出版社: Princeton University Press
副标题: Critical Events in Complex Financial Systems
出版年: 2004314
页数: 448
定价: USD 30.95
装帧: Paperback
ISBN: 9780691118505
内容简介 · · · · · ·
The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials.In this book, Didier Sornette boldly applies his varied experience in these...
The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials.In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash. Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought months and even years before the abrupt, catastrophic event in the buildup of cooperative speculation, which often translates into an accelerating rise of the market price, otherwise known as a "bubble." Anchoring his sophisticated, stepbystep analysis in leadingedge physical and statistical modeling techniques, he unearths remarkable insights and some predictions  among them, that the "end of the growth era" will occur around 2050.Sornette probes major historical precedents, from the decadeslong "tulip mania" in the Netherlands that wilted suddenly in 1637 to the South Sea Bubble that ended with the first huge market crash in England in 1720, to the Great Crash of October 1929 and Black Monday in 1987, to cite just a few. He concludes that most explanations other than cooperative selforganization fail to account for the subtle bubbles by which the markets lay the groundwork for catastrophe. Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcome "Why Stock Markets Crash" as a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome  but no longer quite so unfathomable  world of stock markets.
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天青欲雨 (混乱之翼)
1.模型的假定之一：bounded rationality有限理性 2. 临界点：Fig. 5.2. Bifurcation diagram, near the threshold c, of a “supercritical” bifurcation. The “order parameter” that is, the price p bifurcates from the symmetrical state zero to a nonzero value ±ps represented by the two branches, as the control parameter crosses the critical value c. The parity symmetry preserving value p = 0, shown ...20141222 00:48
1.模型的假定之一：bounded rationality有限理性2. 临界点：Fig. 5.2. Bifurcation diagram, near the threshold c, of a “supercritical” bifurcation.The “order parameter” that is, the price p bifurcates from the symmetrical state zeroto a nonzero value ±ps represented by the two branches, as the control parametercrosses the critical value c. The parity symmetry preserving value p = 0, shownas the dashed line, becomes unstable for u > u(c). 3.临界状态成为spontaneous symmetry breaking the dynamical system will choose only one of the two branches, as its evolution is unique (you cannot be at twoplaces at the same time) and will thus have a lower symmetry as aconsequence.4 有关speculative bubble的几点特征：大家普遍觉得the “run” will last indefinitely；a large increase in the priceoverdividend ratio；“growth companies;Speculative phases are often stopped by successive increases of the discount rate; The high sensitivity of valuation close to the critical point r − rd= 0. 5. 关于模型的两个基本核心：1）a crash may be caused by local selfreinforcingimitation between tradersThe interplay between the progressive strengthening of imitation and the ubiquity of noise requires a stochastic description:；2）if traders are compensated by a higher rate of growth of the bubble for taking the riskof a crash, there is a finite probability of “landing smoothly"6. 模拟一个市场崩盘：P 155: The crash hazard rate quantifies the probability that a large group of agents place sell orders simultaneously and create enough of an imbalance in the order book for market makers to be unable to absorb theother side without lowering prices substantially. Most of the time, marketagents disagree with one another and submit roughly as many buy ordersas sell orders (these are all the times when a crash does not happen).The key question is, By what mechanism did they suddenly manage toorganize a coordinated selloff?回应 20141222 00:48 
天青欲雨 (混乱之翼)
有关19201921年的萧条有两个特征：1outside the range of probability（用线性模型无法描述）；2 a financial collapse has never happened when things look bad. On the contrary, macroeconomic flows look good before crashes. PAGE 36：有关股市的书籍数量和市场指数有很高相关性。哈佛图书馆中题目包含了“stocks,” “stock market,” or “speculation”的书籍与SP index图形在bubble顶端的形状一致。 Page 37: ...20141219 00:22
