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Nerds on Wall Street: Math, Machines and Wired Markets (英语) 精装 – 2009年6月9日

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基本信息

  • 出版社: Wiley; 1 (2009年6月9日)
  • 外文书名: 华尔街狂人
  • 精装: 353页
  • 语种: 英语
  • ISBN: 0471369462
  • 条形码: 9780471369462
  • 商品尺寸: 16 x 3.6 x 23.1 cm
  • 商品重量: 612 g
  • ASIN: 0471369462
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  • 亚马逊热销商品排名: 图书商品里排第2,712,593名 (查看图书商品销售排行榜)
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Additional Praise for Nerds on Wall Street

"Most new technologies are exploited first by "alpha geeks," the folks with the skills to push the envelope. This is as true on Wall Street as it was on the web. David Leinweber was one of those alpha geeks, but is also the first to chronicle the innovation process from early adopter to mainstream acceptance."
Tim O'Reilly, Founder & CEO O'Reilly Media

"Nerds on Wall Streetis a thoughtful, funny, and comprehensive history of the overlooked role geeks have played in our financial markets from the earliest days of telegraph, to risk management systems in the current credit crisis. The book is an irreverent "I Was There" chronicle of how our financial markets were formed from silicon, savvy and software. Highly recommended."
Paul Kedrosky, Infectious Greed, Ten Asset Management and Kauffman Foundation

"For decades Dave has not only understood more investment technology than anyone, but with patience and a great sense of humor, he has made the effort to explain it to his less tech savvy friends. Nerds on Wall Streetis a home run for us all."
Richard Rosenblatt, CEO, Rosenblatt Securities

"Nerds on Wall Streetis a wild, funny ride though the technological changes that underpin modern financial markets. You will find yourself laughing out loud at what could otherwise be a dry subject. And, if you’re not careful, you might even learn something!"
Richard R. Lindsey, Chairman, International Association of Financial Engineers; Principal, Callcott Group LLC

"If you're interested in what computers are doing with your money, then this book is for you."
Richard Peterson, MD, Managing Director MarketPsy Capital LLC; Author, Inside the Investor's Brain

"In David’s words, the stock market is a "victim not a cause" of the great mess of 2008. It’s refreshing to read a book with such insight during these difficult times. I applaud David Leinweber for this timely masterpiece."
Bill Aronin, Co-founder Quantitative Analytics, Inc; Sr. Manager, Thomson Reuters

"Clear, light language and wry humor mask David Leinweber’s exhaustive compendium of technological innovations for and impacts on asset trading. Leinweber brings an entrepreneur’s experience and an academic’s perspective to financial technology; and has produced the definitive work, as up-to-date as it is encyclopedic."
David K. Whitcomb, Founder and Chairman Emeritus, Automated Trading Desk and Professor of Finance Emeritus, Rutgers University

"Dr. Leinweber continues to be a patron saint of any nerd who stumbles onto Wall Street. Many of his most insightful ideas are here in this book, the utility of which are only matched by the humor of their presentation. As the markets have changed in 2008, the need to collect, process, and understand novel information sources has never been greater."
Jacob Sisk, Infoshock, Yahoo

"Thoughtful insights covering trading, investment practice and system design encased in humor by an expert in all four: a good and practical read."
Evan Schulman, Founder, Tykhe, LLC.

"David is one of the top practitioners in the fields of textual analysis and sentiment and its application to trading. Leveraging "smart" machines to parse and extract signal from massive quantities of textual data is hard, and David’s work has put him at the vanguard of the next wave of alpha generation."
Roger Ehrenberg, Information Arbitrage, and IA Capital Partners

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Praise for Nerds On Wall Street

"Leinweber leads his readers through a largely unexplored forest, turning over ordinary-looking rocks to reveal hidden colonies of peculiar creatures that feed on moldering mounds of numbers teeming with trailing zeroes. His book is absorbing, instructive, and very, very funny."
David Shaw, Founder, D. E. Shaw & Co.

