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文獻索引: 第十八章 蝴蝶效應

(2016-10-30 15:29:04) 下一個

·    蝴蝶效應 – Butterfly Effect, 由混沌理論的奠基人之一,麻省理工學院教授,數學家和氣象學家愛德華·洛侖茲 (Edward Lorenz) 提出,用於形象描述非線性動力學係統對初始條件的高度敏感性。參見John D. Cox 原著,北京大學聞新宇、賈 喆、朱清照翻譯《風暴守望者: 天氣預報風雲史》(Storm Watcher : The Turbulent History of Weather Prediction From Franklin's Kite to El Niño) 之第26章《愛德華·洛侖茲:混沌的計算》。網上pdf 文件:http://www.phy.pku.edu.cn/climate/download/publication/book-stormwatcher/pdf/StormWatcher.pdf。  
·    深鎖在嫏嬛裏的蠹魚 -- 《老殘遊記》第八回:
滄葦遵王士禮居,藝芸精舍四家書。
一齊歸入東昌府,深鎖嫏嬛飽蠹魚!
·    金融衍生品和信用衍生品 – 金融衍生品可分為四大類:遠期合約 (Forwards)、期貨 (Futures)、期權 (Options)、和互換 (Swaps)。參見下述文獻:
o    國際貨幣基金組織 (IMF): Eleventh Meeting of the IMF Committee on Balance of Payments Statistics (https://www.imf.org/external/bopage/pdf/98-1-20.pdf)。關於保險不屬於金融衍生品,參見 Section 5:“Insurance is not a form of financial derivative. Insurance contracts provide individual institutional units exposed to certain risks with financial protection against the consequences of the occurrence of specified events, many of which cannot be expressed in terms of market prices. Insurance is a form of financial intermediation in which funds are collected from policyholders and invested in financial or other assets which are held as technical reserves to meet future claims arising from the occurrence of the events specified in the insurance policies: that is, insurance manages event risk primarily by the pooling, not the trading, of risk.”
o    IGC: Derivatives in Financial Market Development (http://pages.stern.nyu.edu/~rsundara/papers/RangarajanSundaramFinal.pdf)。
o    複旦大學範龍振和胡畏《金融工程學》,上海人民出版社,2003 上海 (http://cfa.goldenglobal.org.cn/uploadfile/append_file/%E8%B5%84%E6%96%99%E4%B8%8B%E8%BD%BD/CFA%E5%AD%A6%E4%B9%A0%E8%B5%84%E6%96%99/%E5%A4%8D%E6%97%A6%E9%87%91%E8%9E%8D%E7%A0%94%E7%A9%B6%E7%94%9F%E6%95%99%E6%9D%90%E4%B9%8B%E3%80%8A%E9%87%91%E8%9E%8D%E5%B7%A5%E7%A8%8B%E5%AD%A6%E3%80%8B.pdf) 。
o    中國鐵建股份有限公司: 金融衍生產品基礎知識 (http://www.crcc.cn/portals/0/pdf/lljy/20120425_%E9%87%91%E8%9E%8D%E8%A1%8D%E7%94%9F%E4%BA%A7%E5%93%81%E5%9F%BA%E7%A1%80%E7%9F%A5%E8%AF%86.pdf)。
o    JP Morgan:  The J. P. Morgan Guide to Credit Derivatives (http://www.investinginbonds.com/assets/files/Intro_to_Credit_Derivatives.pdf)。
o    Lehman Brothers: Credit Derivatives Explained (http://pages.stern.nyu.edu/~igiddy/structured/LehmanCredDerivs.pdf)  。
·    公孫龍子的“白馬非馬”—原文不長,抄在這裏:
“白馬非馬,可乎?”曰:“可。”
曰:“何哉?”曰:“馬者,所以命形也。白者,所以命色也。命色者,非命形也,故曰白馬非馬。”
曰:“有白馬,不可謂無馬也。不可謂無馬者,非馬也?有白馬為有馬,白之非馬,何也?”
曰:“求馬,黃、黑馬皆可致。求白馬,黃、黑馬不可致。使白馬乃馬也,是所求一也,所求一者,白者不異馬也。所求不異,如黃、黑馬有可有不可,何也?可與不可其相非明。故黃、黑馬一也,而可以應有馬,而不可以應有白馬,是白馬之非馬審矣。”
曰:“以馬之有色為非馬,天下非有無色之馬也。天下無馬,可乎?”
曰:“馬固有色,故有白馬。使馬無色,有馬如已耳,安取白馬?故白者非馬也。白馬者,馬與白也;馬與白馬也,故曰:白馬非馬也。”
曰:“馬未與白為馬,白未與馬為白。合馬與白,複名白馬,是相與以不相與為名,未可。故曰:白馬非馬,未可。”
曰:“以有白馬為有馬,謂有白馬為有黃馬,可乎?”曰:“未可。”曰:“以有馬為異有黃馬,是異黃馬於馬也。異黃馬於馬,是以黃馬為非馬。以黃馬為非馬,而以白馬為有馬;此飛者入池,而棺槨異處;此天下之悖言亂辭也。”
曰:“有白馬,不可謂無馬者,離白之謂也。是離者有白馬不可謂有馬也。故所以為有馬者,獨以馬為有馬耳,非有白馬為有馬。故其為有馬也,不可以謂馬馬也。”
曰:“白者不定所白,忘之而可也。白馬者,言定所白也。定所白者,非白也。馬者無去取於色,故黃、黑皆所以應。白馬者,有去取於色,黃、黑馬皆所以色去,故唯白馬獨可以應耳。無去者非有去也。故曰:白馬非馬。”
·    次貸金融風暴和美國國際集團 – 參見紐約時報文章 “Fed’s $85 Billion Loan Rescues Insurer”( http://www.nytimes.com/2008/09/17/business/17insure.html?pagewanted=all&_r=0) 。
·    關於金融資本模式以及金融資本和產業資本關係 – 參見劍橋大學基督學院 (Christ’s College) Steward Morris 文章 “Discuss the relationship between financial and industrial capital in any two European societies and draw out the implications for corporate ownership control and performance”( http://www.stewartmorris.com/essays/16Lane2.pdf)。
