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《The Man Who Solved The Market》中文版翻译连载45

大奖章基金继续改进交易模型:将一天分成十个交易时段

《The Man Who Solved The Market》中文版翻译连载45
解决市场的人

The MAn Who Solved The Market (45)

Within Renaissance, word circulated that Commodities Corporation — a firm credited with launching dominant hedge funds run by commodity-focused traders including Paul Tudor Jones, Louis BACon, and Bruce Kovner — also passed on backing Simons’s fund.

文艺复兴内部,有传言称大宗商品公司也不支持西蒙斯的基金。该公司因推出主流对冲基金受到好评,它由专注于大宗商品交易员们运营,其中包括保罗·都铎·琼斯,路易斯·贝肯和布鲁斯·柯夫纳。

“The view from the industry was — ‘It’s a bunch of mathematicians using computers… What do they know about the business?'” says a friend of Simons. “They had no track record … risk was they were going to put themselves out of business.”

“行业观点是——‘这家公司是一群数学家在用计算机运营的……他们对这个行业了解多少?’”西蒙斯的一位朋友说道。“他们没有过往的记录……而风险在于他们可能会让自己破产。”

Simons still had his trADIng system, now managing a bit more than $70 million after a gain of 39 percent in 1991. If Simons could figure out a way to extend his winning strEAk, or even improve Medallion’s returns, he was sure investors would eventually come around. BerleKAmp, Ax, and Baum were long gone, though. Straus was in charge of the firm’s trading, data collection, and more, but he wasn’t a researcher capable of uncovering hidden trading signals. With competition growing, Medallion would have to discover new ways to profits. Seeking help, Simons turned to Henry Laufer, a mathematician who already had demonstrated a flair for creatIVe solutions.

西蒙斯仍在使用他的交易系统,在1991年取得了39%的收益之后,现在管理着7000多万美元资产。如果西蒙斯能找出办法延续联胜的势头,甚至是提高大奖章的回报率,他确信投资者们最终会改变主意的。不过,伯莱坎普,艾克斯和鲍姆早就离开了。斯特劳斯现在管理公司的交易、数据收集和其他工作,但他不是一个能发现隐藏交易信号的研究员。随着竞争更加激烈,大奖章必须找到新的盈利办法。为了寻求帮助,西蒙斯求助于亨利·劳弗,这位数学家已经在创造性解决问题方面表现出了天赋。

Laufer never claimed any of the prestigious mathematics awards given to Simons and Ax, nor did he have a POPular algorithm named after him, like Lenny Baum or Elwyn Berlekamp. Nonetheless, Laufer had scaled his own heights of accomplishment and recognition, and he would prove Simons’s best partner yet.

劳弗从未获得任何西蒙斯和艾克斯曾获得的著名的数学奖项,也没有像莱尼·鲍姆和埃尔温·伯莱坎普那样拥有以自己名字命名的流行的算法。尽管如此,劳弗达到了自己的成就和认可的高峰,而且他将证明是西蒙斯最好的合伙人。

Laufer had finished his undergraduate work at the City Colleague of New York and graduate school at Princeton UniveRSIty in two years each, earning acclaim for progress he’d made on a stubborn problem in a field of mathematics dealing with functions of complex variables and discovering new examples of embedding, or structures within other mathstructures.

两年之内,劳弗先后在纽约城市学院获得了本科学位,并在普林斯顿大学获得了硕士学位,在解决复杂变量函数的数学领域中的一个顽固问题上取得了进展,并发现了其他数学结构中嵌入结构的新例子,劳弗因此受到赞誉。

Joining Stony Brook’s math department in 1971, Laufer focused on complex variables and algebraic geometry, veering away from classical areas of complex analysis to develop insights into more contemporary problems. Laufer came alive in the classroom and was popular with students, but he was more timid in his personal life. High school friends remember a bookish introvert who carried a slide rule. Early on at Stony Brook, Laufer told colleagues he wanted to get married and was eager to put himself in the best position to find the right woman. Once, on a ski trip with fellow mathematician Leonard Charlap, Laufer suggested they go down to the hotel’s bar “to meet some girls.”

劳弗1971年加入石溪分校的数学系,专注于复杂变量和代数几何,从复杂分析的经典领域转向对更多当代问题的洞察。劳弗在课堂上很活跃,并受到了学生的欢迎,但是在个人生活中就比较胆小了。高中的朋友记得他是个内向的书呆子,随着带着一把滑尺。在石溪分校的早期,劳弗告诉同事说他想要结婚,渴望把自己放在最佳位置上,以便找到合适的女人。一次,在和同事数学家莱纳德·查莱普一起滑雪履行的时候,劳弗建议他们去酒店的酒吧坐坐“认识几个女孩”。

Charlap looker at his friend and just laughed.

查莱普看了看他朋友,然后大笑起来。

“Henry, you’re not that kind of guy,” Charlap said, knowing Laufer would be too shy to hit on women in a hotel bar.

“亨利,你不是那种人,”查莱普说道,他知道劳弗太害羞了没法在酒店的酒吧搭讪到女人。

“He was a nice Jewish boy,” Charlap recalls.

“他是个非常好的犹太男孩,”查莱普回忆说。

Laufer eventually met and married Marsha Zlatin, a speech-language pathology professor at Stony Brook who shared Laufer’s liberal politics. Marsha had a more upbeat personality, often using the word “swell” to describe her mood, no matter the challenge. After suffering a series of miscarriages, Marsha amazed firiends with her buoyancy, eventually giving birth to healthy children. Later, she earned a PhD in speech-language pathology.

