Больше, чем вы знаете. Необычный взгляд на мир финансов
Шрифт:
4. Duncan J. Watts, Small Worlds (Princeton N. J.: Princeton University Press, 1999).
5. Christopher D. Carroll, “The Epidemiology of Macroeconomic Expectations”, Johns Hopkins Working Paper, July 9, 2002, http://www.econ.jhu.edu/people/
6. ccarroll/EpidemiologySFI.pdf. См. также: Michael J. Mauboussin, “Revisiting Market Efficiency: The Stock Market as a Complex Adaptive System”, Journal of Applied Corporate Finance 14. No. 4 (Winter 2002): 47–55.
7. См.: Joseph de la Vega, Confusion de Confusiones (1688); Charles MacKay, Extraordinary Popular Delusions and the Madness of Crowds (1841), Edwin Lefevre, Reminiscences of a Stock Operator (1932) [24] .
8. Уоррен
9. Benjamin Graham and David L. Dodd, Security Analysis (New York: McGraw Hill, 1934), 11.
24
Эдвин Лефевр. Воспоминания биржевого спекулянта. М.: Олимп-Бизнес, 2010.
10. Irving Lester Janis, Groupthink: Psychological Studies of Policy Decisions and Fiascoes (New York: Houghton Mifflin, 1982).
Глава 38. Лестница на небеса для держателя акций
1. Jennifer Quellette, “Jackson Pollock – Mathematician”, The Fine Arts Magazine, January 25, 2002.
2. Один из примеров – Оливия, персонаж детской книжки. См.: Ian Falconer, Olivia (New York: Atheneum Books for Young Readers, 2000) [25] .
25
Ян Фальконер. Серия книг об Оливии. М.: Махаон.
3. Benoit B. Mandelbrot, “A Multifractal Walk Down Wall Street”, Scientific American, February 1999, 71.
4. Richard P. Taylor, B. Spehar, C. W. G. Clifford, and B. R. Newell, “The Visual Complexity of Pollock’s Dripped Fractals”, Proceedings of the International Conference of Complex Systems, 2002; http://materialscience.uoregon.edu/
5. taylor/art/TaylorCCS2002.pdf.
6. Richard P. Taylor, “Order in Pollock’s Chaos”, Scientific American, December 2002, http://materialscience.uoregon.edu/
7. taylor/art/scientificamerican.pdf.
8. Robert L. Axtell, “Zipf Distribution of U. S. Firm Sizes”, Science 293 (September 2001); 1818–1820; Youngki Lee, Luls A. Nunes Amaral, David Canning, Martin Meyer, and H. Eugene Stanley, “Universal Features in the Growth Dynamics of Complex Systems”, Physical Review Letters 81, no. 5 (October 1998): 3275–3278; http://polymer.bu.edu/hes/articles/lacms98.pdf.
9. Mandelbrot, “A Multifractal Walk Down Wall Street”. Изменения цен акций точнее можно описать как мультифрактальные. Мультифракталы требуют некоторых корректировок для получения статистического подобия на различных уровнях. Например, для цены активов производится сжатие или расширение времени (горизонтальной оси), чтобы показать
10. Bartley J. Madden, Michael J. Mauboussin, John D. Lagerman, and Samuel T. Eddins, “Business Strategy/Life Cycle Framework: Positioning Firm Strategy as the Primary Cause of Long-Term CFROIs and Asset Growth Rates”, Credit Suisse First Boston Equity Research, April 22, 2003.
11. Alfred Rappaport and Michael J. Mauboussin, Expectations Investing (Boston, Mass.: Harvard Business School Press, 2001).
12. Michael J. Mauboussin, Alexander Schay, and Patrick J. McCarthy, “Competitive Advantage Period (CAP): At the Intersection of Finance and Competitive Strategy”, Credit Suisse First Boston Equity Research, October 4, 2001.
13. Michael J. Mauboussin and Kristen Bartholdson, “Measuring the Moat: Assessing the Magnitude and Sustainability of Value Creation”, Credit Suisse First Boston Equity Research, December 16, 2002.
Заключение. Будущее – за синтезом инвестирования
1. J. Doyne Farmer and Fabrizio Lillo, “On the Origin of Power Law Tails in Price Fluctuations”, Quantitative Finance 4, no. 1 (2004): 7–11.
2. Duncan J. Watts, Small Worlds: The Dynamics of Networks Between Order and Randomness (Princeton N. J.: Princeton University Press, 1999).
3. James H. Brown and Geoffrey B. West, Scaling in Biology (Oxford: Oxford University Press, 2000).
Список литературы
Adamic, Lada A. “Zipf, Power-Laws, and Pareto – a Ranking Tutorial.” Information Dynamics Lab, HP Labs, Working Paper. http://ginger.hpl.hp.com/shl/papers/ranking/ranking.html.
Alvarez, A. Poker: Bets, Bluffs, and Bad Beats. San Francisco: Chronicle Books, 2001.
Anderson, Carl, and John J. Bartholdi III. “Centralized Versus Decentralized Control in Manufacturing: Lessons from Social Insects.” In Complexity and Complex Systems in Industry, ed. Ian P. McCarthy and Thierry Rakotobe-Joel, 92–105. Warwick: University of Warwick, 2000.
Armstrong, J. Scott. “The Seer-Sucker Theory: The Value of Experts in Forecasting.” Technology Review 83 (June – July 1980): 16–24.
Arthur, W. Brian. “Increasing Returns and the New World of Business.” Harxvard Business Review (July – August 1996): 101–9.
____. “Inductive Reasoning and Bounded Rationality: The El Farol Problem”. Этот доклад был прочитан на ежегодном съезде Американской экономической ассоциации в 1994 г. и опубликован в журнале American Economic Review 84 (1984): 406–11, http://www.santafe.edu/arthur/Papers/El_Farol.html.
Asch, Solomon E. “Effects of Group Pressure Upon the Modification and Distortion of Judgment.” In Groups, Leadership, and Men, ed. Harold Guetzkow, 177–90. Pittsburgh: Carnegie Press, 1951.
Aunger, Robert. The Electric Meme: A New Theory of How We Think. New York: Free Press, 2002.
Axelrod, Robert. The Complexity of Cooperation: Agent-Based Models of Competition and Collaboration. Princeton, N. J.: Princeton University Press, 1997.
____. The Evolution of Cooperation. New York: Basic Books, 1984.