss central bank. In this paper we discuss the causes for this action, the money losers and the few winners, what it means for Switzerland, Europe and the rest of the world, what kinds of trades lost and how they have been prevented.

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Investing in the Modern Age

Cited by 18 publications

References 0 publications

The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?

The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?

Inefficiencies and Anomalies

The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?

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