劳弗最终遇见了玛莎·兹拉廷并与她结了婚,玛莎是石溪分校的一位语言病理学教授,认同劳弗的自由主义政治观点。玛莎的个性更积极乐观,不管遇到什么挑战,她都会用经常用“非常好”这个词形容自己的心情。在遭受了多次流产后,她的乐观让朋友们惊叹,最终生下健康的孩子。后来,她获得了语言病理学博士学位。

Marsha’s outlook on life seemed to influence Laufer. Among colleagues, he was known as a willing collaborator. They noticed Laufer had a special interest in investing, and they were disappointed, but not shocked, when he rejoined Simons as a full-time employee in 1992.

玛莎的人生观似乎影响了劳弗。在同事中,他以乐于合作而出名。他们注意到劳弗对投资特别感兴趣,当他在1992年以全职身份重新加入西蒙斯的公司时,他们虽感到失望却并不吃惊。

Academics who shift to trading often turn nervous and edgy, worried about each move in the market, concerns that hounded Baum when he joined Simons. Laufer, then forty-six, had a different reaction — his improved pay relieved stress he had felt about the cost of his daughters’ college education, friends say, and Laufer seemed to relish the intellectual challenge of crafting profitable trading formulas.

转去做交易的学者通常会变得紧张易怒,担忧市场中的每一个波动,这种担忧在鲍姆加入西蒙斯时一直困扰着他。46岁的劳弗却有着不一样的反应——朋友们说工资的提高缓解了他对女儿大学教育成本的压力,而劳弗似乎很享受打造可盈利交易方程式时需面临的智力挑战。

For Simons, Laufer’s geniality was a welcome relief after years of dealing with the complicated personalities of Baum, Ax, and Berlekamp. Simons became Renaissance’s big-picture guy, wooing investors, attractive talent, planing for emergencies, and mapping a strategy for how his team — with Laufer leading research in a new Stony Brook office, and Straus running trading in Berkeley — might build on the recent strong returns.

对西蒙斯来说,在与鲍姆、艾克斯和伯莱坎普等性格复杂的人打交道多年后,劳弗的和蔼可亲简直是一种令人欣喜的解脱。西蒙斯成为文艺复兴的大佬,争取投资者的支持,吸引人才,为紧急情况做计划,在近期强劲回报的基础上为团队进行分工——劳弗在全新的石溪分校办公室领导研究团队,斯特劳斯在伯克利运营交易业务。

Laufer made an early decision that would prove extraordinarily valuable: Medallion would employ a single trading model rather than maintain various models for different investments and market conditions, a style most Quantitative firms would embrace. A collection of trading models was simpler and easier to pull off, Laufer acknowledged. But, he argued, a single model could draw on Straus’s vast trove of pricing data, detecting correlations, opportunities, and other signals across various asset classes. Narrow, individual models, by contrast, can suffer from too little data.

劳弗很早就作出了一个被证明非常有价值的决定:大奖章基金应该采用单一的交易模型,而不是包含各种模型来应对不同的投资品和市场情况,这是大多数量化公司都会采用的模式。劳弗承认有一整套交易模型更简单,也更容易实现。但是他认为单一模型可以利用到斯特劳斯收集的价格数据的巨大宝库,探知各种资产别中的相关性、交易机会和其他信号。相比之下,有限的、单独的模型可能会因为数据太少而遭受损失。

Just as important, Laufer understood that a single, stable model based on some core assumptions about how prices and markets behave would make it easier to add new investments later on. They could even toss investments with relatively little trading data into the mix if they were deemed similar to other investments Medallion traded with lots of data. Yes, Laufer acknowledged, it’s a challenge to combine various investments, saya currency-futures contract and a US commodity contract. But, he argued, oncethey figured out ways to “smooth” out those wrinkles, the single model would lead to better trading results.

同样重要的是,劳弗明白基于价格和市场行为的一些核心假设的表现,即一个单一的、可靠的模型可能会使后续增加新的投资变得更简单。如果交易数据相对较少的投资品被认为与其他交易数据较多的品种似的话,他们甚至可以将这些投资品直接扔到组合中去。是的,劳弗承认,将各种投资结合在一起是一种挑战,比如说一份外汇期货合约和一份美国商品合约。但是,他认为,一旦他们找到方法“摆平”那些问题,那么单一模型将带来更好的交易结果。

Laufer spent long hours at his desk refining the model. At lunchtime, the team usually piled into Laufer’s aging Lincoln Town Car and headed to a local joint, where the deliberations continued. It didn’t take long to come up with a new way to look at the market.

劳弗在书桌前花了很长时间改进模型。午饭时间,团队经常通常会挤进劳弗那辆老旧的林肯轿车,前往当地一家酒吧,在那里继续讨论。没用多久,他们就想出了看待市场的新办法。

Straus and others had compiled reams of files tracking decades of prices of dozens of commodities, bonds, and currencies. To make it all easier to digest, they had broken the trading week into ten segments — five overnight sessions, when stocks traded in overseas markets, and five day sessions. In effect, they sliced the day in half, enabling the team to search for repeating patterns and sequences in the various segments. Then, they entered trades in the morning, at noon, and at the end of the day.

斯特劳斯和其他人编制了大量文件,追踪数十年来数十种商品、债券和货币的价格。为了更好地消化这些数据,他们把交易周切割成十个时段——五个海外市场股票交易的隔夜时段,五个日间交易时段。实际上,他们把交易日一分为二,为了让团队在不同的时段中搜寻重复的模式和序列。然后,他们在早晨、中午和交易日收盘时进行交易。

(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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