1.好运气?坏运气?只是概率的名字

(Reference: Nassim Nicholas Taleb. Fooled by Randomness)

先来考虑一个问题:你觉得未来一年内市场是升还是降?你会做多还是做空?

对这个问题,Nassim是这么回答的:

My opinion was that the market was more likely to go up, but that it was preferable to short it, because, in the event of its going down, it could go down a lot.

如果数据要骗人,那我们真的是一点办法都没有。哦不对,数据不会骗人,他们只会在下一秒改变主意。从温和的经济学世界走进风雨飘摇的数学金融界后,第一个看到的,也是最重要的就是随机过程(Stochastic Process)。大家最熟悉的Black Schole Model对我们的金融市场做出的假定就是,股价由一个确定部分和一个不确定部分共同组成。而这个不确定的部分简直是要了所有的经济学家、投资者、交易员……的命了。Nassim的观点是,所有的超越市场的基金经理都只是对于在概率区间内观察到的幸存者偏差。即使是巴菲特也不例外。他们以后能一直成功吗?他们的经验可以学习和复制吗?大概答案全都在概率的神秘力量之内吧。

(to be continued)

 

 

Advertisements

发表评论

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / 更改 )

Twitter picture

You are commenting using your Twitter account. Log Out / 更改 )

Facebook photo

You are commenting using your Facebook account. Log Out / 更改 )

Google+ photo

You are commenting using your Google+ account. Log Out / 更改 )

Connecting to %s