習廣思's 的頭像

資深投資者。金融打滾數十年,樂意與讀者分享投資心得。

火箭專家 輸贏啟示

 要數《AR》賺錢之神,不得不提James Simons(左)。 (資料圖片)

《信報》信筆攻略:......今之投資世界,除了金融專才,更缺乏的是一批數學博士。James Simons的復興科技基金(Renaissance Technologies)在對沖基金界可謂「神中之神」,他在2007年曾在公開演說中話,復興基金不在華爾街請人,大家毋須寄履歷求職,他們只聘請物理學家、數學家、天文學家、電腦科學家,而他們均對金融一曉不通。Simons本身就是數學科學家,而簡單點說,復興科技基金公司根本像一間科技公司多過投資機構,請的都是火箭專家。

復興基金 賺錢之神

上周《Absolute Return+Alpha》雜誌公布二十五大最賺錢的對沖基金經理,這份名單向來最受重視。Ray Dalio成為最賺錢的對沖基金經理,毫無懸念可言,但今年很重要的一個現象──洗牌局面非常嚴重,一來像索羅斯般「神級」經理退休,其基金轉為家族管理而不在榜上,其次是許多過往的賺錢之神老貓燒鬚,Paulson跌出榜外雖是意料之內,但依然是新聞焦點;不過,《AR》的文章中特別指出,過去11年對沖基金經理愈來愈不易做,賺錢愈來愈難,本應是長期追求正回報的對沖基金。根據HRF數據,11年內有3年錄得虧蝕,期間有新星冒起,繼而被踢出榜,Paulson就是其中之一。

除索羅斯外,《AR》這個「賺錢之神」榜,有三位人物連續十年登榜,包括SAC Capital的Steven Cohen、Citadel的Kenneth Griffin、Millennium Management的Israel Englander,意味其主要基金長期穩定地賺錢,尤其是在過去周期縮短變化極大的十年內,但能夠在這個榜上長期成為賺錢之神的其實是James Simons!復興科技基金旗下另外兩位主腦人物Peter Brown和Robert Mercer都齊齊上榜。

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所有評論

三十三博 - 2012年04月06日 06:47

習先生,
多謝好文。Mercer和Brown都是語音辨識和語言模型有開創性研究的高手。事實上,語音信號和股價的升跌有類似之處。兩位成為Renaissance的主要人物有其道理。

壹一 - 2012年04月06日 08:26

J M Hurst is the pioneer to apply signal processing in wall street. Hurst is an scientist to invent submarine sonar system.

壹一 - 2012年04月06日 08:30

I am considering to apply graph theory to investigate the topology of market to observe cash flow. But it need huge computing power and D-Wave cloud service may help.

壹一 - 2012年04月06日 08:34

三十三博: Mandelbrot apply fractal geometry, Shannon apply information entropy, Gann apply Law of Vibration. They all beat the market. All have one common parameter in it? Do you know what is it?

養珠樓主 - 2012年04月06日 08:39

陶尚幾時會上榜?

壹一 - 2012年04月06日 08:41

I am playing face recognition in OpenCV that involve algo of Neural Network. We need strong AI powerful by quantum computer to archive the job cause our brain is an kind of quantum computer.

壹一 - 2012年04月06日 08:50

MIT is the origin of Econophysics, Shannon even had few lectures in Economics in MIT and full house. They all don't believe random walk model and critcize other model by econmists like CAPM. If it is pure random, it is stupid to put effort on any analysis on the market no matter fundamental, technical, astrological .... cause it is just like coin tossing. You chance of winning is 50/50 and pure luck. God don't throw dice.

壹一 - 2012年04月06日 08:56

May be the impolsion physics can apply to stock market.

JKwok9 - 2012年04月06日 09:31

離開了大學數十年,現在看這些名詞,有點兒吃力。但還是很有興趣知多一些。

JKwok9 - 2012年04月06日 09:32

"壹一 三十三博: Mandelbrot apply fractal geometry, Shannon apply information entropy, Gann apply Law of Vibration. They all beat the market. All have one common parameter in it? Do you know what is it?"

What is in common?

PBrega - 2012年04月06日 09:35

We cannot replace brain with quantum computer, because the neuron cannot be increased or activated as required. And we have so many neuron in our brain that we can never run out of it. In the real computational world, you cannot increase the number of neuron as wish, because you cannot increase memory capacity with the present OS design. Even with parallel model, the memory is limited by virtual location.

