6.21外刊打卡3

Posted 2020-11-19 wanghui626

Hedge funds and artificial intelligence

对冲基金与人工智能

商业银行的风险对冲可以分为自我对冲和市场对冲两种情况：

1、所谓自我对冲是指商业银行利用资产负债表或某些具有收益负相关性质的业务组合本身所具有的对冲特性进行风险对冲。

2、市场对冲是指对于无法通过资产负债表和相关业务调整进行自我对冲的风险（又称残余风险），通过衍生产品市场进行对冲。

假如你在10元价位买了一支股票，这个股票未来有可能涨到15元，也有可能跌到7元。你对于收益的期望倒不是太高，更主要的是希望如果股票下跌也不要亏掉30%那么多。你要怎么做才可以降低股票下跌时的风险？

一种可能的方案是：你在买入股票的同时买入这支股票的认沽期权——期权是一种在未来可以实施的权利（而非义务），例如这里的认沽期权可能是“在一个月后以9元价格出售该股票”的权利；如果到一个月以后股价低于9元，你仍然可以用9元的价格出售，期权的发行者必须照单全收；当然如果股价高于9元，你就不会行使这个权利（到市场上卖个更高的价格岂不更好）。由于给了你这种可选择的权利，期权的发行者会向你收取一定的费用，这就是期权费。

原本你的股票可能给你带来50%的收益或者30%的损失。当你同时买入执行价为9元的认沽期权以后，损益情况就发生了变化，可能的收益变成了：

（15元－10元－期权费）/10元

而可能的损失则变成了：

（10元－9元+期权费）/10元

潜在的收益和损失都变小了。通过买入认沽期权，你付出了一部分潜在收益，换来了对风险的规避。

Return on AI

AI回报

AI-driven hedge funds need human brains, too

由AI操盘的对冲基金也离不开人脑

 

ARTIFICIAL intelligence (AI) has already changed some activities, including parts of finance like fraud prevention, but not yet fund management and stock-picking. That seems odd: machine learning, a subset of AI that excels at finding patterns and making predictions using reams of data, looks like an ideal tool for the business. Yet well-established “quant” hedge funds in London or New York are often sniffy about its potential. In San Francisco, however, where machine learning is so much part of the furniture the term features unexplained on roadside billboards, a cluster of upstart hedge funds has sprung up in order to exploit these techniques.

人工智能（以下简称AI）已经改变了一些活动，其中包括某些金融工作，如防范欺诈，但它却尚未用于资金管理和选股。这似乎有些奇怪：作为AI分支的机器学习技术善于运用庞大数据寻找模式并做出预测，似乎是这一领域的理想工具。但伦敦或纽约的大牌“量化”对冲基金往往对该技术的潜力不以为然。然而在旧金山，情况则不同。在这个城市，机器学习司空见惯，路边广告牌上就直接印着这个名词。一批希望利用该技术的新兴对冲基金已在这里涌现。

 

m  subset

noun C
1. a group of people or things that is part of a larger group of people or things分组，小组; 子集:
[+ of ]

•a small subset of the city‘s immigrant population该城市移民人口中的一小部分

 

 

 

 

m  ream

noun C
1. reams pl.informala large amount of writing on paper〔文字的〕大量:
[+ of ]

•reams of notes大量的笔记

2. technicala standard amount of paper, 500 pieces in the US or 480 pieces in Britain令〔纸张的计量单位，在美国为 500 张，英国为 480 张〕

 

m  sniffy

adjective BrE informal
1. having a disapproving attitude towards something or someone, especially because you think they are not good enough for you瞧不起人的，傲慢的:
[+ about ]

•Well, don‘t get sniffy about it! 好了，别这么不屑一顾的样子！

 

m  spring up

spring up 
to suddenly appear or start to exist突然出现:

•Fast-food restaurants are springing up all over town.突然之间，镇上到处都是一家一家的快餐店。

 

These new hedgies are modest enough to concede some of their competitors’ points. Babak Hodjat, co-founder of Sentient Technologies, an AI startup with a hedge-fund arm, says that, left to their own devices, machine-learning techniques are prone to “overfit”, ie, to finding peculiar patterns in the specific data they are trained on that do not hold up in the wider world. This is especially true of financial data, he says, because of their comparative paucity. Share-price time series going back decades still contain far less information than, say, the image data used to train Facebook’s facial-recognition algorithms.

