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    7/28/2008

    看长做短

    若你不打算持有一支股票达十年以上,那么你当初根本就不要买进
    ——Warren Buffett

    如果不是看好从事证券行业的长期回报,当初我就不会进入

    我逐渐认可保险资管为一个不错的分支方向
    保费收入的增长,权益类投资比重上限的提高,本当创造较大的人才需求
    可最近平均每周收到10个来自保险公司HR的电话,要的只有所谓“理财规划师”
    听说某知名保险公司对HR的激励制度是:招到一个人提600,推荐的人不合适没有责任
    所以除了姓名和联系电话,他们再也不关心简历上的其它内容了
    当然叫错名字,拨错电话的,也都领教了

    3周前注册chinahr时,50%分位的月薪为4800
    1周前为4500,而现在已经降至4000
    表明chinahr接纳了更多底层的被剥削者

    而下行周期中,我们仍然需要调整

    上周看到同事穿出孕妇装,示范了一种工作与生活平衡的调整
    突然想到,Kostolany认为货币+心理=趋势,
    “如果货币因素是正面的,……流动资金……在9-12个月便会进入证券交易”
    避开J曲线、付息周期、合约存续期之类的歪门邪道不谈;
    我认为这个周期实际上恰是生育周期……
    不然,又怎能上升到人类本能的高度,从而摆出一副不可被证否的姿态?

    我可以抱怨生不逢时,因为正生于一个婴儿高峰;
    而如果更多人选择在经济下行周期生育,是不是也就留给下一代一个残酷的竞争环境?
    少数派博弈,逆向思维往往才是正道;我相信这也是生辰八字命理学的重要(也可能是唯一可取的)依据

    也许短期内留下的最可行的路,便是考证了

    6/19/2008

    Rise of Conspiracy Theory

    我们的JF已然寂静了3月有余。正如相对伟大的那个JF创刊之初,一年也不过是1-2个issues。
    但为什么是现在?——王益事件
    连累不少同行的MSN上打出了“MSN被监控”——他们竟是直到如今才开始被监控的。。。

    王益被双轨后,人肉搜索又开动了:
    王益事起广发借壳S延边路,国金太平洋亦有瓜葛
    王益被双规导火线:深圳老板帮其女友买房
    更有传伙同证监会高官操纵市场的,出卖国家利益的,但未见于公开媒体报道
    建行引资也被冠以卖国
    不予评论!

    wiki对阴谋论费有笔墨,其中较有意思的批判:
    所有阴谋论都是基于理性预期的,唯理性的东西是不能被证否的,不能被证否的东西是不属于科学范畴的

    早年作为业余的棋手和编剧,我已经形成朴素的阴谋观
    但从朴素的阴谋观上升到“论”,还要归功于《货币战争》
    有人酒后大谈国际货币体系需要重建,引经据典时不慎带了句货币战争
    但是一个成熟的怀疑论者当然也不会轻信这种缺乏论据的畅销读本

    可是否科学,是否阴谋,是否真相,并不重要
    满仓者预见经济腾飞,空仓者断言全球通胀
    局中人估低石油供给,局外人夸大替代能源
    重要的是知道自己站在哪边,知道言论者站在哪边

    寻找值得信赖的人,也只需要了解利益是否趋同
    媒体评论员可不尽信,他们的利益在于标新立异
    卖方分析员不可尽信,他们的利益在于促成交易
    买方交易员尽不可信,他们的利益在于反向交易
    数下来,还能剩多少可信之人

    ps:工行人士谈及资产质量问题时笑道,
    “人都说国外信贷风险控制好,可我们认为中国更好;
    因为国外人们普遍互相信任,相信还款人,而中国人防得更严”
    (另一个制度因素是国外银行曾认为总能将风险资产打包出售转嫁风险,暂按不表)

    3/13/2008

    就业、利息与货币通论

    blimey!终于写了这部与我live id相称的作品!
    那还和靠“加息、印花税和再融资”吸引眼球的媒体编辑有啥区别?
    唯一的区别,大概是我还知道正文的内容吧
    ——写于米字路口