"David Leinweber has been a pioneer in developing and applying advanced technologies in the capital markets. This book is a virtual tour de force survey of many of the key innovations over the past two decades, with key insights for the future. It is a highly engaging, insightful, and entertaining book for all investors who want to understand the increasingly important role of technology in the financial markets."
Blake Grossman, CEO, Barclays Global Investors

"Leinweber isn't half as crazy as people said! He foresaw the profound change that wired technology would bring to markets (robots trading millions of shares in six milliseconds). Now he nails the Stupid Financial Engineering Tricks that dumped the markets, and offers his patented, sound insights on how the nerds will help bring us back."
Jane Bryant Quinn, Financial columnist, Bloomberg.com and Newsweek

"Through the lenses of finance 'nerds,' Dave Leinweber recounts the quantitative and technological revolution in equity trading. The book is humorously written but it is serious and insightful. It makes an important contribution to our understanding of financial innovation and the evolution of the capital markets."
Andre F. Perold, George Gund Professor of Finance and Banking, Harvard Business School

"Finally, a book that rightly honors the pocket-protected, RPN-loving, object-oriented, C-compatible, self-similar Wall Street quant! This is a delightfully entertaining romp across the trading floors and through the research departments of major financial institutions, told by one of the early architects of automated trading and a self-made nerd."
Andrew W. Lo, Professor of Finance, MIT Sloan School of Management

"David Leinweber is one of the great financial innovators of our time. David possesses a unique combination of expertise in the fields of money management, artificial intelligence, and computer science."
Blair Hull, Founder, Hull Trading & Matlock Trading

"An important, accessible, and humorous guide to today's electronic markets. Like Capital Ideas mixed with Being Digital, as told by Steve Martin."
Frank Fabozzi, Yale School of Management, Editor, Journal of Portfolio Management

"Slicing and dicing data to predict the future can get dicey. The Super Bowl market indicator holds that stocks will do well after a team from the old National Football League wins the Super Bowl. . . The "Sell in May and go away" rule advises investors to get out of the market after April and get back in after October. . . hundreds -- of Web sites hawk "proprietary trading tools" and analytical "models" . . . There is no end to such rules. But there isn't much sense to most of them either. An entertaining new book, "Nerds on Wall Street," by the veteran quantitative money manager David Leinweber, dissects the shoddy thinking that underlies most of these techniques."
Jason Zweig, The Wall Street Journal

"One of the best reads that I have picked up in some time. It stimulated me about things in the market that I didn't know.... A wonderful book"
Vince Rowe Radium, Biz Radio

"Where technology will take investing and trading in the future is anyone's guess. Yet, David J. Leinweber in his newly published book, "Nerds on Wall Street: Math, Machines and Wired Markets," provides a glimpse of the direction. In his lively — alternately raucous and reverent, deriding and respectful — Mr. Leinweber recounts the history of how technology has transformed investing and trading through the people that developed ideas and pioneered applications, most famously in indexing, optimization and quantitative investing. . . The book makes one of the best reads of the summer — suitable for the beach as well as for a serious reader in suit and tie at the office."
—Pensions & Investments

“Explains complex financial instruments in relatively simple terms, and the same goes for complex trading techniques. . . The average reader will learn a lot here. I recommend the book to those that want to dig into how the equity markets became more computerized.
— Seeking Alpha

商品评论

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平均3.0 星 Funny, but not deep! 2010年6月11日
评论者 Lars Tackmann - 已在美国亚马逊上发表
版本: Kindle电子书 已确认购买
This book is a fun read, but ultimately somewhat disappointing. I had hoped for a book discussing the various computer related treading strategies used on wall street, but instead I found a widely scattered and outdated treatment of everything from internet market manipulation to green technology. Parts of the book are very good, including its treatment of data mining strategies and the problems with LISP garbage collection, but elsewhere it completely looses the focus. What annoys me the most (and almost compelled me to give it one star) is the extremely bad flow of the text. Readers should be aware that this book is just a collection of prior articles and often these are not elaborated and expanded upon (or even put in context) thus mostly raising more questions than they answer.

