想在欧洲做Trader，请教！

frdeyznh

原帖由 lyd1213 于 2008-11-1 11:25 发表
quantitative funds 的效用仅仅是在扩大beta？ 那么这个strategy不就等同于简单的short bank account ，long tracker
当然单纯的quantitative的 的确没什么优势
不同的funds有不同战略的famille  每个famille下还有不同 ...

请教下，什么叫做扩大beta?没明白
不若痕的话我没看懂，我自己理解成，在marche haussier，什么都挣钱
果然学过数学的人说的都是天书

frdeyznh

恩，我又回去看了一遍，明白了
人是要有点耐心的
不知道那些model是怎么建立出来的，是怎么说服client买的？止损吗？
如果不是遭遇了次贷，这些exotic的东西还挣钱吗？靠commission，就是taux挣钱吗？
模型里面是由什么猫腻能让客人短期挣钱，中长期亏损吗？
lyd能解答下马

[ 本帖最后由 frdeyznh 于 2008-11-1 14:05 编辑 ]

frdeyznh

因为从来没接触过funds的产品，完全不明白，不过我想应该和derive action大同小异把？

Steinrich

想不到成了热帖，希望大牛们踊跃参加讨论啦。

yuchang

TRADER只是执行者...只因赚钱多,趋之若骛
椰子也现身了,呵呵

不若痕

Barton Biggs 在Hedge Hogging再版写的新Intro里面是这么说的
"The third trend involves the disasters of the big quant fund s in August of 2007. For a long time computer-driving, black-box investing had seemed to be a relentless ascendancy. Strange, reclusive, bearded physics doctorates who effortlessly could do complexe data mining using powerful computers were the new, new thing. Experienced investors with judgement, intuition and complexe reactions to the economy were dinosaurs. It all seemed so simple. Back-test, massage the data discover patterns, and then identify and buy cheap stocks based on fundamental valuation criteria and be short expensive stocks. Throw in a little momentum analysis for timing and some leverage for performance, and the portfolio was bound to be a moon shot regardless of what the overall market was doing.

Then came the summer of 2007. Volatility increased, and suddenly the quant funds had more leverage than their risk budgets permitted. As a result, they began to reduce their holdings by selling their long positions and covering(buying back) their shorts. The trouble was that their models all had generally produced similar stocks so they were long and short the same names. Compounding the problem was the bias of these giants to small- abd medium-capitalization stocks. This process created a marvelous virtuous circle when the quants were getting floods of new money but a vicious circle when they had to shrink their portfolios. They had to sell the stocks they owned and buy back the shares the were short, so consequently their longs were going down while their shorts were soaring.

The result was a devastating meltdown in July and August of 2007. The big, famous quant funds suddenly had disastrous falls in value. As frightened investors withdrew capital, the vicious circle became even more vicious. Declines of 20% to 30% in a month were common, which generated frantic redemption notices from their investors."

[ 本帖最后由 不若痕 于 2008-11-2 00:51 编辑 ]

frdeyznh

Then came the summer of 2007. Volatility increased, and suddenly the quant funds had more leverage than their risk budgets permitted. As a result, they began to reduce their holdings by selling their long positions and covering(buying back) their shorts.
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所以说，有人讲bale ii不是帮助银行系统的，只是加剧危机的发生

frdeyznh

不若痕，我大概明白你说的long long,short short怎么回事了
其实还是capitaux propre受到限制的问题
我觉得还是挺奇怪的，也一直想不明白，如果确定第二天走高，long long还是要fermer自己的position，也是，不能有赌徒心理

frdeyznh

原帖由 yuchang 于 2008-11-1 18:30 发表
TRADER只是执行者...只因赚钱多,趋之若骛
椰子也现身了,呵呵

我觉得吧，你说的执行者，就是不叫做操盘手，只是一般的交易员
而且很多也不是冲着钱去的
大多是因为有成就感把，兴趣爱好就在这口子，还可以自我实现啥的
做的大的desk一般都50milliards euros的fonds，刺激吧

[ 本帖最后由 frdeyznh 于 2008-11-2 13:37 编辑 ]