Fooled by Randomness的笔记(9)

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  大毛光光头 (必须强人所难)

  得自运气之物，也可能被取回，而且往往出乎意料地迅速被取走。反过来讲，得自运气之助极少的事物，较不容易出现随机现象。 如果失败的代价过于沉重无法承受，那么这件事成功的概率有多高根本无关紧要。 Nero 和 John的故事。 冒低风险赚来的钱和冒高风险赚来的钱，价值是不同的，原因在于我们必须考虑Alternative history，而不是只靠结果来判断决策的质量。 天生拒斥别人的经验，并不限于孩子或我才会这样，企业决策者和投资.. (更多)

  得自运气之物，也可能被取回，而且往往出乎意料地迅速被取走。反过来讲，得自运气之助极少的事物，较不容易出现随机现象。

  如果失败的代价过于沉重无法承受，那么这件事成功的概率有多高根本无关紧要。

  Nero 和 John的故事。

  冒低风险赚来的钱和冒高风险赚来的钱，价值是不同的，原因在于我们必须考虑Alternative history，而不是只靠结果来判断决策的质量。

  天生拒斥别人的经验，并不限于孩子或我才会这样，企业决策者和投资人也受到相当大的影响。而一旦真的受到伤害又会反应过度，过高估计危险。

  那些blow up的人使用的方法有惊人的相似性，他们全都宣称“这次不一样”或者“这里不一样”，而且提出经济上言之成理的说法，用以证明他们的看法没错。

  对身体健康检查和疾病防治的态度：每个人都相信自己与众不同，知道诊断出身患疾病，才大感震撼地说“为什么是我？”

  历史没办法做实验，但是同样有遍历性，中长期下市场有能力展现大部分可能的情境，埋葬坏蛋。

  幸运的傻瓜可能得助于生命中的某些好运气，但长期而言，他的处境会慢慢趋近于运气没那么好的白痴。

  给我震动很大的一个例子(蒙特卡罗法造出来的)：

  一个牙医，他的投资回报率比国库券高15%，误差率10%，也就是100个样本路径中，约有68个落在比国库券高5%到25%的范围内，也表示有95个样本路径落在-5%到35%之间。他申请了24小时不间断的网络报价服务。于是他任何一年赚钱的概率是93%。但从比较窄的时间尺度看，任何一秒赚钱的概率只有50.02%。一季77%，一月67%，一天54%，一小时51.3%，一分钟50.17%。发现赚钱的时候高兴，发现赔钱的时候心痛不已，但快乐的程度比不上痛苦的程度。见上面的概率，他去看行情的次数越多，他的情绪赤字越大。短期内的噪声相对于非噪声的比率太大。一年一看，每观察到一次非噪声，就有0.7次噪声，一月一看，每观察到一次非噪声，就有2.32次噪声，一小时一看，每观察到一次非噪声，就有30次噪声，一秒钟一看，每观察到一次噪声，就有1796次噪声。

  作者说：“看到投资人用手机或PDA接受实时报价，监视投资组合的表现时，我总是打心底里高兴。我必须承认，我也有这种情绪上的缺陷。我的应对方法是断绝获得情绪的渠道，除非在极少见的状况中。这种时候我喜欢读诗，要是真有某个事件很重要，它总有办法抵达我的耳朵”。

  我的问题在于：我缺乏理性，而且很容易被淹没在随机性中，而蒙受情绪上的折磨。我知道自己需要到公园的座椅上或者咖啡厅中沉思，远离信息。只有把信息从我身边夺走，我才做得到这一点。我这辈子唯一的优点，是知道自己有一些缺点。

  面对日常生活中的细节，我们不需要那么理性、那么讲究科学。只有在可能伤害我们、危及我们生存的状况中，才需要那么做。现代生活似乎诱导我们做出正好相反的事情：面对宗教和个人行为等事物时，我们变得极其务实和理智，面对市场和受随机性影响的事物时，却失去理性。

  消防站效应：消防队员闲着没事干，久而久之，互相聊得太多，就会对很多事形成相同的看法，而这些看法在局外人看来十分荒唐可笑。

  横断面问题：在市场的任何一个时间点，获利最多的交易员很可能是最适合上一个循环的人。

  不曾遭遇稀有事件的时间越久，对稀有事件的承受力越弱。

  我试图从稀有事件中获利，这种事件不常重复发生，也因此一旦发生时报酬很高。我试着不要常赚钱，而且尽可能不常赚钱。原因很简单，因为我相信稀有事件在市场上并没有得到合理的价格，而且事件越稀有，它的价格被人低估得越严重（想想久不发生地震的地区的保险金）。为什么？因为psychological bias.

