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《The Man Who Solved The Market》中文版翻译连载41

量化投资第一人:现代数学家爱德华·索普 一个战胜一切市场的人

《The Man Who Solved The Market》中文版翻译连载41
解决市场的人

The MAn Who Solved The Market (44)

During the 1980s, Professor Benoit Mandelbrot — who had demonstrated that certain jAGGed mathematical shapes called frACtals mimic irregularities found in nature — argued that financial markets also have fractal patterns. This theory suggested that markets will delIVer more unexpected events than widely assumed, another rEAson to doubt the elaborate models produced by high-powered computers. Mandelbrot’s work would reinforce the views of trader-turned-author Nassim Nicholas Taleb and others that POPular math tools and risk models are incapable of sufficiently preparing investors for large and highly unpredictable deviations from historic patterns — deviations that occur more frequently than most models suggest.

二十世纪八十年代,本华·曼德博教授——曾证明某些被称为分形的锯齿形数学形状模拟了自然界中的不规则现象——他认为金融市场也有分形结构。该理论认为,市场将产生比普遍假设的更多的意外事件,这也是人们怀疑由高性能计算机产生的复杂模型的另一个理由。曼德博的研究成果印证了曾为交易员的作家纳西姆·尼古拉斯·塔勒布等人的观点,即流行的数学工具和风险模型无法让投资者从历史模式中对大规模不可预测的偏离作出应对——这种偏离出现的频率远比模型显示的要高。

Partly due to these concerns, those tinkering with models and machines usually weren’t allowed to trade or invest. Instead, they were hired to help — and stay out of the way of — the traders and other important people within banks and investment firms. In the 1970s, a Berkeley economics professor named Barr Rosenberg developed Quantitative models to track the factors influencing stocks. Rather than make a fortune trADIng himself, Rosenberg sold computerized programs to help other investors forecast stock behavior.

部分出于这些担忧,那些摆弄模型和机器的人通常被禁止交易投资。他们反而被招募去给交易员和其他银行和投资公司的重要人物做辅助,而不是挡着他们的路。二十世纪七十年代,一位名叫巴尔·罗森伯格的伯克利经济学教授发明了一种量化模型,可以追踪影响股价的要素。他没有通过交易赚到钱,而是把计算机程序卖掉来帮助其他投资者预测股票走势。

Edward Thorp became the first modern mathematician to use quantitative strategies to invest sizable sums of money. Thorp was an academic who had worked with Claude Shannon, the father of information theory, and embraced the proportional betting system of John Kelly, the Texas scientist who had influenced Elwyn BerleKAmp. First, Thorp applied his talents to gambling, gaining prominence for his large winnings as well as his bestselling book, Beat the Dealer. The book outlined Thorp’s belief in systematic, rules-based gambling tactics, as well as his insight that players can take advantage of shifting odds within games of chance.

爱德华·索普成为第一个采用量化策略进行大规模投资的现代数学家。索普作为一名学者曾与信息论之父克劳德·香农一起工作,并信奉约翰·凯利的比例投注系统,凯利是德克萨斯州的一名科学家,对埃尔温·伯莱坎普产生了重要影响。起初,索普利用天赋去赌博赢得了大笔奖金,并因为他的畅销书《击败庄家》的出名。这本书概述了索普系统化、规则化的赌博策略,以及他关于赌博的见解,即玩家可以在博弈游戏中利用几率变化取胜。

In 1964, Thorp turned his attention to Wall Street, the biggest casino of them all. After reading books on technical analysis — as well as Benjamin Graham and David Dodd’s landmark tome, Security Analysis, which laid the foundations for fundamental investing — Thorp was “surprised and encouraged by how little was known by so many,” he writes in his autobiography, A Man for All Markets.

1964年,索普将注意力转向了华尔街,这里是世界上最大的赌场。在读了几本关于技术分析的书之后——本杰明·格雷汉姆和大卫·多德的里程碑式的巨著《证券分析》,该书奠定了基础面投资的基础——索普在其自传《战胜一切市场的人》中写道,“这么多人对此知之甚少”,这让他感到惊讶也受到了鼓舞。

Thorp zeroed in on stock warrants, which give the holder the ability to purchase shares at a certain price. He developed a formula for determining the “correct” price of a warrant, which gave him the ability to detect market mispricings instantly. Programming a Hewlett-Packard 9830 computer, Thorp used his mathematical formula to buy cheap warrants and bet against expensive ones, a tactic that protected his portfolio from jolts in the broader market.