JKwok9 - 2012年04月06日 09:37

Is it motion?

壹一 - 2012年04月06日 09:42

d Price proportional to sqtr d Time in stock fractal geometry which is similar to Gann Angle. Price and Time are related and have a geometry relationship.

壹一 - 2012年04月06日 09:44

PBrega: Where is our memory store?

壹一 - 2012年04月06日 09:48

Mandelbrot found in Fractal Geometry, Gann found it in Scared Geometry. Actually both are depict our universe in different ways but are in common. Tree of life is replicate of seed of life in sacred geometry (self similarity).

壹一 - 2012年04月06日 09:50

JKwok9: Phi = 7/5 *Pi/e, you may found the answer in this equation.

PBrega - 2012年04月06日 10:02

壹一,We can only use harddisk as present. But the file system cannot be expanded without any limitation, even with additional VFSD.

PBrega - 2012年04月06日 10:14

If we increase neuron as for adaptation, the neuron will be stored in virtual filesystem. But we have to continue to add VFSD when there is not enough memory. Other way is to modify neuron for adaptation, but the way of modification also is a process of adaptation. They should also be stored. What you can do?

壹一 - 2012年04月06日 10:20

According holograohic universe theory of Bomn. Our memory is stored in the whole universe.

JKwok9 - 2012年04月06日 10:23

Phi = 7/5 *Pi/e?
Phi, Pi, e ....我現在已經唔想看這些,頭都痛。

我都係看易經算啦。謝謝!

壹一 - 2012年04月06日 10:28

It is also related to I-Ching too

壹一 - 2012年04月06日 10:33

7乃變5乃行.Pi為顯e為藏.

壹一 - 2012年04月06日 10:35

Without Phi, Universe cannot evolve and exisit.

壹一 - 2012年04月06日 10:41

圓以行曲則全

JKwok9 - 2012年04月06日 12:14

JKwok9 - 2012年04月06日 12:15

但我還是喜歡原汁原味的易經

QQKK - 2012年04月06日 13:51

咁Renaissance Technologies( ( RT) 會唔會係另一間 Long-Term Capital Management ( LTCM), 未死人之前 LTCM 都係係 NASA 請咗好多火箭專家番去計數...........D火箭專家可能計得掂射上天的火箭.....不過好似計唔掂D會跌嫁 資本市塲 !

不過点都好 如果LTCM 火箭專家計得掂....咁香港打大鱷果獲死嘅唔係大鱷係 Sir 曾鳥 !

geoffhurst - 2012年04月06日 14:40

LTCM 不單是火箭專家更可有兩位諾貝爾得獎人士

壹一 - 2012年04月06日 14:48

Merton and Scholes are not rocket scientists but econometric economists.

QQKK - 2012年04月06日 15:52

" LTCM 不單是火箭專家更可有兩位諾貝爾得獎人士 "...果2個仲係發明條計價方程式嫁添 !!!

咁强唓容都瓜佬親.....所以咪話 "人算不如天算 " !!!

QQKK - 2012年04月06日 15:55

壹一 bro Merton and Scholes are not rocket scientists, 不過 LTCM 係係 NASA 挖咗巧多火箭專家番去計數...

kaninchen - 2012年04月06日 15:59

Dare you to board an airplane without a pilot, even though most of time in the air is autopilot mode, sit back and relax the services by CX xxx.

geoffhurst - 2012年04月06日 17:39

所以學說可不可以來實戰?

geoffhurst - 2012年04月06日 17:59

他們就死在無 liquiity 下,走都走唔到。

陶尚 - 2012年04月06日 20:16

Each and every theory has limitation. M&S are rocket scientists. At least, the theories they apply are purely from physical theory or mathematical theory.

陶尚 - 2012年04月06日 20:21

Why did LTCM fail? It is a very typical example on Black Swan. In brief, their failure is very typical as ordinary trader (both the professional or lay).

Firstly, their theories and beliefs have limitations. Any winning formula may be useful in most of the time but there is time bounded to be failed.

Secondly, they are over geared. A short term sharp movement against their odd could be very destructive.

Thirdly, bad luck. They bet in several directions and all of them coincidently move against their view. Their model might be correct and it can be correct 99%. But, just that 1% can kill.

陶尚 - 2012年04月06日 20:22

樓主,小弟吹水而已,沒有微言大義。XDDDDD.