  历史告诉我们，以前从未发生的事情，后来竟然发生了。所以不要用“这种事情以前从未发生”来告诉我这种事情以后也不会发生。

  我会利用统计学和归纳法积极下注，但不会用它们管理自己承受的风险。叫人惊讶的是，我所认识存活下来的交易员，几乎都这么做，他们根据观察到的事情，包括过去的历史操作，但一定要确定犯错时的成本极为有限，而且犯错的概率不是从过去的资料推演而得。他们在执行策略之前就知道哪些事会证明他们的推测错误，并预先准备。证实犯错后就止损。

  连受过概率训练的人，也会很不明智地受社会压力影响。

  身为交易员，我知道违反天性地强迫自己保持理性，终归徒劳无功。

  一群整体能力欠佳的经理人中仍会有少数人绩效记录很好。我们所关心的绩效记录的极大值的期望值受原始样本的大小影响较大，受每位经理人的个别运气影响较小。

  Nobody accepts randomness in his own success, only his failure.

  注意联合事件的概率和条件概率的算法。

  不要把absence of evidence 和 evidence of absense混为一谈。

  如何看消息？只看消息中变动率大的，除非涨跌幅度大于平常每天的涨跌幅度，否则视之为噪声。此外解读时也不是用线性的方式。2%的显著性不是1%的2倍，而是4倍。

  在市场中操作时，我认为市场会往哪里走的重要性，远不如我在某种置信水平下允许的误差率。

  在面对随机性的事业生涯中，我悟到的一件事是：了解自己不够聪明，不够坚强，不必奢望去对抗自己的情绪反应。此外，我也相信需要靠各种情感来构思一些观念，从而得到实践的力量。

  斯金纳实验中的鸽子。赌徒的迷信。我们生来不会把不同的事物独立开来看待。观察A和B两件事时，我们很难不假设是A造成B、B造成A，或者两者彼此影响，我们的偏见会立即在其间建立因果关系。

  我知道自己的确受制于情绪，大多数的精力和能量也是来源于情绪，因此解决方法不是靠驾驭我们的心，而是靠哄骗它。

  人们常把科学和科学家混淆。科学很伟大，但个别科学家很危险。他们是凡人，也有bias，甚至比常人更严重。

  不管我们的选择有多复杂，我们多擅长支配机运，随机性总是最后的裁判，我们仅剩的只有尊严---指表现出来的行为不必看周围环境的脸色。(斩断原本的因果链条，自行决定反应。)

  情绪起伏时，坚定不为所动。有那些情绪反应并没有错，也不失尊严----人生来就有情绪。错的是不能像英雄般，或至少像个有尊严的人那样挺直腰杆。

  赔钱时，不要向别人撒气。诊断出患癌症时，只和医生讨论病情，不要哭天喊地，一副无辜受害的样子。不要将你的命运怪罪于任何人，即使他们确实是祸首也一样。 (收起)

  2012-01-07 16:33:38   回应

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  第203页

  Vahn (self realization)

  If one were to perform an optimizing operation across a large collection of variables, even with a brain as large as ours, it would take a very long time to decide on the simplest of tasks. So we need a shortcut; emotions are there to prevent us from temporizing. Does it remind you of Herbert Simon's idea? It seems that the emotions are the ones doing the job. Psychologists call them "lubrica... (更多)

  If one were to perform an optimizing operation across a large collection of variables, even with a brain as large as ours, it would take a very long time to decide on the simplest of tasks. So we need a shortcut; emotions are there to prevent us from temporizing. Does it remind you of Herbert Simon's idea? It seems that the emotions are the ones doing the job. Psychologists call them "lubricants of reason".

  ...

  Emotions affect one's thinking. He figured out that much of the connections form the emotional systems to the cognitive systems are stronger than connections from the cognitive systems to the emotional systems. The implication is that we feel emotions (limbic brain) then find an explanation. As we saw with Claparede's discovery, much of the opinions and assessments that we have concerning risks may be the simple result of emotions. (收起)

  2012-04-02 11:26:00   回应

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  第249页

  Vahn (self realization)

  Good, enlightened (and "friendly") advice and eloquent sermons do not register for more than a few moments when they go against our wiring. The interesting thing about stoicism is that it plays on dignity and personal aesthetics, which are part of our genes. Start stressing personal elegance at your next misfortune. Exhibit sapere viere ("know how to live") in all circumstances... (更多)

  Good, enlightened (and "friendly") advice and eloquent sermons do not register for more than a few moments when they go against our wiring. The interesting thing about stoicism is that it plays on dignity and personal aesthetics, which are part of our genes. Start stressing personal elegance at your next misfortune. Exhibit sapere viere ("know how to live") in all circumstances.

