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 『本站出售，域名Boyilun.net+内容』 『谢绝还价！详情咨询 13761630213 上海 秦华』  这篇文章，我是在一位金融系的教授的博客上看到的。对于股市，对于经济，我相信混沌理论，而不相信所谓的模型，因为假设的模型，不能模拟出复杂的人性。我只有少得可怜的经济学的一些概念，所以，很多想法，说不得，因为无法说，更因为只可意会不可言传的莫名感觉。所以看完这文章的时候，我的内心是一种狂喜。引用这位教授的原话“如饥似渴地粗粗浏览一下就充满了“法喜”，一种悟道的喜悦，一种有着共鸣的快感，一个自然科学学习者的畅快。《Nature》！哈！金融海啸、自由市场理论的崩溃、几乎没有一个正确的预测、分析家指数（80%以上经济金融专家认为的东西，刚好发生反方向的几率接近100%），都是对这个伪科学的极大讽刺和反证。” 这篇文章，也很好地解释了，为什么各大券商对某股票的预测价位，总是偏离实际的价格好远。 论经济学的伪科学本质
经济学不是科学。这句话对于那些信仰经济学的人来说，估计不太能够接受。最近著名的科学期刊《自然》杂志发表了一篇关于经济学的文章，有人可能感觉奇怪，为什么自然科学杂志开始谈起经济学了？其实不奇怪，文章的名字叫做《经济学需要一场科学革命》，作者Jean-PhilippeBouchaud是一名物理学教授，不过目前正在运作一家对冲基金。
文章开篇就提出了一个很严峻的问题，相对于物理学在最近数百年来的无数次成功而言，经济学的成功数量少得可怜。依靠物理学，人类可以登上月球，核反应堆可以向千家万户提供能源，类似的例子数不胜数，可是经济学能够给出哪些经典成就呢？经济学家们提出了大量完美的数学模型来解释世界，但问题是这些模型没有一个能够预言出大萧条，更别提现在的金融危机了。有个诺贝尔经济学奖获得者提出了一个“动态随机一般均衡模型”的东西，用它来解释世界你会发现原来世界是如此完美的运行着，理论优美、数学严谨，看起来经济学家们找到了自己的圣经，但就是这个东西，完全没办法解释大萧条。问题是大萧条确实发生了。
物理学家和经济学家的研究方式是完全不同的。物理学家首先从事实出发，通过实验找到某些一般规律，然后试图从中提炼出数学模型，如果模型和现实世界有不同，那么这个模型立刻会被修正或干脆被废弃，即使这个模型的理论是如此优美，数学是如此的严谨，只要和事实不同，那都是没有价值的。一旦模型被正确的建立起来，那么其他物理学家的主要任务就是去找出反例，然后试图修改模型，使得它更能符合实际。这套理论研究体系是如此的有效，足以把物理学成就推到现在这个高度。
可是经济学家的研究方式正好相反。经济学家们总是先提出一套模型，然后再去寻找对自己有利的证据，同时有意无意的忽略那些对自己不利的数据，在心理学上这被称作“选择性偏见”，经济学家可能说的都是事实，但问题是其他事实他并不打算告诉你。更令人无法容忍的是，所有经济学理论中都包含了大量的假说，这些假说都被认为是“不证自明”的，经济学家从来就不打算给出严格的证明过程。这些假设包括：
理性经济人假设，认为每个人和公司都将最大化自己的利益。
无形之手假设，认为每个人的自利行为反而会促进整个社会的福利提升。
有效市场假设，认为市场给出的价格已经包含了所有的已知信息，因此是最优的。
…………
令人担忧的是，以上这些概念已经被如此的强化，使得它们竟然凌驾于事实之上了，也就是说如果事实和这些概念有冲突，那么必定是事实错了，概念不会错。
以理性经济人假设为例，如果认为每个人都是为了最大化自己的利益，那是不正确的，每个人的行为只是为了让自己感到满意罢了，由于不同的人智力、经验、价值观完全不同，因此多数时候他都不知道什么结果是对自己最优的，因此他会认为只要让自己满意即可。可以举一个最简单的例子，对于90%的人来说，最优的行为是不要去炒股，但他偏偏去炒了，结果亏损大半，你如何用理性经济人来解释呢？要知道他早就明白在股市上，绝大多数人是赚不到钱的。关键在于，如果大家都跑去赚钱，而你却赚不到的话，你会感到不满意。博弈论早就已经证明了，如果游戏的参与者都是极端聪明的话，那么什么是“理性”本身就是不可定义的。
