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失灵：为什么看起来可靠的模型最终都会失效

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Jingdong book

失灵：为什么看起来可靠的模型最终都会失效

Name: 失灵：为什么看起来可靠的模型最终都会失效
Brand: Jingdong book
SKU: 3111008001
Price: 24.77 USD
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《失灵》年龄越大，越会发现生活中，理性无法调和的矛盾之处。我的一位治疗师朋友告诉我，当她为病人治疗时，如果病人有负面情绪，她就会放一杯10毫升的水在自己和病人之间，来保护自己。她认为水分子可以吸收负能量，这是水分子的物理本质。病人离开后，她会把那杯水倒入厕所中冲走。在我看来，这想法虽然很有趣，但完全是天方夜谭。她确深信不疑，还要推荐给我使用。
人们混淆隐喻和事实时，我总是会不耐烦。如果某个人对自己所说的理论深信不疑，并且想用自己的理论来帮你，但事实上却分不清现实和虚幻的界限，你该拿他怎么办呢？

Content Description

在华尔街做数量分析工作的物理学家通常被称为宽客，宽客建立模型的初衷是让华尔街能够避开风险、繁荣发展。但是在金融危机中，宽客们饱受指责，大家认为是宽客建立的复杂数学模型引发了金融危机。是什么让这些模型如此危险呢？
伊曼纽尔·德曼（Emanuel Derman）之前曾作为宽客在华尔街工作，他以业内人士的视角，犀利地分析了模型与人类认知之间的冲突。在个人生活甚至政治领域中，我们总能发现所谓的科学严谨并不那么令人信服。数学模型与物理模型关系极为密切，但是在物理领域，理论旨在描述事实，而在金融领域，模型只是尽可能地逼近事实。
德曼用金融理论和实践的亲身体验解释了看来可靠的模型为何会失效，为什么金融模型会使经济崩溃，并且提出了制定模型的一些基本原则，从而帮助人们逃脱模型所带来的束缚。

Author Description

伊曼纽尔·德曼，早年毕业于哥伦比亚大学，获理论物理学博士学位。在AT&T公司贝尔实验室任职后，他跟随华尔街正在兴起的洐生产品革命大潮，自1985年起先后加入著名投资银行高盛集团和所罗门兄弟公司。德曼在金融产品创新领域颇有建树，他参与创作了业界广为采用的布莱克－德曼－托伊利率模型和德曼－卡尼局部波动率模型，于2000年当选国际金融工程师协会年度金融工程师，2002年入选《风险》杂志名人堂。2004年出版的《宽客人生》一书使其广为人知。

Comments

★伊曼纽尔·德曼的书正是我喜欢的类型，结合了回忆、坦承、伦理、科学哲学以及专业实践。他透彻地分析了理论与模型的区别，并阐释了为什么金融市场建立的模型永远都不科学。他的论述证实了我们的观点，即金融建模既不实用也不科学。本书写得引人入胜。
——纳西姆·塔勒布，《黑天鹅》作者

★本书引人入胜、发人深省，让我们对很多假设提出质疑。正如德曼所阐释的那样，模型本身并没有好坏之分，它们对现代社会的发展做出了贡献。然而随意使用模型却导致了很多悲剧的结果。德曼清楚地阐释了这一观点，并结合自身的人身经历——在南非种族制度下长大，在科学界工作，然后转战华尔街，成为金融工程师——使叙述更为生动。如果人们愿意听结论的话，结论还是很乐观的。
——吉莉安·泰特，著有《黄铁矿》

★本书深入阐述了人类在预测未来，特别是金融市场的未来时，能力有限。作者并不是要指责谁，对政治也不感兴趣，只是想从金融危机中吸取更深的教训。他是物理学家，但在金融界也有着崇高的地位，他清楚地阐释了预测与建议、理论与模型、知识与智慧之间的区别。
——李·施莫林，圆周理论物理研究所的高级研究员，《物理学的困境》、《宇宙的生命》和《三条通往量子重力的道路》作者

★如果你不想让你的模型失效，就得好好研究这本关于定量模型哲学的书。德曼一直是华尔街最受尊敬的宽客，本书也证明了他思虑周密。不过在续集中，他应该告诉我们那个在苏丹上空心脏病突发的胖男人最后到底怎么了。
——克里夫·阿斯内斯，博士，AQR资本管理公司的创立者和管理者

