8/30/2021

洞悉市場的人

林錦慧譯洞悉市場的人:量化交易之父吉姆‧西蒙斯與文藝復興公司的故事天下文化2020

Gregory Zuckerman, The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution, Penguin Group, 2019

在投資界,沒有哪個傳奇大師比吉姆‧西蒙斯更加神祕,他的前半生是頂尖數學家,不但曾幫助美國政府破解蘇聯密碼,還成功打造世界級的數學系。

但四十歲後,他轉戰投資界,開啟量化投資的風潮。他旗下的大獎章基金1988年至2018年的平均年化報酬率高達66.1%,就算扣除基金收取的各項費用,平均年化報酬率也高達39.1% (*),遠勝過巴菲特、彼得‧林區、雷‧達利歐、喬治‧索羅斯等股票大師。

他聘請頂尖數學家、物理學家與電腦工程師,藉由蒐集市場各項數據發展出一套演算法,找到買進與賣出的交易訊號,讓機器自動交易,他在華爾街掀起量化交易革命。不但成功打敗市場,還躲過歷年來的重大股災,持續擁有優異績效。

西蒙斯和他的同事擁有的財富已經富可敵國,現在開始轉往科學研究、教育與政治界發展。其中公司的前執行長羅伯特‧莫瑟還成為川普的大金主,莫瑟的女兒更是劍橋分析公司的主要投資人,在美國政壇發揮影響力。

本書作者古格里‧佐克曼採訪西蒙斯多位現任與離職員工後,寫下這個金融史上的傳奇故事,幫助我們一窺這位頂尖數學家如何掀起量化交易革命,顛覆華爾街的傳統模式。

8/08/2021

Control Systems and Reinforcement Learning

S. Meyn, Control Systems and Reinforcement Learning, Cambridge University Press, 2021. (pdf)

8/07/2021

推廣教育的教學評量

這一個禮拜,教深度學習推廣教育。因為疫情,遠距教學。學員是18位大學生和11位高中生,做了一個 (匿名的) 問卷調查。已經好久,沒有看到這麼多正向的肯定。學習動機真的很重要。

8/05/2021

How Software Is Eating the Car

Robert N. Charette, How Software Is Eating the Car, IEEE Spectrum, 07 Jun 2021.

Ten years ago, only premium cars contained 100 microprocessor-based electronic control units (ECUs) networked throughout the body of a car, executing 100 million lines of code or more. Today, high-end cars like the BMW 7-series with advanced technology like advanced driver-assist systems (ADAS) may contain 150 ECUs or more, while pick-up trucks like Ford’s F-150 top 150 million lines of code. Even low-end vehicles are quickly approaching 100 ECUs and 100 million of lines of code as more features that were once considered luxury options, such as adaptive cruise control and automatic emergency braking, are becoming standard....

8/01/2021

Probability in Electrical Engineering and Computer Science

Jean Walrand, Probability in Electrical Engineering and Computer Science: An Application-Drive Course, Springer, 2021. (pdf, Python)

Showcases techniques of applied probability with applications in EE and CS

Presents all topics with concrete applications so students see the relevance of the theory

Illustrates methods with Jupyter notebooks that use widgets to enable the users to modify parameters

This book is open access, which means that you have free and unlimited access.