经济学家RobertNelson在其著作《作为宗教的经济学》中指出，市场已经被人们神圣化了，变成了一个宗教信仰问题。经济学还处于中世纪，支撑它的不是事实证据，而是信仰和各种教条。例如，从上世纪五六十年代开始，自由市场假说就被认为是全知全能的，实际上这种宣传不过是一种政治策略，为了对抗苏联的意识形态。因为苏联人宣称他的方式好，那你必然要宣称自己的办法是完美的。其实市场并不有效，在短期内，人们都是极为短视的，而在长期内，人们都是无视的。也就是说，人们通常都过分关心短期利益，对长期利益视而不见。否则你无法解释为什么会有这么多美国人接受次级贷款的方式来买房，因为这种贷款不要你首付，但未来的利息非常高，这些人只要现在有房子就行了，管它未来有多高的还款代价，大不了到时候我弃楼断供。于是，金融危机就爆发了。
在金融学领域，Black-Scholes期权定价模型的使用非常广泛，该模型的设计者还得到了诺贝尔经济学奖，这套模型的理论基础是认为价格的变化满足高斯分布，换句话说极端情况是非常罕见的，以至于可以忽略不计，显而易见是个假设是错的。要理解这一点并不困难，我们常常会在电视里看到某某地区爆发洪水是百年一遇的，某地爆发地震是五百年一遇的，某地爆发飓风是从来没遇到过的。既然这些事情都是小概率的，为什么会这么频繁的出现在我们的电视中？那是因为样本太多了。就好比，你买彩票中500万的概率极低，几乎可以忽略不计，但每年都有很多人中五百万，那都是真的。Black-Scholes期权定价模型在多数情况下都是正确的，但就怕遇到小概率事件，一旦遇到了就会引发连锁反应。
事实上，物理学中有专门研究这类小概率事件的理论，那就是混沌学和复杂系统理论，它告诉我们初始状态下的微小扰动，足以把整个系统搞得天翻地覆，但经济学对此视而不见，反而故意认为这是可以忽略不计的。要知道，在一个复杂系统中，即使某个点是最优结果，通常我们也不可能达到它，那是因为系统是动态的，任何一个扰动都足以让最优结果发生偏离。
自由市场理论还故意混淆了局部最优与全局最优，局部最优是很容易达到的，例如在庐山，你沿着一条山路不断往上走，走到最高点，那就是局部最优。但这个点很有可能不是全局最优结果，可是要他重新下山爬另一个山头，他就不愿意了，即使这么做他会爬的更高，但他无法忍受下降的过程，更何况他又不识庐山真面目，他怎么知道换一条路更好？因此，没有任何理由说自由市场是最优的，至多只能说它可能达到局部最优。
如果把人类的经济社会看作是一个复杂系统的话，那么现成的复杂系统理论可以照搬过来。复杂系统理论告诉我们，很多问题就是无法被预测的，如果你承认我们无法预测地震的发生，那么你就要承认我们无法预测金融危机的发生，这是一回事。你如果生活在地球上，那你必须要学会忍受地震，同样的你也必须要忍受金融危机，事实上等到一切都过去之后，人类照样会存在。对于我们来说，应该把更多精力放在地震发生之后的救援之上，同样的，经济学更多的精力应该放在减少金融危机造成的损害之上。可能研究经济学最大的目的就是为了告诉我们，其实我们什么也不知道。因此这门科学根本给不了我们什么指导吧。
下面是全文转帖：
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Economics needs a scientific revolution
Jean-Philippe Bouchaud
Jean-Philippe Bouchaud is head of research of Capital FundManagement and a physics professor at cole Polytechnique inFrance.
Email: jean-philippe.bouchaud@cea.fr
Compared with physics, it seems fair to say that the quantitativesuccess of the economic sciences has been disappointing. Rocketsfly to the Moon; energy is extracted from minute changes of atomicmass. What is the flagship achievement of economics? Only itsrecurrent inability to predict and avert crises, including thecurrent worldwide credit crunch.
