自下而上分析的价值

I think we can agree (...or I hope we can...) that institutional investors were poorly served by conventional finance theory over the past few years, especially in the area of risk management. As such, I’m of the mind that we need more academics challenging the ontology (dare I say ideology) of finance and economics in this domain — not because I’m some revolutionary trying to replace top-down approaches with a new intellectual toolkit, but because I think the people using the quantitative tools need to understand their limitations and, better still, supplement these top-down tools with bottom-up approaches.

Enter Dan Awrey of Oxford University: He recently posted a (now very popular) paper to SSRN entitled “Complexity, Innovation and the Regulation of Modern Financial Markets.” It’s a neat article that looks to “establish a more stable and constructive equilibrium between financial theory and financial regulation”. More specifically, Awrey shows the complexity of global financial markets and, in turn, demonstrates why attempts to “generalize” and “abstract” through mathematical models is so difficult. Here are some blurbs I thought were particularly insightful:

“As American essayist H.L. Mencken once observed: ‘for every complex problem there is an answer which is clear, simple and wrong’.”

“2007 - 2009年全球金融危机（GFC）的智力起源可以追溯到缺点 - 盲点 - 从传统的金融理论中发出。这些盲点扭曲了对金融经济学的规范理论的完美市场假设的反映。“

“这些理论分享了一个常见的和高度风格化的金融市场视图，其中一个特征在于，尤其是完美信息，缺乏交易成本和理性市场参与者。然而，在现实的金融市场 - 市场参与者 - 很少（如果有的话）严格符合这些假设。“

“...the empirically (con)testable assumptions of conventional financial theory have been transformed into the central articles of faith of the ideology of modern finance: the foundations of a widely held belief in the self-correcting nature of markets and their consequent optimality as mechanisms for the allocation of society’s resources.”

“这一市场原教旨主义是基于定罪的，即利用和完全知情的市场参与者 - 利用精致的定量方法和创新的金融工具，这些方法可能实现 - 有效掌握了风险。”

“全球全民党为公共政策的司机揭示了市场原教旨主义的愚蠢。它还暴露了传统的金融理论，从根本上不完整。也许最乍一看的是，传统的财务理论未能充分考虑现代金融市场的复杂性以及金融创新的自然和步伐。“

I can’t really speak to the paper’s claims about regulation (not my forte), but I can repeat the fact that I’m sympathetic to the author’s views about finance theory. In fact, I think they are awesome. Why? Because I’ve been frustrated with these same issues for over a decade.

关于我的一些背景知识:在做文学学士和硕士economics with a concentration in finance, I bailed and left academia altogether. I was only convinced to return to the academy when I got an opportunity to join a program (Oxford University’s program in economic geography) that afforded researchers methodological freedom. In economic geography, I found a discipline that encouraged researchers to understand and appreciate the immense complexity and idiosyncrasies of the economic world around us rather than constantly trying to generalize through models. I chose research topics based on their relevance and importance rather than on the availability of quantifiable data. It was fantastic.

But there were consequences: my old colleagues had disdain and contempt for my decision to leave the ‘church of economics’ in search of truth elsewhere. I recall presenting some qualitative research to a group of young economists in Washington DC (...we’d all been awarded the same research grant...) to curious and skeptical views. At the end, I didn’t get a single question. It was painful.

我的挫败感，经济学家根本没有“获得我正在做的价值”在我博士学位结束时煮沸。我相信我的妻子（谁也是博士候选人 - 但在经济学中）与我一起为牛津经济部门（通过学生运行期刊）写一篇论文。目标：使经济学家意识到“自下而上”方法以了解经济问题的价值。

Anyway, the paper generated some interesting and gratifying discussions. But the real change ultimately came with the financial crisis: people started to understand the value of field work — of local appreciation. I still think the discipline of economics has a long way to go. (For example, when was the last time you read an economics paper based on a series of case studies? Maybe Ronald Coase in developing his theory of the firm? Or Adam Smith’s pin factory for division of labor?) Nonetheless, multi-method approaches are becoming more popular (and accepted)...and that’s a good thing. True appreciation of the economic landscape requires both top-down and bottom-up approaches.