索普对认股权证一无所知,该品种给予持股人在特定价格买入股票的权利。他发明了一个公式来确定权证的“正确”价格,这使他能立即发现市场的错误定价。索普用一台惠普9830型电脑编程,利用数学公式买入便宜的权证、做空昂贵的权证,这一策略保护了他的投资组合免受更广泛市场震荡的影响。

During the 1970s, Thorp helped lead a hedge fund, Princeton/ Newport Partners, recording strong gains and attracting well-known investors — including actor Paul Newman, Hollywood producer Robert Evans, and screenwriter Charles Kaufman. Thorp’s firm based its trading on computer-generated algorithms and economic models, using so much electricity that their office in Southern California was always boiling hot.

二十世纪七十年代,索普领导了一只对冲基金——普林斯顿/纽波特合伙公司,他不仅取得了强劲收益还吸引了诸多著名的投资者,如演员保罗·纽曼、好莱坞制作人罗伯特·埃文斯,以及剧作家查尔斯·考夫曼。索普公司利用基于计算机生成的算法和经济模型进行交易,耗电量如此大以至于他们在南加州的办公室总是非常热。

Thorp’s trading formula was influenced by the doctoral thesis of French mathematician Louis Bachelier, who, in 1900, developed a theory for pricing options on the Paris stock exchange using equations similar to those later employed by Albert Einstein to describe the Brownian motion of pollen particles. Bachelier’s thesis, describing the irregular motion of stock prices, had been overlooked for decades, but Thorp and others understood its relevance to modern investing.

索普的交易公式受到了法国数学家路易·巴舍利耶博士论文的影响,巴舍利耶曾在1900年开发了一套为巴黎证交所期权定价的理论,其中使用的方程与爱因斯坦后来用来描述花粉粒子布朗运动的方程式相似。在巴舍利耶的论文中描述了股票价格的不规则波动,这一理论已经被忽视了几十年,但是索普和其他人明白其与现代投资的关联性。

In 1974, Thorp landed on the front page of the Wall Street Journal in a story headline: “Computer Formulas Are One Man’s Secret to Success in Market.” A year later, his fortune swelling, he was driving a new red Porsche 911S. To Thorp, relying on computer models to trade warrants, options, convertible bonds, and other so-called derivative securities was the only reasonable investing approach.

1974年,索普登上了《华尔街日报》的头版头条:“计算机公式是一个人在市场上成功的秘密”。一年后,随着财富暴增,他开了一辆全新的红色保时捷911S。对于索普而言,依靠电脑模型交易权证、期权、可转换债和其他被称作金融衍生品是唯一合理的投资途径。

“A model is a simplified veRSIon of reality, like a street map that shows you how to travel from one part of the city to another,” he writes. “If you got them right, (you) could then use the rules to predict what would happen in new situations.”

“模型是现实的简化版本,就像街道地图一样指引你如何从城市的一个地方去往另一个地方,”他写道。“如果你使用正确,就能运用规则预测在新情况中将发生什么。”

Skeptics sniffed — one told the Journal that “the real investment world is too complicated to be reduced to a model.” Yet, by the late 1980s, Thorp’s fund stood at nearly $300 million, dwarfing the $25 million Simons’s Medallion fund was managing at the time. But Princeton/Newport was ensnared in the trading scandal centered on junk-bond king Michael Milken in nearby Los Angeles, ending any hopes Thorp held of becoming an investment power.

当然怀疑也应运而生——有人对华尔街日报表示,“真实的投资世界非常复杂而不能简化为一个模型。”然而,在二十世纪八十年代末期,索普基金的规模接近3亿美元,让西蒙斯大奖章基金当时2500万美元的规模相形见绌。但是普林斯顿/纽波特合伙公司卷入了以垃圾债券之王迈克·米尔肯为中心的交易丑闻之中,索普成为投资巨头的希望就此破灭。

Thorp never was accused of any impropriety, and the government eventually dropped all charges related to Princeton/Newport’s activities, but publicity related to the investigation crippled his fund, and it closed in late 1988, a denouement Thorp describes as”traumatic.” Over its nineteen-year existence, the hedge fund featured annual gains averaging more than 15 percent (after charging investors various fees), topping the market’s returns over that span.

索普从未被指控有任何不当行为,政府最终撤销了所有关于普林斯顿/纽波特合伙公司活动的指控,但是关于调查的报道却让基金陷入了瘫痪,并在1988年底关闭,索普形容这是一个“心理创伤”。在存续的19年间,这只对冲基金的年化收益超过了15%(在剔除各种管理费用后),超过了市场同期的回报率。

Were it not for the government’s actions, “we’d be billionaires,” Thorp says.

索普说,如果没有政府的行动,“我们将成为亿万富翁”。

(免责声明:仅供个人阅读学习及翻译参考。如有不准之处,请留言帮助改进)

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