陶尚 - 2012年04月06日 20:31

Frankly speaking, I have little knowledge on quantitative finance, although I once studied a programme on that subject before.

At the very beginning, I am very skeptical if solely on mathematical modeling could be applied in profitable trading. Now I believe that it works. At least, there are people make their living on that.

Agree with Sir One One. Although I am an outsider of finance and has no practical experience in QF, trading based on modeling by means of QF, astrology or whatsoever requires data and robust computational power.

With so many different assets, different markets and their derivatives, it is not uncommon that there are mispricing or arbitrage opportunity. If one has enough resources, namely manpower, computational power and data (which is the most important), it is not uncommon for those rocket scientists to spot profitable opportunity of virtually risk free as such opportunity is not readily be observed by ordinary trader (even professional or institutional).

陶尚 - 2012年04月06日 20:36

Obscure mathematical model might be very useful in spotting opportunities that are not readily be understood by others. If factual geometry is a must in understanding such opportunity, the first step is to understand what the hell that bloody factual geometry is. Such in itself is very painful. However, if factual becomes some common senses as 加減乘除, then the legend of Renaissance Technologies cannot be reproduced.

The success of Renaissance Technologies, of course, may be due to some other reasons that might be surprising simple old tricks.

陶尚 - 2012年04月06日 20:37

Gann's old writings inspire me a lot. I believe that Gann will be interested and success in trading VIX or its akin.

三十三博 - 2012年04月06日 21:15

各位:人對於股票訊號的了解,就有如對語音訊息的了解:其實此終在實驗階段。據我所聽所聞,大部分現今的Hedge或Quant其實都是像Developers。先研發算法,然後再測試。在大規模的實驗成功,在再實際使用。

所以我大概失言了。以上談及的星級學者能擔當主腦的原因,與其說是他們所研究的學科和股價相似。不若說他們對於科學實驗有創見性的分析,令他們較容易有創新的想法。

三十三博 - 2012年04月06日 21:19

我亦有點佩服習先生,因為有很多股評人會把量子基金一流當成邪說。當然啦,從習先生的說法,量子還似是談笑風生的話題,多於是沙場實戰的經驗。

雷文融 - 2012年04月06日 23:32

這篇是最近少有的好文。

壹一 - 2012年04月07日 00:04

Edward Thorp also at the same time have found the options pricing model when trading options with his partner, but seldom knew by the public. Today most people know the option pricing model by Black and Scholes.

壹一 - 2012年04月07日 00:07

I am testing the algo of rescale range.

壹一 - 2012年04月07日 00:08

Latter then multifractals of time and price.

壹一 - 2012年04月07日 00:12

三十三博: 因為有很多股評人會把量子基金一流當成邪說??? Cause quants don't agree what the way of CFA doing. That's why Renaissance never employ MBA students. CFA and Wall Street People.

三十三博 - 2012年04月07日 03:45

壹一兄:對,很多CFA和Analyst都不大瞭解近代的數學方法。所以把量子基金的說法都事為邪說。事實Quant,Technical Analysis和Fundamental Analysis三個community的人鮮有溝通。大概是因為即使要略讀齊三者的經典已經很難。

三十三博 - 2012年04月07日 03:50

陶尚先生:以你的經驗,Paul Wilmott的Introduction to Quantitative Finance是否好書呢?現在正在當娛樂淺閱。亦想問有甚麼延伸閱讀的好介紹。

陶尚 - 2012年04月07日 05:18

三十三博兄,yes. Most of the books on quantitative finance are so obscure. The series of book by Paul Wilmott, especially the one mentioned by you, is written in such an easy way and is suitable to be read 娛樂新聞. I have the full volumes for my occasional reference.

There are other ways in pricing options. Probably Sir One One may found breakthrough in pricing. Could we use I-Ching, astrofinance to do so? Nothing is impossible.

三十三博 - 2012年04月07日 05:54

>Could we use I-Ching, astrofinance to do so? Nothing is impossible.

I guess so. :) (And get the hue of your joke.)

Thank you, this motivates me to buy the whole volume set.

壹一 - 2012年04月07日 09:05

三十三博: I recommend you read the investment stories of modern scientists and their works on scientific discovery. How both are related? I think you already knew the investment story of Issac Newton - I can calculate the orbit of planet but not sentiment of human being, Why Newton fail on investment but some modern scientist success? This is a a big question to design your trading system.