Catalogue

第一部分模型
第一章愚蠢的一致性
第二章隐喻、模型与理论

第二部分模型表现
第三章绝对
第四章升华

第三部分模型生效
第五章缺陷
第六章打破惯例
附录逃脱束缚
致谢

Book Abstract

马克思和恩格斯1848年在《共产党宣言》中写道：“一切固体都烟消云散，一切神圣的东西都被亵渎了。人们终于不得不用冷静的眼光来看待他们的生活状况和相互关系。”他们所描绘的是现代资本主义，这种生活方式的目标就是高效、及时的生产，甚至不惜牺牲过去惯用的所有标准。
这段引用中“固体烟消云散”，如果用化学术语来说就是升华，即物质不经过液态、从固态直接变成气态的过程，两位作者以此隐喻资本主义无止境的逐利行为，终将导致传统价值的毁灭。在这场始于2007年、并蔓延至今的金融危机中，金融、道德价值就如同固体气化般烟消云散。
美国一直宣扬创造性毁灭的好处，但是却言行不一。1997年亚洲金融危机爆发时，外国资本纷纷从新兴市场逃离，新兴国家政府对此无可奈何，西方的自由民主人士告诫新兴国家政府：这就是自由市场的运作方式。而如今，西方却在干预自己的市场，只是因为这么做对西方最为有利。
此次金融危机见证了无数定量、定性模型的失败。过去二十年，美国制造业衰退；金融业蓬勃发展；金融监管松懈；经济一出现衰退就实施刺激性政策；纳税人为救助大企业买单；裙带资本主义盛行；私营部门盈利，公共部门亏损；穷人、弱者为富人、强者赎罪；公司卖空股票牟利，法律却保护这些公司的股票不被卖空；评级机构工作不力却不受惩罚；政府政策将资不抵债视为流动性差；从定量角度看，为了推销产品，大量使用劣质的定量证券估价模型。
人、模型、理论均表现不佳，人们疯狂地想规避损失，并且不计一切代价，希望恢复到危机爆发前的状况。
理论，模型和直觉
不管怎样，人们都对未来忧心忡忡。在内心深处，大家都明白，建立模型、创造理论的初衷是预测，即预测未来，掌控未来。
在大学初学物理时，我第一次感受到理解世间万物的乐趣与力量，让我深深爱上了物理。职业生涯初始，我主要从事基本粒子物理的研究，这一领域的理论能够做出非常精确的预测。之后我转战金融市场，成为了专业分析员，这一领域充斥着复杂却无切实依据的模型。我始终都在观察自己和周围的同事，以及在处理问题时我们所做的假设。
究竟什么样的理论、模型才是有效的呢？在物理领域，要分辨哪些是物理学家，哪些是不切实际的狂想家，不用关注他们的学术背景，只需要看看他们的著作就可以了。而在金融界，想要区分却并不容易。在金融领域，似乎任何事都有可能发生。想要使用金融理论或模型的人，必须先要了解模型的原理及其局限。但很少有人有实践经验，能够理解模型的局限，及局限的根源。金融危机爆发后，极端主义者想要摒弃所有的金融模型，认为人类能够完全依靠经验在金融界驰骋。而那些理想主义者却坚信，一定有一个模型能够反映市场的所有玄妙之处，只是我们还没设计出这样的模型罢了，只要有了这个模型，人类就不再需要常识。而事实真相是两个观点的中和。
我认为认识世界有三个方法：理论、模型和直觉。本书就是要描绘三种方法的模式以及异同点。2007年的抵押贷款危机中，定量模型纷纷失效，人们对此感到震惊，主要是因为误解了模型和理论之间的区别。模型和理论形式上看很类似，但在内容上却千差万别。
理论旨在发现世界运作的原则，理论需要证明，但却无需验证其存在的合理性。理论是自成体系、独立存在的。而模型的建立必须要基于别的事物，模型将两个类似的事物进行类比，而类似毕竟不是完全相同，因此模型无法避免地会进行简化、减少了世界的维度。模型试图将纷繁复杂的世界简化后，放进约瑟夫·康奈尔盒子(Joseph Cornell box)中，如果还合适的话，就假定这个盒子就是世界本身。简而言之，理论描绘的是“是什么”，而模型描绘的是“像什么”。
直觉包含的内容更为广泛，能够使人剑合一、使主客体合一。要获得直觉并不容易，需要长期艰苦的努力。
我们能从理论、模型中得到些什么呢？是由于什么原因呢？本书将阐述理论有效、模型却无效的原因，并给出应对方案。
……

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