It is conceivable that models of the stochastic dynamics of asset price movements may have a general counterperformative aspect if large amounts of practical action (especially in the form of risk-control measures) are based on them. In most of its forms, portfolio insurance depended on continuity in price movements; to the extent that it played a role in the 1987 crash, it generated a discontinuity. While the role of value-at-risk models in the 1998 crisis described in chapter 8 is also unclear, it is possible that sudden, widespread efforts to liquidate similar trading positions in the face of rising value-at-risk estimates contributed to price movements well beyond those envisaged in the models on the basis of which the estimates had been calculated.

Donald MacKenzie, An Engine, Not a Camera, loc. 1168