·    巴菲特對金融衍生物的評價 – 參見Berkshire Hathaway Inc 2002 Annual Report (http://www.berkshirehathaway.com/2002ar/2002ar.pdf):“Charlie and I are of one mind in how we feel about derivatives and the trading activities that go with them: We view them as time bombs, both for the parties that deal in them and the economic system. …… In our view, however, derivatives are financial weapons of mass destruction, carrying dangers that, while now latent, are potentially lethal.”
·    芝加哥商品交易所 (芝商所, CME Group) 關於期貨和期權交易的25種策略, 中英文版本見https://www.cmegroup.com/education/25_proven_strategies/CME-113_21brochure_SIDE_SR.pdf 以及https://www.cmegroup.com/trading/files/CME-113_BrochureUPDATE_FINAL_SCH.pdf。 
·    長期普通股預期證券 -- Long Term Equity Anticipation Securities, 簡稱LEAPS“跳高” 期權。參見 Journal of Ecnometrics 92(1999) 文章 “Long-term equity anticipation securities and stock market volatility dynamics”( http://public.econ.duke.edu/~boller/Published_Papers/joe_99.pdf),以及 “Long-Term Equity Anticipation Securities®”(http://www.optionsclearing.com/components/docs/about/publications/leaps_brochure.pdf)。中文科參見 MBA 智庫百科《長期期權 (LEAPS)簡介》(http://wiki.mbalib.com/wiki/LEAPS)。
·    孫子兵不貴多而貴精 – 《孫子兵法》之《行軍篇第九》:“(兵) 非益多也,惟無武進,足以並力、料敵、取人而已。夫惟無慮而易敵者,必擒於人。”
·    李孫和霸陵銀行倒閉事件 -- 霸陵銀行(Barings PLC) 在新加坡的金融衍生品操盤手 (Trader) 李孫 (Nicholas Leeson) 投機日經指數 (Nikkei) 金融期貨,損失14億美元,導致有233年曆史的霸陵銀行倒閉。參見台灣大學國際企業學係黃誌典金融案例評析《李森如何英國霸菱銀行?》 (http://www.ib.ntu.edu.tw/jdhwang/files2/%E6%9D%8E%E6%A3%AE%E5%A6%82%E4%BD%95%E6%8B%96%E5%9E%AE%E8%8B%B1%E5%9C%8B%E9%9C%B8%E8%8F%B1%E9%8A%80%E8%A1%8C.pdf)。更詳細細節參見本章附錄一。
·    關於人性的善惡 – 基督教文明主張人的原罪 (Sin), 人性本惡。中國儒家主張人性本善,但其實中國曆代所行是“儒表法裏。”而法家比如荀子是主張人性本惡的。可參見複旦學報1999年第一期俞吾金文章《關於人性問題的新探索》(http://www.gs.fudan.edu.cn/_upload/article/a9/71/5bb6e1fb4e948c1693c4d0999105/71ab3b9e-b64c-4732-bf8c-89ef6120d145.pdf)。
·    萊昂的皮革原材料的期貨市場 – 係作者杜撰,墨西哥的金融業基本是美國的初級版複製本,參見Bolsa Mexicana de Valores (BMV) 官網 (http://www.mexder.com.mx/wb3/wb/MEX/contratos_futuro)。在 BMV 交易的大部分期貨是股市指數等金融產品,唯一的大宗商品 (Commodities) 是玉米 (Futuro del Maíz Amarillo, Futures of Yellow Corn), 墨西哥的主要糧食。不存在皮革原材料期貨市場。
·    株冶事件、中航油事件、和國儲銅事件
o    株冶事件:株洲冶煉廠,也就是後來的株洲冶煉集團有限責任公司,是中國最大的鉛鋅生產和出口基地之一。1997年株冶在倫敦金屬交易所 (London Metal Exchange, LME) 的交易員大量賣空鋅期貨合約,造成1.758億多美元的損失。
o    中航油事件: 2003 年下半年至2004年底,中航油在新加坡投機做空原油,損失高達3.81億美元。
o    國儲銅事件:2005年國儲局在LME做空20萬噸銅,相當於當時全國全年產量的1/3,最後被迫平倉。造成的巨額損失因為關係國家安全,外界不得而知。
o    上述中航油事件和國儲銅事件都發生在宇文博到美國之後。作者在本書中將之提前了。關於這三次事件的細節可參看本章附錄二至四。
·    長期資本管理公司事件 -- Long-Term Capital Management, LTCM。參看本章附錄五。
·    黑色星期一從統計意義上來說是不可能發生的 – 參見 巴黎高等商業研究院 (HEC Paris) 教授 Rodolphe Durand 書 “Organizations, Strategy and Society”第一章 “The flaw in the model”第9頁:
These statistical models thus formed the basis for a new segment of the financial industry. Researchers in economics and financial professionals convinced themselves of the validity of their theories, then, gradually, they converted policymakers and regulators to their way of thinking. In 1996, well before the black week of September 15, 2008, Mark Rubinstein and Jens Carsten Jackwerth assessed that the stock market crash of October 19, 1987, nicknamed ‘Black Monday’ had been statistically impossible, or more precisely, that the probability of such an event was infinitesimal under common (log-normal distribution) assumptions.