这些新型对冲基金态度足够谦虚，肯承认对手的一些观点。设有对冲基金部门的AI创业公司感知科技（Sentient Technologies）的联合创始人巴巴克·霍加特（Babak Hojdat）表示，如果不加干预，机器学习技术很可能会出现“过拟合”现象，即在用于训练的特定数据中识别出了特殊模式，却无法在现实世界广泛应用。他指出，金融数据相对稀缺，因此尤其容易引发这一问题。累积几十年的股价时间序列包含的信息远远少于其他数据，例如Facebook用于训练人脸识别算法的图像数据。

m  prone

adjective
1. likely to do something or suffer from something, especially something bad or harmful易于发生某事〔尤指不好或有害的事〕的; 很可能…的; 有…倾向的:
[+ to ]

•Some plants are very prone to disease.有些植物很容易得病。

prone to do sth

•Kids are all prone to eat junk food.孩子往往都喜欢吃垃圾食品。

accident-prone / injury-prone etc

•He‘s always been accident-prone.他总是出事故。

2. formallying down with the front of your body facing down脸朝下卧倒的，俯卧的;SYNprostrate

•His eyes shifted to the prone body on the floor.他的视线移向了趴在地上的尸体。

 

m  paucity /?p?:s?t?; p?s?t?/

noun sing.formal
1. less than is needed of something不足; 缺乏;SYNlack
[+ of ]

•a paucity of information资料（信息）缺乏

 

The trick, then, is to take a more thoughtful approach to deploying AI. Technical prowess obviously matters; Sentient employs a couple of dozen AI experts and constantly researches new methods. But business models matter enormously, too. Sentient started out as a tiny fund a decade ago, managing only its own founders’ money. In the past three years it has expanded into other applications for AI, such as online shopping and website optimisation. Only earlier this year did it launch a hedge fund open to outside money, on which it hopes to apply the insights gleaned elsewhere in its investment arm.

那么，关键就在于采取更周密的方式来部署AI。技术实力显然非常重要：感知科技聘请了几十位AI专家，不断开发新方法。但商业模式也极为重要。感知科技在十年前起步时是一家小型基金公司，只管理创始人的资金。过去三年来，公司已扩展到AI的其他应用领域，如网络购物和网站优化。直到今年早前，该公司才推出一只接受外部投资的对冲基金，希望将从其他地方获得的洞见运用在自己的投资部门中。

m  prowess /?pra??s/

noun Uformal
1. great skill at doing something〔做某事的〕高超技艺:

•his physical prowess他优异的体能

•military prowess精良的军事技能

 

m  glean

verb
1. Tto find out information slowly and with difficulty费力地搜集〔信息〕:
glean sth from sb / sth

•Additional information was gleaned from other sources.另外的信息都是从其他地方搜集来的。

2. I,Tto collect grain that has been left behind after the crops have been cut〔收割后〕拾（落穗）

m  arm

PART OF GROUP 团体的一部分, a part of a large group that is responsible for a particular type of activity职能部门; 分支机构:

•the political arm of a terrorist organization恐怖组织的政治部门

•Epson America is the US marketing arm of a Japanese company.爱普生美国有限公司是一家日本公司在美国的营销机构。

 

Another San Francisco hedge fund that draws on an even wider pool of expertise, by virtue of its unusual business model, is Numerai, a firm founded in 2015 that launched its first fund this autumn. It starts by taking financial data and then encrypts them so that they are unrecognisable. Its chief operating officer, Matthew Boyd, says this turns them into a “pure math problem”. The idea is that this avoids biases creeping into models—and appeals to Valley types better than the grubby business of picking securities.

另一家旧金山对冲基金公司Numerai有着不同寻常的商业模式，从而利用了更多的专业人才。这家成立于2015年的公司在今年秋天推出了首只基金。该公司先是收集金融数据，然后加密，令其无法被识别。公司的首席运营官马修·博伊德（Matthew Boyd）表示，这将数据变成了“纯粹的数学问题”。公司认为这样可以避免模型中掺杂偏见，而且，相比挑选证券牵涉的肮脏交易，这也更能吸引硅谷人士。

m  expertise /??ksp???ti?z/

noun U
1. special skills or knowledge in a particular subject, that you learn by experience or training专门技能（知识）:
technical / financial / medical etc expertise

•What he‘s bringing to the company is financial expertise.他给公司带来的是金融专业知识。

•trainee engineers with varying degrees of computer expertise计算机专业技能参差不齐的实习工程师

[+ in ]

•expertise in the management of hotels酒店管理的专门知识

 

m  encrypt

verb T
1. to protect information by putting it into a special code that only some people can read, especially information that is on a computer把〔尤指计算机中的资料〕加密;
⇒decrypt 
—encryption noun U