However when all is said and done, the book is quite funny and the author does point to many other interesting books and articles, so I will give 3 stars and hope that he will write a better nerd quant book next time.
1/1 人认为此评论有用
平均5.0 星 Fine Personal History 2010年9月1日
评论者 Bernie - 已在美国亚马逊上发表
版本: 精装 已确认购买
I require my MBA students to read chapters of "Nerds on Wall Street" to gain background for my courses in IT and the financial markets. It is a personal and idiosyncratic history of Dr. Leinweber's experiences during the formative period of our electronic financial markets. It is not academic, but a richly textural view that has more of a firsthand "Liar's Poker" feel. While a number of the chapters are essentially reprints of previously published material, it does offer the reader a firsthand view of thinking at the time and has provided me examples of prior art in patent disputes. It resonates with my students and puts events in context. Having worked on Wall Street and in technology since 1968, our careers are contemporaneous and I can personally relate to his experiences. It's an enjoyable read from a unique perspective.
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平均4.0 星 An interesting overview 2009年11月27日
评论者 Dr. Lee D. Carlson - 已在美国亚马逊上发表
版本: 精装 已确认购买
There are many creative and dynamic individuals that work on Wall Street that use sophisticated mathematics and artificial intelligence for financial trading and who do not satisfy the "nerd" classification. But despite the title of this book, the author gives a very interesting overview of the use of mathematics and machine intelligence in financial engineering. His approach to history however is purely anecdotal, so readers should not expect a detailed study, but rather a work that targets the "general audience", however vague the latter characterization is. There is a lot in the book that is controversial, and many who work in the financial industry may be insulted by some of the author's commentary, but in general he refrains from the vituperation that characterizes much of the current discussion on financial modeling.

The author covers just about all the techniques used to "get an edge" in financial trading, and his coverage of computational linguistics is unusual in that it is typically not discussed at all in books at this level of discourse. Readers will also get more insight into the concept of "alpha" and what it is like to work in the field of financial modeling. Indeed, modelers have been blamed for much of the current "financial crisis", but some have also taken credit for inducing events that they show no evidence for having caused or controlled. The origin of this kind of mental confabulation is not really known, but the author is aware of it when he states that in financial forecasting it is "remarkably easy to fool yourself."

It is along these same lines that the author falters in the book when he blames some of the more "exotic" financial instruments for the "financial crisis". He banters about words such as "pointless complexity" and "monstrously complex" to characterize some of these instruments but at no place really defines, even in a loose sense, of what complexity is. Also, he never gives any quantitative evidence that is was mortgage-related financial engineering that contributed primarily to the current financial situation. It would be very difficult to disentangle the effects of mortgage-backed securities from other derivative securities. This part of the book is therefore its worse, and needs considerable revision on the part of the author.

In addition, the author has too much faith in governmental regulation, as is apparent by his support of many of the regulatory institutions that have arisen in the last 80 years. He is not alone in his fear of a free market though. One need only view the actions of financial executives and their begging for alms from Washington. They tremble at the notion of a free market. They quake at the idea of no governmental agency to cushion them against their follies.

The current schism between "intuitive" and "quantitative" trading is also brought out quite elegantly in this book, and if the author's historical summarization is to believed, one can expect to see more use of quantitative methods in the future. The author's discussion in this regard is additional proof of the Schumpeterian nature of financial innovation in the twenty-first century. This creative destruction of past trading methods is to be encouraged, and hopefully the day will come soon when the Leo-Malamed-type trading is replaced by full automation, by technology robust enough, reliable enough, and intelligent enough to move capital where it should be moved, and to manage portfolios independently of the weak constraints of human intuition.
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平均5.0 星 Overall, a great book for anyone interested in the field. 2013年3月27日
评论者 R. Litvak - 已在美国亚马逊上发表
版本: 精装
I have no experience in the world of Wall Street or IT so I cannot comment on how accurate the content is. However, as a person with recent interest in this subject I found the book to be a good introduction into how much of an extent trading today is influenced by AI and related quantitative strategies. The author begins with a brief history into the early beginnings of technology use and the methods used to get ahead in finance at the time. He moves into the 80s and beyond where the material gets a bit more technical. It turns out not that much has changed over the years on Wall Street with the exception of technology. The author continuously stresses the point that algorithms are getting more sophisticated and there are still many limits to what they can accomplish. Having read this the biggest thing I got from this book was probably how limited their ability to access and use the huge (and growing) amount of data available today, whether this data comes from SEC filings or news agency blogs. Midway the material gets a bit too technical for the average person, and this should not come as a surprise given the background of the author. The author largely describes his own experiences with trading applications, namely Quantex which if I remember correctly he also had personal involvement in its development. Aside from that he talks of various strategies used over the decades by portfolio/fund managers as well as traders seeking alpha. There is indexing and portfolio optimization. There are the obligatory cautions on the dangers of data mining and regression techniques. Yet there are many examples of seemingly arbitrary data being so important in the valuations of stocks and why AIs are so critical. An interesting example is the number of SEC filings a company makes within a certain period of time or overnight online message board traffic.

