Je lis un excellent article de Vanity Fair d'un historien sur la crise éco. Quelques alinéas sur la brève histoire de LTCM, ce fond spéculatif planté en 1998, et qui a failli provoquer une belle crise financière.

Longue citation en anglais

There was, however, another reason why Long-Term failed. The quants’ Value at Risk models had implied that the loss the firm suffered in August 1998 was so unlikely that it ought never to have happened in the entire life of the universe. But that was because the models were working with just five years of data. If they had gone back even 11 years, they would have captured the 1987 stock-market crash. If they had gone back 80 years they would have captured the last great Russian default, after the 1917 revolution. Meriwether himself, born in 1947, ruefully observed, “If I had lived through the Depression, I would have been in a better position to understand events.�? To put it bluntly, the Nobel Prize winners knew plenty of mathematics but not enough history.

C'est trop beau. le scientifique, le top de l'abstraction en science, qui dit lui-même qu'une science qui ne serait pas appuyée sur une expérience personnelle ne sert à rien. Vive la science !