QUANTS, THE(ISBN=9780307453389) 下载 pdf 百度网盘 epub 免费 2025 电子书 mobi 在线

　　“Beware of geeks bearing formulas.”

--Warren Buffett

In March of 2006, the world’s richest men sipped champagne in an

opulent New York hotel. They were preparing to compete in a

poker tournament with million-dollar stakes, but those numbers

meant nothing to them. They were accustomed to risking

billions.

At the card table that night was Peter Muller, an eccentric,

whip-smart whiz kid who’d studied theoretical mathematics at

Princeton and now managed a fabulously successful hedge fund called

PDT…when he wasn’t playing his keyboard for morning commuters on

the New York subway. With him was Ken Griffin, who as an

undergraduate trading convertible bonds out of his Harvard dorm

room had outsmarted the Wall Street pros and made money in one of

the worst bear markets of all time. Now he was the

tough-as-nails head of Citadel Investment Group, one of the most

powerful money machines on earth. There too were Cliff Asness, the

sharp-tongued, mercurial founder of the hedge fund AQR, a man as

famous for his computer-smashing rages as for his brilliance, and

Boaz Weinstein, chess life-master and king of the credit default

swap, who while juggling $30 billion worth of positions for

Deutsche Bank found time for frequent visits to Las Vegas with the

famed MIT card-counting team.

On that night in 2006, these four men and their cohorts were the

new kings of Wall Street. Muller, Griffin, Asness, and

Weinstein were among the best and brightest of a new breed,

the quants. Over the prior twenty years, this species of math

whiz --technocrats who make billions not with gut calls or

fundamental analysis but with formulas and high-speed computers--

had usurped the testosterone-fueled, kill-or-be-killed risk-takers

who’d long been the alpha males the world’s largest casino.

The quants believed that a dizzying, indecipherable-to-mere-mortals

cocktail of differential calculus, quantum physics, and advanced

geometry held the key to reaping riches from the financial

markets. And they helped create a digitized money-trading

machine that could shift billions around the globe with the click

of a mouse.

Few realized that night, though, that in creating this

unprecedented machine, men like Muller, Griffin, Asness and

Weinstein had sowed the seeds for history’s greatest financial

disaster.

Drawing on unprecedented access to these four number-crunching

titans, The Quants tells the inside story of what they thought and

felt in the days and weeks when they helplessly watched much of

their net worth vaporize – and wondered just how their mind-bending

formulas and genius-level IQ’s had led them so wrong, so

fast. Had their years of success been dumb luck, fool’s gold,

a good run that could come to an end on any given day? What

if The Truth they sought -- the secret of the markets -- wasn’t

knowable? Worse, what if there wasn’t any Truth?

In The Quants, Scott Patterson tells the story not just of these

men, but of Jim Simons, the reclusive founder of the most

successful hedge fund in history; Aaron Brown, the quant who used

his math skills to humiliate Wall Street’s old guard at their

trademark game of Liar’s Poker, and years later found himself with

a front-row seat to the rapid emergence of mortgage-backed

securities; and gadflies and dissenters such as Paul Wilmott,

Nassim Taleb, and Benoit Mandelbrot.

With the immediacy of today’s NASDAQ close and the timeless power

of a Greek tragedy, The Quants is at once a masterpiece of

explanatory journalism, a gripping tale of ambition and hubris…and

an ominous warning about Wall Street’s future.

From the Hardcover edition.

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并非所有对冲基金都将被问讯。韦克斯曼只给2007年业绩最好的5位经理发出了传票，要求他们在电视镜头前说明这一影子产业到底给经济带来了怎样的风险。这5人在2007年的平均收入是10亿美元，大名鼎鼎的大佬乔治·索罗斯就是其中之一，其他人还包括先驱资本（Harbinger Capital）的菲利普·法尔孔（Philip Faucone），他的对冲基金2007年通过做空次贷回报率达125%。这样的收益与身旁的约翰·保尔森（John Paulson）比起来只能算小巫见大巫，保尔森公司（Paulson＆Co.）通过大量做空次贷，回报率高达600%，保尔森的个人奖金达到了30亿美元，这可能是有史以来年收入最高的投资者。剩下的两人分别是吉姆·西蒙斯和肯·格里芬。宽客们在美国国会山聚首了。

作为纽约大学的金融工程教授，塔勒布十分关注研究极端运动模型的紧张情况。其中，“跳跃扩散”模型允许价格突然的跳动；“广义自回归条件异方差模型”认为价格变动不同于抛硬币，而是会受到最近变动荡影响，并允许发生可能导致肥尾突发跳动的反馈过程。当然还有其他各种各样的模型。塔勒布指出，极端事件所造成的市场波动程度之猛，幅度之深是任何量化模型都无法捕获的——即使是那些嵌入了曼德尔布罗特的莱维肥尾过程因素的模型也不行。

宽客使用复杂的数学公式和超级计算机在市场中挖掘利润。

将数学在金融市场应用方面的突破运用于实践当中，计算市场运行的可预测模式。

对冲基金的核心引擎是基于计算程式的数学模型。

努力工作才是成功的秘诀。

大数定律是随着试验次数的增加，结果的平均值越来越接近某个常数。这个常数就是样本分布的均值。

凯利系统简单讲就是胜算大时出重手，胜算少时就收手。凯利策略限制了每次下注的最高额度。

市场以随机游走的方式运动。市场下一步会怎么走是不可知的。

大数定律，观察次数越多，结果的确定性就越高。对于某一手不知道能否胜出，但长期来看，只要遵循规则，最终就一定能获胜。

股票的未来运动（波动性）是随机的，因而是可以量化的。

根据固定参数对未来结果的概率进行推算。

对冲基金以离岸的方式注册，每年收取20%的绩效费。为了降低基金的波动性，卖空的同时也做多。套利即在某个市场买入某种资产且同时在另一个市场卖出同一种资产或其等价物。套利行为背后是一价定律。

风险管理是长期成功的核心保证。

考虑突发巨大价格变动这样的偶然事件。时刻紧盯凯利规则的首要参数——真实胜算。

资金管理正在向定量化、机械化转变。

对趋势的一次严重偏离可以逆转此前所有的结果。

市场可以在短期内呈现狂野的变化，对于高杠杆、高仓位的投资者而言，这样的变化足以造成巨大的损失，使他们一蹶不振。

世界上的黑天鹅事件要远远多于人们所认为的，而基于历史趋势和随机游走期望的模型注定给使用者带来毁灭性的打击。

极端波动性总是时不时的出现。

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