  Dress at your best on your execution day (shave carefully); try to leave a good impression on the death squad by standing erect and proud, Try not to play victim when diagnosed with cancer (hide it from others and only share the information with the doctor -- it will avert the platitudes and nobody will treat you like a victim worthy of their pity; in addition, the dignified attitude will make both defeat and victory feel equally heroic).....Try not to blame others for your fate, even if they deserve blame. Never exhibit any self-pity, even if your significant other bolts with the handsome ski instructor or the younger aspiring model....The only article Lady Fortuna has no control over is your behavior. Good luck. (收起)

  2012-03-30 11:09:18   回应

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  第92页

  Vahn (self realization)

  There is a saying that bad traders divorce their spouse sooner than abandon their positions. Loyalty to ideas is not a good thing for traders, scientists-or anyone. (更多)

  There is a saying that bad traders divorce their spouse sooner than abandon their positions. Loyalty to ideas is not a good thing for traders, scientists-or anyone. (收起)

  2011-12-29 12:04:20   回应

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  第78页

  Vahn (self realization)

  There is a Yiddish saying:"If I am going to be forced to eat pork, it better be of the best kind." If I am going to be fooled by randomness, it better be of the beautiful (and harmless) kind. (更多)

  There is a Yiddish saying:"If I am going to be forced to eat pork, it better be of the best kind." If I am going to be fooled by randomness, it better be of the beautiful (and harmless) kind. (收起)

  2011-12-14 10:47:58   回应

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  第74页

  Vahn (self realization)

  "We look after our customer's interests/ the road ahead/ our assets are our people/ creation of shareholder value/ our vision/ our expertise lies in / we provide interactive solutions/ we position ourselves in this market/ how to serve our customers better/ short-term pain for long-term gain/ we will be rewarded in the long run/ we play from our strength and improve our weakness/ courage and ... (更多)

  "We look after our customer's interests/ the road ahead/ our assets are our people/ creation of shareholder value/ our vision/ our expertise lies in / we provide interactive solutions/ we position ourselves in this market/ how to serve our customers better/ short-term pain for long-term gain/ we will be rewarded in the long run/ we play from our strength and improve our weakness/ courage and determination will prevail/ we are committed to innovation and technology/ a happy employee is a productive employee/ commitment to excellence/ strategic plan/ our work ethics" (收起)

  2011-12-14 10:44:52   回应

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  第56页

  Vahn (self realization)

  When you look at the past, the past will always be deterministic, since only one single observation took place. Our mind will interpret most events not with the preceding ones in mind, but the following ones. (更多)

  When you look at the past, the past will always be deterministic, since only one single observation took place. Our mind will interpret most events not with the preceding ones in mind, but the following ones. (收起)

  2011-12-13 09:05:57   回应

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  第44页

  Vahn (self realization)

  Mathematics is principally a tool to meditate, rather than to compute. (更多)

  Mathematics is principally a tool to meditate, rather than to compute. (收起)

  2011-12-12 10:06:13   回应

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  Nonlinearities of life

  Jagabee土豆儿 (只能藏在心里.)

  <原文开始></原文结束> Life is unfair in a nonlinear way : how a small advantage in life can translate into a highly disproportionate payoff, or, more viciously, how no advantage at all, but a very, very small help from randomness, can lead to a bonanza. The sandpile effect -- define nonlinearity --What we are witnessing here is a nonlinear effect resulting from a linear force exe... (更多)

  <原文开始></原文结束> Life is unfair in a nonlinear way : how a small advantage in life can translate into a highly disproportionate payoff, or, more viciously, how no advantage at all, but a very, very small help from randomness, can lead to a bonanza.

  The sandpile effect -- define nonlinearity

  --What we are witnessing here is a nonlinear effect resulting from a linear force exerted on an object. A very small additional input, here the grain of sand, caused a disproportionate result, namely the destruction of my starter Tower of Babel.

  Popular wisdom has integrated many such phenomena, as witnessed by such expressions as '' the straw that broke the camel's back'' or '' the drop that caused the water to spill.''

  --Chaos theory concerns itself primarily with functions in which a small input can lead to a disproportionate response. Population models, for instance, can lead to a path of explosive growth, or extinction of a species, depending on a very small difference in the population at a starting point in time.

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  2011-08-22 20:13:46   回应

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