    就业
    恭喜buffett击败gates成为本轮首富~
    13年前,在我接触编程不久的时候,
    冒出个退学而就的世界首富,无疑是鼓舞人心的
    于是在我高考的那个时代,计算机还是最热门的专业
    于是我就被调剂到金融专业……
    如今,炒炒股就成为世界首富,也是鼓舞人心的
    然而这也意味着证券行业人才供给的增加
    我们看不清鼠年之后是牛年、熊年还是猴年
    眼看供求曲线交点下移,却又没有两三年从业经验的谈判资本
    是摩擦性失业,结构性失业,还是周期性失业?
    只好期望蛛网模型成立,熊市的预期劝退报考金融专业的热情
    好让下一个牛市到来,他们完成学业之际,我们不用面对太多的竞争者

    利息
    为什么要按常理出牌,写成三段论呢?
    只知道加息=加班。饶了我吧……

    货币
    最近在玩puzzle pirates,它为我们勾勒了一个神奇的乌托邦
    游戏逼真再现了一个考虑土地、资本、劳动力等要素的经济系统
    由于你可以无节制的从npc处打劫财物,这个岛国的货币供给是无限的
    然而物价却稳中有降:eg,以游戏币poe标价的武器价格指数自服务器运营以来累计下跌超过30%
    这是一手掐货币供给,一手堵通货膨胀的中国所望尘莫及的
    其实差别无非是产品的供给……
    另外,你也可以用国际硬通货——美元兑换poe
    汇率从1usd=1000poe变为1usd=915poe,可见美元在哪都贬值
    与此形成反差的是,wow中的游戏币g和rmb的汇率从1g=5rmb变为50g=1rmb,人民币果然坚挺

    7/31/2006

    Title Change

    The Editorial Board announces that JQF has changed its title to "Bimonthly Journal of Quantitative Fudge" for the time being, and further changes shall also be expected.
    The board denies the rumor that the journal is lack of contributions. In fact, Frey suggests that there will be a zidane headbutt issue and a toilet paper issue. However, the board puts priority on an academic research about investment and stock returns. Frey is also occupied by a personal quest. "We would rather do nothing than write anything ordinary." says Frey.
    S&P and Moody's ratings on BJQF remain unchanged following the title change.
    6/24/2006

    Call for Papers

    Special Issue of JQF
    Football Statistics
     
    The Journal of Quantitative Fudge is calling for papers for a special issue devoted to football (soccer) statistics. JQF seeks papers which will contribute to the knowledge on current developments in this area. As the World Cup becomes of greater interest to international fans, the issues of football are becoming of ever-growing importance.
     
    Topics of interest include, but are not limited to, the following:
    * Comprehensive Measures of Team Performances
    * Determinant Statistics of Goals, eg, relationship between shots and goals
    * Ball Possession as a Stochastic Process
     
    Papers should be submitted via email by the end of the tournament to the address below. Authors may also discuss potential submissions at any time. An accelerated review process will be undertaken to ensure an August publication date.
     
    JQF Editor Board
    donotreply@163.com
    6/10/2006

    SMV, a Measure of Charm

    SMV, a Measure of Charm

     

    by Frey Wang

    accepted Jun, 2006

    JQF Classification: Models

     

    Abstract

    Charm is well valued in our society. This paper reviews previous measures of charm and their failures, and provides a quantitative measure, Sexual Market Value, for further research.

    Keywords: Charm, SMV

     

    I. Introduction

    Charm is defined as a trait that fascinates, allures, or delights. In this paper, I extend it to mean both physical and mental grace or attraction.

    It is clear through research studies, published articles and treatises, opinion polls, and just plain old real life that charm is extremely well valued in our society[1]. However, there is no quantitative measure of charm for statistical purposes.