Why is this so? Of course, to paraphrase Isaac Newton, modellingthe madness of people is more difficult than modelling the motionof planets. But statistical regularities should emerge in thebehaviour of large populations, just as the law of ideal gasesemerges from the chaotic motion of individual molecules. To me, thecrucial difference between modelling in physics and in economicslies rather in how the fields treat the relative role of concepts,equations and empirical data.
Classical economics is built on very strong assumptions thatquickly become axioms: the rationality of economic agents (thepremise that every economic agent, be that a person or a company,acts to maximize his profits), the 'invisible hand' (that agents,in the pursuit of their own profit, are led to do what is best forsociety as a whole) and market efficiency (that market pricesfaithfully reflect all known information about assets), forexample. An economist once told me, to my bewilderment: "Theseconcepts are so strong that they supersede any empiricalobservation." As economist Robert Nelson argued in his book,Economics as Religion (Pennsylvania State Univ. Press, 2002), themarketplace has been deified.
Classical economics has no framework through which to understand'wild' markets.
Physicists, on the other hand, have learned to be suspicious ofaxioms. If empirical observation is incompatible with a model, themodel must be trashed or amended, even if it is conceptuallybeautiful or mathematically convenient. So many accepted ideas havebeen proven wrong in the history of physics that physicists havegrown to be critical and queasy about their own models.
Unfortunately, such healthy scientific revolutions have not yettaken hold in economics, where ideas have solidified into dogmas.These are perpetuated through the education system: students don'tquestion formulas they can use without thinking. Although numerousphysicists have been recruited by financial institutions over thepast few decades, they seem to have forgotten the methodology ofthe natural sciences as they absorbed and regurgitated the existingeconomic lore.
The supposed omniscience and perfect efficacy of a free marketstems from economic work done in the 1950s and 1960s, which withhindsight looks more like propaganda against communism thanplausible science. In reality, markets are not efficient, humanstend to be over-focused in the short-term and blind in thelong-term, and errors get amplified, ultimately leading tocollective irrationality, panic and crashes. Free markets are wildmarkets.
Picture imperfect
Reliance on models based on incorrect axioms has clear and largeeffects. The Black–Scholes model, for example, which was inventedin 1973 to price options, is still used extensively. But it assumesthat the probability of extreme price changes is negligible, whenin reality, stock prices are much jerkier than this. Twenty yearsago, unwarranted use of the model spiralled into the worldwideOctober 1987 crash; the Dow Jones index dropped 23% in a singleday, dwarfing recent market hiccups. Ironically, it was the veryuse of a crash-free model that helped to trigger a crash.
This time, the problem lies, in part, in the development ofstructured financial products that packaged subprime risk intoseemingly respectable high-yield investments. The models used toprice them were fundamentally flawed: they underestimated theprobability that multiple borrowers would default on their loanssimultaneously. These models again neglected the very possibilityof a global crisis, even as they contributed to triggeringone.
Surprisingly, classical economics has no framework through whichto understand 'wild' markets, even though their existence is soobvious to the layman. Physics, on the other hand, has developedseveral models that explain how small perturbations can lead towild effects. The theory of complexity shows that although a systemmay have an optimum state, it is sometimes so hard to identify thatthe system never settles there. This optimum state is not onlyelusive, it is also hyper-fragile to small changes in theenvironment, and therefore often irrelevant to understanding whatis going on. There are good reasons to believe that this paradigmshould apply to economic systems in general and financial marketsin particular. We need to break away from classical economics anddevelop completely different tools. Some behavioural economists andecono-physicists are attempting to do this now, in a patchy way,but their fringe endeavour is not taken seriously by mainstreameconomics.
While work is done to enhance models, regulation also needs toimprove. Innovations in financial products should be scrutinized,crash-tested against extreme scenarios outside the realm of currentmodels and approved by independent agencies, just as we have donewith other potentially lethal industries (chemical, pharmaceutical,aerospace, nuclear energy).
Crucially, the mindset of those working in economics andfinancial engineering needs to change. Economics curricula need toinclude more natural science. The prerequisites for more stabilityin the long run are the development of a more pragmatic andrealistic representation of what is going on in financial markets,and to focus on data, which should always supersede perfectequations and aesthetic axioms. |
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