Friday, February 27, 2009

大陸留學生係海嘯元凶

改革開放初期,鄧小平同志將閘門打開,令一批又一批大陸學生成功出國留學。當年,有人批評話閘門咁樣開法,會令大陸人才外流,祖國冇晒叻人建國。

創新方搞亂市

聽聞小平同志好英明咁答,話一百個學生走去學嘢,只要有一個回流,祖國都有賺。咁其中一個呢啲大陸留學生,今時今日喺花旗國人氣急升──佢嘅英文名就係 David X. Li李祥林

佢有咩咁叻?佢就係度咗一條叫Gaussian copula function嘅方程式,去預測兩件事嘅互相關聯率。即係預測如果我一旦失業,我開車撞車嘅機會又會大咗幾多。

曲線收服美帝

未有佢條方之前,大家要睇好多歷史數據,甚至只可靠估。不過條方喺2000年出現之後,就好似解決咗個問題。

方程式勁嘅地方,就係靠睇我份失業保險保費嘅價格變動,亦同時睇埋我汽車保險保費嘅價格變動,去決定兩件事嘅互相關聯率。唔使再慢慢收數據之餘,仲可以喺我未失業前,已推測到我炒車嘅機會。

當機會率有得計,就可以作價做買賣。

例如以前,花旗國啲按揭,因為有啲人會提早還、轉按、有啲人會走數、斷供。

金融機構將好多按揭同時包埋一齊再切開嚟賣,好難掌握咁多變數,幾貴幾平都會冇人買。

有呢條方之後,就好似有得計。最後短短幾年內,衍生出萬億元大嘅衍生工具市場。

當然,條方要準,啲用來計算嘅保價就要準。咁歷史已證明保價完全錯晒,條方出事令英美嘅銀行系統因而危在旦夕。

小平同志當年冇講嘅係,派學生留學,原來係為咗不費一兵一卒,就可以收服英帝、美帝。

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It is exceptionally difficult in trying to explain this in 500 words AND stuff in a gag or two...

So if this piece reads funny... My bad...

But if you want to read the original article from wired.com is here.

And David Li's thesis.

By the way, I heard he came to Hong Kong for a University of Waterloo Alumni event back in December.

Anyone met him and knows his Chinese name? Much appreciated in advance.

11 comments:

  1. his chinese name is 李祥林.

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  2. 雖然令人感動,但可惜今次係七傷拳:帝國當然被打倒,但依賴出口的偉大祖國唔慌好得到那裡,更大鑊的係阿李生聽聞番來偉大祖國打工!

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  3. That Wired article is excellent for laymen like me to understand what went down. Just the right amount of detail.

    Yeah, my first thought is, the Chinese is taking over! However you can't really blame it all on him, but those who applied the formula without knowing what it really means.

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  4. @若缺齋老人 : 佢去左 China International Capital Corporation 度做。

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  5. Well, you can't really blame the guy for it. I mean his model is as solid as the idea of getting 痣瘡 by sitting the still warm sit after a person with 痣瘡 have just sat. But the equation wouldn't mean anything if there weren't enough stupid people, if not all, begging to jump on the wagon.

    People who enjoyed riding rollercoaster climbing up the top, should also enjoy the thrill of getting down to the trough. 有幾耐風流.....

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  6. Oh, one more thing. It will explain all if he's a spy sent by the Chinese government. The backfire is setup so it doesn't look like it was the Chinese government that took down the whole financial system of the capitalists. 奶咀 might be right on "the Chinese is taking over" idea.

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  7. Honestly,

    his idea is revolutionary in that even without the things happening... therefore without historical data,

    by using price data of insurance... he can 'figure out' correlation.

    It is pretty amazing.

    It is one of those ideas when you and your buddies are sitting around drinking beer and talking trash... and you come up with it, you get high fives all round...

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  8. 柏文兄, 有一問題,本人對於風險管理比較有興趣, 如要進入這行業, 在香港有那些可進修?及這行業有沒有專業試? 如能夠, 可否提供相關資料及建議. 謝謝.

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  9. in fact, the WSJ article explained things better IMO.

    + everything it discussed in 2005 applies for today. perhaps it was that article that saved JPMC?:)

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  10. 將Gaussian應用響真實世界會死人架, Gaussian assume 世界係normal distribution但真實係世界係 Power law distribution, 一下20個Std Dev,咁就天國再會了。

    PowerLaw圖url
    http://1.bp.blogspot.com/_r1W6URluRsA/SZ9k12MgQNI/AAAAAAAABFo/c_NtfP9XyvU/s1600-h/84-PowerLaw.gif

    ReplyDelete