However, these events began to occur more frequently than predicted:
modellers, theorists and practitioners of finance were thrust back into a
reality that failed to obediently follow the formulas used to predict them – and led to their innovating and proposing new models. The actual distribution of events did not follow a normal or Gaussian curve but fat-tailed distributions in which extreme values were more likely. Reality is stubborn: extreme events are de facto more common than expected. The real market does not slavishly abide by the assumptions contained in this model ‘that defines how the world works’ as originally conceived by Alan Greenspan, Mark Rubinstein or Nobel Prize winners Milton Friedman and Robert Merton.
·    有效市場假說和資本資產定價模型 – Efficient Market Hypothesis (EMH) 和 Capital Asset Pricing Model (CAPM), 參見劉紅忠主編《投資學》,高等教育出版社,2003 北京: “第五章 有效市場理論”和“第十二章 投資組合的經典理論“ (ftp://218.31.79.211/%B5%E7%D7%D3%CD%BC%CA%E9/035/F/A2034955.pdf)。
·    布萊克-斯克爾斯期權定價模型 – Black-Scholes option pricing model, 參見複旦大學範龍振和胡畏《金融工程學》, 上海人民出版社,2003 上海:“第8章 股票期權的定價模型“(http://cfa.goldenglobal.org.cn/uploadfile/append_file/%E8%B5%84%E6%96%99%E4%B8%8B%E8%BD%BD/CFA%E5%AD%A6%E4%B9%A0%E8%B5%84%E6%96%99/%E5%A4%8D%E6%97%A6%E9%87%91%E8%9E%8D%E7%A0%94%E7%A9%B6%E7%94%9F%E6%95%99%E6%9D%90%E4%B9%8B%E3%80%8A%E9%87%91%E8%9E%8D%E5%B7%A5%E7%A8%8B%E5%AD%A6%E3%80%8B.pdf)。
·    關於投資組合保險公司 LOR – 參見哈佛商業評論 (Harvard Business Review) 1995年9月號文章 “Leland O’Brien Rubinstein Associates Incoporated: Portfolio Insurance” (http://xxpt.ynjgy.com/resource/data/20070809/U/138/data/jiaoan/11.pdf)。

·    “現金是垃圾”和“現金為王”— “Cash is Trash” 和“Cash is the King”是美國金融投資界兩句自相矛盾但似乎都有道理的口號。可參考 National Investor 2015 四月號文章 “Cash is Trash, Opines Yellen”( http://nationalinvestor.com/wp-content/uploads/Cash-is-Trash-March-2015-Issue-No.-2.pdf), 以及舊金山美聯儲 (Federal Reserve Bank of San Francisco) President and CEO John C. Williams 文章 “Cash is Dead! Long Live Cash!”( http://www.frbsf.org/files/2012_Annual_Report_Essay.pdf)。
·    執子之手與子偕老 -- 《詩經》“邶風”之《擊鼓》
擊鼓其鏜,踴躍用兵。土國城漕,我獨南行。   
從孫子仲,平陳與宋。不我以歸,憂心有忡。   
爰居爰處?爰喪其馬?於以求之?於林之下。   
死生契闊,與子成說。執子之手,與子偕老。   
於嗟闊兮,不我活兮。於嗟洵兮,不我信兮。

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