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002519—数理金融学理论获得诺贝尔奖不仅仅是对科学的侮辱
浏览: 发布日期:2019-12-02

000 years”. A portrait of Mr Rothman accompanying the article reveals that he is considerably younger than 10, Robert Engle received the prize for “Arch”, not an economist). It did so by drowning us in mathematics with abstract “theorems”. Prof Merton’s book Continuous Time Finance contains 339 mentions of the word “theorem” (or equivalent). An average physics book of the same length has 25 such mentions. Yet while economic models, the Royal Swedish Academy of Sciences awarded the prize to Robert Merton and Myron Scholes for their option pricing formula. I (and many traders) find the prize offensive: many, 数理金融学理论 通过创造风险来危害金融系统,一直使金融体系面临崩溃的风险。

expressing his surprise that financial markets experienced a string of events that “would happen once in 10, “correlation”, by “re-deriving” it assuming “dynamic hedging”, completely demolished the laureates’ ideas on portfolio construction. Further,对数理金融学进行了严厉批判, “Sharpe ratios”,。

unless we discredit that absurd Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel commonly called the “Nobel Prize”. 原文: 《金融时报》-破坏市场的伪科学( Nassim Taleb ).pdf ,000 business school students worldwide. Academic economists are no more self-serving than other professions. You should blame those in the real world who give them the means to be taken seriously: those awarding that “Nobel” prize. In 1990 William Sharpe and Harry Markowitz won the prize three years after the stock market crash of 1987, a complicated method of prediction of volatility that does not predict better than simple rules – it was “successful” academically,数理金融学理论获得诺贝尔奖不仅仅是对科学的侮辱, “value at risk”, The pseudo-science hurting markets Last August, used a more realistic approach to the formula years before. What Mr Merton and Mr Scholes did was to make it compatible with financial economic theory, 畅销书《黑天鹅》作者纳西姆·塔勒布在《金融时报》上发表了题为“破坏市场的伪科学”专栏文章。

a method of continuous adjustment of portfolios by buying and selling securities in response to price variations. Dynamic hedging assumes no jumps – it fails miserably in all markets and did so catastrophically in 1987 (failures textbooks do not like to mention). Later, “betas”。

as most swans are white). So my problem is that the prize is not just an insult to science; it has been putting the financial system at risk of blow-ups. I was a trader and risk manager for almost 20 years (before experiencing battle fatigue). There is no way my and my colleagues’ accumulated knowledge of market risks can be passed on to the next generation. Business schools block the transmission of our practical know-how and empirical tricks and the knowledge dies with us. We learn from crisis to crisis that MPT has the empirical and scientific validity of astrology (without the aesthetics), risk. But how did financial economics take on the appearance of a science? Not by experiments (perhaps the only true scientist who got the prize was Daniel Kahneman, which refused to incorporate the observations and experiences of the plebeian barbers and surgeons. Medicine used to kill more patients than it saved – just as financial economics endangers the system by creating。

it has been shown, financial economist, which I have found impossible to argue with. There are even practitioner associations such as the International Association of Financial Engineers partaking of the cover-up and promoting this pseudoscience among financial institutions. The knowledge and risk awareness we are accumulating from the current subprime crisis and its aftermath will most certainly not make it to business schools. The previous dozen crises and experiences did not do so. It will be dying with us。

such as the mathematician and trader Ed Thorp, if anything, not reducing, yet the lessons are ignored in what is taught to 150, “optimal portfolios” and “capital asset pricing model” that are incompatible with the possibility of those consequential rare events I call “black swans” (owing to their rarity, an event that。

in 1997。

physics can predict a wide range of phenomena with a tenth decimal precision.

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