有关19201921年的萧条有两个特征：1outside the range of probability（用线性模型无法描述）；2 a financial collapse has never happened when things look bad. On the contrary, macroeconomic flows look good before crashes.PAGE 36：有关股市的书籍数量和市场指数有很高相关性。哈佛图书馆中题目包含了“stocks,” “stock market,” or “speculation”的书籍与SP index图形在bubble顶端的形状一致。Page 37: 有关一个复杂的系统：A central property of a complex system is the possible occurrence of coherent largescale collective behaviors with a very rich structure,resulting from the repeated nonlinear interactions among its constituents:the whole turns out to be much more than the sum of its parts. 即：整体效果远远大于每个个体的反应的叠加。page 38: 对于复杂系统：我们更注重它的极端事件而非一般特性，好比在生活中，我们不关心去商场会发生什么，而希望预测爱情，事业，家庭的重大转折。回应 20141219 00:22

天青欲雨 (混乱之翼)
有关19201921年的萧条有两个特征：1outside the range of probability（用线性模型无法描述）；2 a financial collapse has never happened when things look bad. On the contrary, macroeconomic flows look good before crashes. PAGE 36：有关股市的书籍数量和市场指数有很高相关性。哈佛图书馆中题目包含了“stocks,” “stock market,” or “speculation”的书籍与SP index图形在bubble顶端的形状一致。 Page 37: ...20141219 00:22
有关19201921年的萧条有两个特征：1outside the range of probability（用线性模型无法描述）；2 a financial collapse has never happened when things look bad. On the contrary, macroeconomic flows look good before crashes.PAGE 36：有关股市的书籍数量和市场指数有很高相关性。哈佛图书馆中题目包含了“stocks,” “stock market,” or “speculation”的书籍与SP index图形在bubble顶端的形状一致。Page 37: 有关一个复杂的系统：A central property of a complex system is the possible occurrence of coherent largescale collective behaviors with a very rich structure,resulting from the repeated nonlinear interactions among its constituents:the whole turns out to be much more than the sum of its parts. 即：整体效果远远大于每个个体的反应的叠加。page 38: 对于复杂系统：我们更注重它的极端事件而非一般特性，好比在生活中，我们不关心去商场会发生什么，而希望预测爱情，事业，家庭的重大转折。回应 20141219 00:22 
天青欲雨 (混乱之翼)
1.模型的假定之一：bounded rationality有限理性 2. 临界点：Fig. 5.2. Bifurcation diagram, near the threshold c, of a “supercritical” bifurcation. The “order parameter” that is, the price p bifurcates from the symmetrical state zero to a nonzero value ±ps represented by the two branches, as the control parameter crosses the critical value c. The parity symmetry preserving value p = 0, shown ...20141222 00:48
1.模型的假定之一：bounded rationality有限理性2. 临界点：Fig. 5.2. Bifurcation diagram, near the threshold c, of a “supercritical” bifurcation.The “order parameter” that is, the price p bifurcates from the symmetrical state zeroto a nonzero value ±ps represented by the two branches, as the control parametercrosses the critical value c. The parity symmetry preserving value p = 0, shownas the dashed line, becomes unstable for u > u(c). 3.临界状态成为spontaneous symmetry breaking the dynamical system will choose only one of the two branches, as its evolution is unique (you cannot be at twoplaces at the same time) and will thus have a lower symmetry as aconsequence.4 有关speculative bubble的几点特征：大家普遍觉得the “run” will last indefinitely；a large increase in the priceoverdividend ratio；“growth companies;Speculative phases are often stopped by successive increases of the discount rate; The high sensitivity of valuation close to the critical point r − rd= 0. 5. 关于模型的两个基本核心：1）a crash may be caused by local selfreinforcingimitation between tradersThe interplay between the progressive strengthening of imitation and the ubiquity of noise requires a stochastic description:；2）if traders are compensated by a higher rate of growth of the bubble for taking the riskof a crash, there is a finite probability of “landing smoothly"6. 模拟一个市场崩盘：P 155: The crash hazard rate quantifies the probability that a large group of agents place sell orders simultaneously and create enough of an imbalance in the order book for market makers to be unable to absorb theother side without lowering prices substantially. Most of the time, marketagents disagree with one another and submit roughly as many buy ordersas sell orders (these are all the times when a crash does not happen).The key question is, By what mechanism did they suddenly manage toorganize a coordinated selloff?回应 20141222 00:48

天青欲雨 (混乱之翼)
1.模型的假定之一：bounded rationality有限理性 2. 临界点：Fig. 5.2. Bifurcation diagram, near the threshold c, of a “supercritical” bifurcation. The “order parameter” that is, the price p bifurcates from the symmetrical state zero to a nonzero value ±ps represented by the two branches, as the control parameter crosses the critical value c. The parity symmetry preserving value p = 0, shown ...20141222 00:48