三十三博 - 2012年04月07日 09:12

壹一: 多謝你的提點。高見領受啦。

壹一 - 2012年04月07日 09:12

三十三博: Yes, I am doing to combine, Ancient Chinese, Egpytian, Greece and modern science to form a new algo. I think I already know what Gann's want to reveal in law of vibration. What Gann found is some how in common to super string theory.

壹一 - 2012年04月07日 09:15

There is only and only one ultimate THRUTH. All the theories must ultimately pointing to same destination.

壹一 - 2012年04月07日 09:25

Modern Chaos Scientists found power law in stock price time series. which is similiar in Gann Angle.

陶尚 - 2012年04月07日 12:20

Newton represents the classical mechanics. May be quantum mechanics is the ultimate truth in investment theory. Paul Wilmitt attributes Einstein as the founder of quantitative finance and modern financial paradigm.

陶尚 - 2012年04月07日 12:21

Recently, there is an emerging school propose to use quantum mechanics in pricing options.

陶尚 - 2012年04月07日 12:22

Although I do not fully understand the laws of vibration, I too notice some patterns dis

陶尚 - 2012年04月07日 12:23

...patterns displayed in both the historical and implied volatility.

陶尚 - 2012年04月07日 12:25

Such may be echoed with Gann. If he was given the new data and modern computational power, I believe that he may discover more.

壹一 - 2012年04月07日 12:39

Options pricing just counting all the possible futures of underlying assets. Same as wavw function for all possible positons of atom do.

陶尚 - 2012年04月07日 13:03

Agreed. B&S options pricing assume log normal and random walks which are incorrect. Quantum mechanics allows all possibilities. It may be a much better pricing approach.

壹一 - 2012年04月07日 13:04

Russsin invented mind control weapon. They had in depth research in brain wave, that may have insight on market sentiment cycle.

陶尚 - 2012年04月07日 13:05

The concept of implied volatility is reflected the imperfect of the B&S model. Could we decode the market hidden signal by reading its movement?

陶尚 - 2012年04月07日 13:07

Interesting. As navigation was once my failed profession, I have special feeling or view about wave or vibration. Vibration will not come out from nothing and it is not random.

陶尚 - 2012年04月07日 13:08

By the way, Japanese AV actress too will have special feeling with vibrator.

壹一 - 2012年04月07日 13:12

Do a smlple experiment, vibrate a close loop string in different frequencies. You will find out something.

Big Mac - 2012年04月07日 14:35

The model of curve may tell you something in the past, you still need other input to forcast the trends of various stuff, for example; "Will you still want to buy car manufacturers stocks, if you know the following reseach results?"

It is an interesting article, the trend is spreading worldwidely:

Driving is becoming so last century. Since the end of World War II, getting a driver's license has been a rite of passage for teens, but that's less and less the case. The share of people in their teens, 20s and 30s with driver's licenses has dropped significantly over the past three decades, not only the United States, but also in some other wealthy nations with a high proportion of Internet users, transportation researchers have found...

From 1983 to 2008, the share of 16- to 39-year-olds with driver's licenses declined markedly, with the greatest decreases among drivers in their late teens and early 20s, according to a study at the University of Michigan Transportation Research Institute in Ann Arbor. About 69 percent of 17-year-olds had a driver's license in 1983. By 2008, that had dropped to 50 percent. Among Americans ages 20 to 24 in 1983, nearly 92 percent had driver's licenses. Twenty-five years later, it was 82 percent.

A recent study in 14 countries found seven of them had experienced a similar decrease in the share of young people with driver's licenses: Sweden, Norway, Great Britain, Canada, Japan, South Korea and Germany....

Not surprisingly, the number of miles young Americans drive every year has also been declining as measured by the Transportation Department's National Household Travel Survey. From 2001 to 2009, the annual number of vehicle miles traveled by drivers 16 to 34 years old decreased from 10,300 miles to 7,900 miles per capita - a drop of 23 percent, Thursday's report said.
Transport trend

陶尚 - 2012年04月08日 06:44

In physics, each object has its own unique frequency. In investment, each asset also has its own unique volatility.

陶尚 - 2012年04月08日 06:48

Big Mac, then we should short selling Durex. Young guys have lesser physical contacts and hence their chance of interpersonal exchange would be much lesser. That explains why Apple and NASDAQ surge up for they use iPhone to solve their basic needs.