•secure encryption of data数据的安全加密

—encrypted adj:

•files stored in encrypted form用加密形式储存的文件

 

m  grubby /?ɡr?bi/

adjective
1. fairly dirty肮脏的，邋遢的:

•a grubby handkerchief肮脏的手帕

•a gang of grubby kids一群邋遢的孩子

2. grubby behaviour or activity is morally unpleasant〔行为或活动〕肮脏的，不道德的，卑鄙的:

•the grubby details of his financial dealings他那些金融交易中肮脏的细节

3. grubby hands / paws / mitts informalused to talk about someone touching something or becoming involved in it when you do not want them to肮脏的手/爪子〔用于表示不希望某人触碰某物或卷入某事〕:

•Keep your grubby paws to yourself!把你的脏爪子拿开！

•I bet he can‘t wait to get his grubby hands on my money!我肯定他是迫不及待要把他那双肮脏的手伸向我的钱！

—grubbiness noun U

 

It then runs two-stage competitions for machine-learning algorithms that perform best on the data. Some 1,200 data scientists now take part weekly, competing for virtual prizes (in the fund’s own cryptocurrency) in the first round and cash prizes in the second. That structure seeks to encourage algorithms that do well at picking winners over time. The firm takes the results of the best algorithms, decrypts these results back into financial data, and uses the insights to decide which shares to trade. The fund owes at least as much to crowdsourcing, then, as it does to harnessing AI.

之后，Numerai开展两个阶段的比赛，挑选在运用上述数据时表现最佳的机器学习算法。现在，每周约有1200名数据科学家参与比赛，在第一轮争夺虚拟奖金（该基金公司自己的加密货币），在第二轮争夺现金奖励。如此设计为的是促进开发具备长期优选能力的算法。公司把最佳算法的结果还原为金融数据，利用这些发现来决定交易哪些股票。如此看来，众包对该基金的贡献并不低于AI技术。

m  decrypt /di??kr?pt/

verb T
1. to change a message or information on a computer back into a form that can be read, when someone has sent it to you in a type of computer code解码，解读〔计算机信息〕;
⇒encrypt:

•Only certain employees will be able to decrypt sensitive documents.只有部分员工才能解读内容敏感的文档。

 

m  crowdsourcing

the practice whereby an organization enlists a variety of freelancers, paid or unpaid, to work on a specific task or problem

众包, 群包。

 

 

One hedge fund that does tout its machine-dependent model, despite naming itself after the human brain, is Cerebellum Capital. Founded as an arbitrage fund in 2008, it started work on a fully AI-run American equity fund in 2016, and launched it in April this year. The fund uses machine learning not just to crunch data and come up with strategies. The classification system that gauges the relative merits of these strategies is itself run by machine learning. But humans do the actual trading, following the algorithm’s instructions.

对冲基金公司小脑资本（Cerebellum Capital）倒是标榜其高度依赖机器的商业模式，尽管它以人脑命名。在2008年创立之初，该公司是一家套利基金， 自2016年开始筹备一只完全采用AI投资美国股票的基金，并于今年4月推出。该基金不只用机器学习分析数据和出谋划策，就连衡量这些策略优缺点的分类系统本身也是由机器学习技术运作的。不过，实际交易操作还是由人工根据算法的指示来完成。

m  arbitrage /?ɑ?b?tr?d?, ?ɑ?b??trɑ??/

noun Utechnical
1. the process of buying something such as raw materials or currency in one place and selling them immediately in another place in order to make a profit from the difference in prices套利，套汇，套购

m  gauge /ɡe?d?/

verb T
1. to judge how people feel about something or what they are likely to do判定，判断〔人们的情感或意图〕:
[+ whether / what / how etc ]

•It is difficult to gauge what the other party‘s next move will be.很难判定对方下一步要做什么。

•I looked at Chris, trying to gauge his reaction.我看着克里斯，琢磨着他会作出什么样的反应。

2. to measure or calculate something by using a particular instrument or method〔用某种仪器或方法〕测量，测出:

•The thermostat will gauge the temperature and control the heat.恒温器可测量温度，并控制热度。

 

However they perform in the long term, therefore, one feature of these new AI funds is already clear. At least in investing, more artificial intelligence does not necessarily mean less of the human kind.

因此，无论这些新型AI基金长期表现如何，它们的一个特点已经明显呈现。至少在投资领域，更多地采用人工智能并不一定意味着需要的人类智慧就少了。