1.模型的假定之一：bounded rationality有限理性2. 临界点：Fig. 5.2. Bifurcation diagram, near the threshold c, of a “supercritical” bifurcation.The “order parameter” that is, the price p bifurcates from the symmetrical state zeroto a nonzero value ±ps represented by the two branches, as the control parametercrosses the critical value c. The parity symmetry preserving value p = 0, shownas the dashed line, becomes unstable for u > u(c). 3.临界状态成为spontaneous symmetry breaking the dynamical system will choose only one of the two branches, as its evolution is unique (you cannot be at twoplaces at the same time) and will thus have a lower symmetry as aconsequence.4 有关speculative bubble的几点特征：大家普遍觉得the “run” will last indefinitely；a large increase in the priceoverdividend ratio；“growth companies;Speculative phases are often stopped by successive increases of the discount rate; The high sensitivity of valuation close to the critical point r − rd= 0. 5. 关于模型的两个基本核心：1）a crash may be caused by local selfreinforcingimitation between tradersThe interplay between the progressive strengthening of imitation and the ubiquity of noise requires a stochastic description:；2）if traders are compensated by a higher rate of growth of the bubble for taking the riskof a crash, there is a finite probability of “landing smoothly"6. 模拟一个市场崩盘：P 155: The crash hazard rate quantifies the probability that a large group of agents place sell orders simultaneously and create enough of an imbalance in the order book for market makers to be unable to absorb theother side without lowering prices substantially. Most of the time, marketagents disagree with one another and submit roughly as many buy ordersas sell orders (these are all the times when a crash does not happen).The key question is, By what mechanism did they suddenly manage toorganize a coordinated selloff?回应 20141222 00:48 
天青欲雨 (混乱之翼)
有关19201921年的萧条有两个特征：1outside the range of probability（用线性模型无法描述）；2 a financial collapse has never happened when things look bad. On the contrary, macroeconomic flows look good before crashes. PAGE 36：有关股市的书籍数量和市场指数有很高相关性。哈佛图书馆中题目包含了“stocks,” “stock market,” or “speculation”的书籍与SP index图形在bubble顶端的形状一致。 Page 37: ...20141219 00:22
有关19201921年的萧条有两个特征：1outside the range of probability（用线性模型无法描述）；2 a financial collapse has never happened when things look bad. On the contrary, macroeconomic flows look good before crashes.PAGE 36：有关股市的书籍数量和市场指数有很高相关性。哈佛图书馆中题目包含了“stocks,” “stock market,” or “speculation”的书籍与SP index图形在bubble顶端的形状一致。Page 37: 有关一个复杂的系统：A central property of a complex system is the possible occurrence of coherent largescale collective behaviors with a very rich structure,resulting from the repeated nonlinear interactions among its constituents:the whole turns out to be much more than the sum of its parts. 即：整体效果远远大于每个个体的反应的叠加。page 38: 对于复杂系统：我们更注重它的极端事件而非一般特性，好比在生活中，我们不关心去商场会发生什么，而希望预测爱情，事业，家庭的重大转折。回应 20141219 00:22
其他版本有售 · · · · · ·
这本书的其他版本 · · · · · · ( 全部3 )
 中国人民大学出版社版 2018731 / 10人读过 / 有售
 Princeton University Press版 2017321
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订阅关于Why Stock Markets Crash的评论:
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2 有用 c h l 20130806
读的时候点头如鸡啄米。。之后就忘了。。学会了一些spontaneous symmetry breaking之类的词。。然而本书带来的最大收获其实是令我接触到了阿西莫夫的基地系列。。（蛤？）
0 有用 cuckoohash 20160528
Ising + Hierarchical Structure = Power Law + Log Periodic
0 有用 keane 20131030
JeanPhilippe Bouchaud原来是他的好基友。。。
0 有用 红叶。 20150805
主要讲关于价格在bubble前满足logperiodic power law分布的故事，需要整理一番
0 有用 weihu 20160911
There are many examples of (approximate) fractals in nature, such as the distribution of galaxies at large scales, certain mountain ranges, fault networks and earthquake locations, rocks, lightning bo... There are many examples of (approximate) fractals in nature, such as the distribution of galaxies at large scales, certain mountain ranges, fault networks and earthquake locations, rocks, lightning bolts, snowﬂakes,river networks, coastlines, patterns of climate change, clouds, ferns and trees, mammalian blood vessels, and so on. (展开)
1 有用 黄岛主 20171202
为什么这本书出版快20年了还没有中文版的？全英文的读起来好没效率，弃了。
0 有用 weihu 20160911
There are many examples of (approximate) fractals in nature, such as the distribution of galaxies at large scales, certain mountain ranges, fault networks and earthquake locations, rocks, lightning bo... There are many examples of (approximate) fractals in nature, such as the distribution of galaxies at large scales, certain mountain ranges, fault networks and earthquake locations, rocks, lightning bolts, snowﬂakes,river networks, coastlines, patterns of climate change, clouds, ferns and trees, mammalian blood vessels, and so on. (展开)
0 有用 cuckoohash 20160528
Ising + Hierarchical Structure = Power Law + Log Periodic
0 有用 红叶。 20150805
主要讲关于价格在bubble前满足logperiodic power law分布的故事，需要整理一番
0 有用 keane 20131030
JeanPhilippe Bouchaud原来是他的好基友。。。