吴清心 - 2016年03月21日 07:01

不好意思,借貴壇的人氣來聲討信報論壇網管和編輯的胡作非為,打擾了請勿見怪!。。。。。 關於:吳清心早前發表的 “信報網站論壇的三宗罪”被論壇內部網管人員

蜻蜓88
石亦雲

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等人

假冒壇友(查其壇內空洞無文)

連續跟帖10多個蓄意以莫須有的五毛宣傳不道德或某信仰主義去誤導他人神功戲貼文怪異、、等等言論來蓄意抹黑惡毒攻擊本港土生土長的著名詞曲作家音樂製作人吳清心先生意圖隱瞞其網管編輯心理變態和無能真相--信報論壇不少言論主觀偏頗欠中立網管編輯無能和素質低下自甘墮落讓其他壇友一同起哄我哋今日去邊度搵靶射?),可謂心狠手辣惡毒至極然後該貼再被刪除

 

針對本港土生土長真心實意的愛國愛民愛心音樂家吳清心先生的無理刪帖行為其實早已開始見一貼刪一貼諸位可以在吳清心論壇中發現真相

 

附注一

劃破黑暗的時代 指引光明的路向《回歸浪漫的世界》“萬家燈火 驅散黑夜, 走向光明  共同尋找”是純紫攜手吳清心正在演繹的動人新曲《回歸浪漫的世界》其中一句重要的歌詞內容。以純紫吳清心為靈魂人物的以諾歌唱音樂藝術文化團隊,在這個黑暗的世代,正在克服種種艱困地勇闖光明的路向,要帶領這個時代的人們在黑暗中劃出一道破口,讓光芒照耀,燃點人民新希望的曙光,越照越明亮,直至全球回歸浪漫的理想實現。 “愛心”、“公益”、“分享”是以諾陽光基金會及以諾文化傳播的核心文化,以諾的項目與使命包括:一)國家公益活動《為國謳歌》全國起動二)民族文化使命《浪漫的中華》環球巡演及三)國家民族任務《以愛之名唱響大美中國夢》下鄉獻愛心活動,加上為了配合我國新一代領導人全球戰略部署的是此活動《全球回歸浪漫香港起動》等,均是屬於愛國、愛民、愛地球的國家級、國際性和宇宙性高端事業。

純紫與吳清心去年12月在中國起動了為國謳歌公益巡演浪漫的中華--

福的惠州》,得到了國家機關中央媒體及各方鋪天蓋地持續兩個多月的報導及讚譽這次活動也正好在香港這裡舉行慶功宴感謝大家一同出席和祝賀這樣不可替代被譽為貼近國家新一代領導集體的治國理念和心聲的皇家御用音樂團隊兩位核心靈魂人物本港著名詞曲作家音樂製作人吳清心老師及國寶級歌唱家純紫小姐他們可謂是影響深遠的音樂家正在為國家為民族和為全人類地球村作出貢獻

 

純紫擁有非一般的天籟音色和音韻的結合可以挑戰宇宙最強音的歌藝成為地球上極少數具有靈性的真正天籟之音屬於中國的軟實力之一唱出和平友愛的中國信息到全世界為全球4500萬客屬人士為家鄉為香港為祖國及為本地樂壇爭光

純紫吳清心受讚譽愛國浪漫是永恆的主題http://ent.qianlong.com/2016/0104/242472.shtml

 

附注二

音樂救贖攜手傳遞愛的正能量:。。。而音樂家卻可以通過音樂演奏出一場無聲的教誨將愛傳遞給更多的人心中懷有愛的人創作出來的音樂往往可以帶給大家一場不同凡響的視聽感受在有限的創作時光中吳清心譜寫出了十幾首美妙動聽的音樂作品並迅速獲得了香港大眾的喜愛不僅如此專業領域也對吳清心創作的音樂給予了一致的贊許就像習主席在文藝工作座談會所說的那樣文學家藝術家只有在中國夢實踐中把自己當作群眾的忠實代言人耐得住寂寞才有可能創作出接地氣經得起時間考驗的精品

讓愛飛翔一場音樂知音的旅行吳清心和純紫他們正是用自己生命的積累和心血來創作了中國夢主旋律的系列文化歌曲

 http://www.newspaper365.org/yule/yinle/2014-12-17/10496.html

 

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