The rise and fall of Long Term Capital Management

长期资本管理公司的兴衰

Planet Money

商务

2025-02-22

27 分钟
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There's this cautionary tale, in the finance world, that nearly any trader can tell you. It's about placing too much confidence in math and models. It's the story of Long Term Capital Management. The story begins back in the 90s. A group of math nerds figured out how to use a mathematical model to identify opportunities in the market, tiny price discrepancies, that they could bet big on. Those bets turned into big profits, for them and their clients. They were the toast of Wall Street; it looked like they'd solved the puzzle of risk-taking. But their overconfidence in their strategy led to one of the biggest financial implosions in U.S. history, and destabilized the entire market. On today's show, what happens when perfect math meets the mess of human nature? And what did we learn (and what did we not learn) from the legendary tale of Long Term Capital Management? This episode of Planet Money was hosted by Mary Childs and Jeff Guo. It was produced by Sam Yellowhorse Kesler and edited by Jess Jiang. It was fact-checked by Sierra Juarez and engineered by Robert Rodriguez. Alex Goldmark is our executive producer. Find more Planet Money: Facebook / Instagram / TikTok / Our weekly Newsletter. Listen free at these links: Apple Podcasts, Spotify, the NPR app or anywhere you get podcasts. Help support Planet Money and hear our bonus episodes by subscribing to Planet Money+ in Apple Podcasts or at plus.npr.org/planetmoney. Learn more about sponsor message choices: podcastchoices.com/adchoices NPR Privacy Policy
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  • This is Planet Money from NPR.

  • In the mid-1990s, a group of people thought they'd finally achieved this dream that had existed since the dawn of financial market markets.

  • They'd figured out how to take risk.

  • They built a model that could help them generate great investment returns consistently over time.

  • Perhaps unsurprisingly, they were math nerds.

  • We were mostly cut from the same cloth.

  • This is Victor Haghani.

  • He was the youngest of the group.

  • Like, we were all, you know, kind of game playing, geeky kind of kind of people.

  • And we just really felt attracted to the same kinds of problem solving and the same kinds of thought processes and intellectual challenges.

  • Victor was part of this new crew of traders on Wall Street.

  • Where before people had made investment decisions based on, like, what they thought about a company's prospects or maybe just based on a hunch, these guys used data, lots of data, and computers.

  • It was math over emotions.

  • Risk taking had always been an art, but now they could turn risk taking into a science.

  • To a large extent, you can get rid of certain risks, but if you're going to make money, then you have to be taking risk.

  • Victor had gone from working at an investment bank to getting hired into this elite, illustrious group, a group that included Myron Scholes and Bob Merton, the guys who'd figured out how to mathematically derive prices for stock options, bets on a stock's future price.