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arXiv:1103.5672q-fin.GN

How Unlucky is 25-Sigma?

Kevin Dowd, John Cotter, Chris Humphrey, Margaret Woods

Abstract

One of the more memorable moments of last summer's credit crunch came when the CFO of Goldman Sachs, David Viniar, announced in August that Goldman's flagship GEO hedge fund had lost 27% of its value since the start of the year. As Mr. Viniar explained, "We were seeing things that were 25-standard deviation moves, several days in a row."

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DOI
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q-fin.GNGeneral Finance q-fin.RMRisk Management

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Linked by 2 identifiable commenters in 2 comments across 2 threads, from Feb 2018 to Feb 2021.

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  1. Game Stopped? (Live congressional hearing on GameStop) 1 comment

    • Yeah. Calling something a five-sigma event loses meaning if there haven't been anywhere near enough time intervals (here: market days) to validate that thesis. Here is a decent paper on the topic of n-sigma events: https://arxiv.org/pdf/1103.5672.pdf

      fractionalhareView on HNParent context

  2. Interpreting a market plunge 1 comment

    • It's usually referred to as an "x sigma event". A paper I really like on this is "How Unlucky is 25-Sigma?" https://arxiv.org/abs/1103.5672.

      kmfrkView on HNParent context

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