    In this paper, I propose a new feasible proxy, the Sexual Market Value, as the measure of charm. The remainder of the paper is organized as follows. Section II briefly reviews related slangs; Section III develops the main idea of the paper. Finally Section IV gives suggestions for future work.

     

    II. Review of Literature

    There is an everyday scaling system using a ten-point scale on which TEN is the highest and ZERO is the lowest. this scale can measure anything, but is applied intensively to measure the hotness of individuals. Thus, "She is a TEN" means "she" has the total body package[2].

    This scale can be interpreted as a utility function. Although this is a quantitative measure, I find it way too subjective. The number can be biased even after taking average of collective measures. Moreover, according to the public choice theory, people are motivated to understate their preferences.

    Yet an alternative measure, the SMV, emerges early this year. SMV is an acronym for Sexual Market Value[Ms Lisa,2006], "When a person is seen in public with an attractive and charming partner, their SMV goes up, meaning they become more attractive to other potential partners"[3].

    In this measure, true preferences are "revealed" by them voting with thier feet. It is interesting but qualitative. In the next section, I will extend it to a quantitative one.

     

    III. Design of Measure

    The definition of SMV can be interpreted as follow:

    dSMV=f(SMVP),

    whereas dSMV refers to the amount "their SMV goes up", and SMVP denotes Charm of the partner, where "with an attractive and charming partner" would give bonus.

    To simplify the measure, I also assume that:

    f(SMV)=NSMV

    whereas NSMV is the Net SMV by deducting the looping component. That is, when A is with B, SMVA goes up by the NSMV of B, whereas the NSMV of B remain unchanged even SMVB goes up as B is with A. Else, the calculation would be trapped in a loop, as SMVA and SMVB are functions of each other.

    Also we define:

    SMV0=c=1

    whereas SMV0 is the SMV of someone who has never been "seen in public with" a partner.

    Solve the differential function, I obtain:

    SMV=SUM(NSMVP)

    The assumption "seen with sb" can also be extended, for example, to "wooed by sb", for different uses. Furthermore, when two engage in a relationship, thier SBV, sexual book value might be defined as lower of the SMVs. However, whether "have a thing for sb" is a reasonable extent remains an open question, whose identification will be addressed in more advanced research.

     

    IV. Directions for Future Studies

    So far I have developed a family of quantitative measures of charm, and linked them to those financial concepts of market and book value. Then a book to market ratio may proxy for the risk of breaking up, while mark to market efforts could monitor this potential.

     

    Acknowledgements
    I would like to thank Winnie for the “Korean wooer” story which brought up the idea

     

    References

    [1]Levine, Michael: Charm is Good Business

    [2]Brown, Kim, et al: Definition of TEN

    [3]Ms. Lisa: Definition of SMV, skip the Suck M. V. part...

    5/23/2006

    The Pilot, JQF Submission Instructions

    The Incentives
     
    Noticed that my old man had been taught the skill of surfing at the cost of my free speech, I decided to alter to proper language as a cover. Proper language here does not only mean english but also slang and academic language.
    On the other hand, we have plagiarized plenty of papers only to find them poorly documented. Most of them do not credit the source of data, use erroneous econometrics, or make judgements that can not be derived from their reasoning. Surprisingly, they appear on core journals as well.
    Therefore, I come up with the idea of starting my very own journal. I hope it would be kind of South Parkish, and could really make fun of those make-up-the-number journals :P
     
    The Guidelines
     
    "Model the World!"
    JQF only accepts online submission at donotreply@163.com [see footnote 1]
    JQF encourages original ideas on every topic. I am especially interested in papers using quantitative models to explain everyday trivia. Although JQF has no restrictions, short papers with good story telling is preferred. You can expect several samples published here in a few days.
    Authors should acknowledge that submissions are voluntary and no remuneration would be expected. There is also no submission fee since I am unable to collect it :P
     
    [1]the "do not reply" idea comes from a Human Resource Department. Apperently, it means your job application is handled by some stupid machines and any complaining reply would be ignored.