The book can be humorous at times and as others have said there are instances of poor editing. I have not really noticed the editing to be that as bad as others have claimed. As mentioned the book can get technical and carries quite a bit of meat. I would recommend it to anyone interested in the quantitative aspects of finance. It should give the reader a much bigger picture of the state of finance and where it is heading.

This is an anecdotal piece so I do not expect a completely objective view of every (or any) topic covered. I think some topics to be honest were over-covered and others repetitive but I understood this was all based on the author's experience and discretion. The message I also got was that like so many "quants" the author does not come from a purely financial background. This could affect the content of some of the topics covered, specifically the ones regarding the financial crisis.

Overall, a great book for anyone interested in the field.
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平均5.0 星 High Frequency Laughs 2010年6月3日
评论者 Scott C. Locklin - 已在美国亚马逊上发表
版本: 精装
This book is an amusing overview of the history of electronic trading, the hedge fund business, and some personal anecdotes of the author's experiences as a Nerd on Wall Street. The best way to describe it: if you took the quant chapters of Derman's "My Life as a Quant" and merged it with a schoolhouse rock video of the history of finance as narrated by Groucho Marx. The gags in it are laugh out loud stuff; from the graphical sight gags to the verbal yarks; the author has a gift for turning what most consider a very dry subject into something amusing to read and pretty damn funny. He gets the important cast of characters right; any of these historical things should mention Tartaglia, Shaw, Barr Rosenberg and so on. I suppose Ed Thorp and maybe the Getco guys might have been mentioned, but really, the characters who ended influencing others were well represented in his history: Thorp ran a fairly small shop with no spin offs, and I don't think Getco has had any spin offs yet. I think his descriptions of electronic market making, CAPM, and how hedge funds make money are probably the best you're going to find on those subjects in plain english. The book does concentrate on "buy side" equity strategies; considering the author's work history, it's because this is what he did for a living. That means if you want the more technical side of what he's writing about; Grinold and Kahn or Elton and Gruber are your go-to books. The chapter on market manipulations was also good. I mostly wished he had referenced some more technical studies on the subject -it's something most nerds don't like to think about, and it got my "semi pro" nerd wheels spinning a little bit. While many will not be interested in his tales of applying old school classical AI techniques to Wall Street problems, I was riveted: I had considered noodling with the old AI alien technology myself, back when I was first learning things like expert system shells. I sort of figured people had done so at some point, but finally reading about it from someone who was there was good fun.

I disagree with some of his speculations: I don't think machine translation or related tricks are as important as he does -though such things might be important to the kinds of equity strats he describes. I suspect the people who can do this are useful because of how they think about things (probabilities + machine learning = optimal betting), but I suspect they're more "reading the tape" than parsing meaning from news feeds. I also don't agree with his opinions on derivatives. But, you know, if I only read stuff which I completely agreed with, I'd never learn anything new. For example, his description of a proposal for converting speculative equity in a house into tradeable equity is a very interesting idea, which I had only heard allusions to elsewhere. I don't agree with the idea, as I think inflating speculative bubbles is generally a bad idea, but it's a neat idea anyway. Even neater is his proposal for using the $700billion in TARP funds to capitalize $7 trillion worth of banks, rather than to reinflate a bunch of ivy league screw ups in the surviving investment banks the way we ended up doing. I kind of had a similar idea myself when the poop was hitting the prop, but figured I must be crazy if nobody else was saying it. I'm glad he said it; seems kind of obvious in hindsight, and a better way to inject liquidity than the TARP mess. I don't know why the green bits were in there at all in the last chapter; perhaps a genuflection to the local folkways (the author is a fellow Berkeley resident), but again, this was reasonably fun to read about, and at least broadly related to financial issues.

Over all, this is a great, fun introduction to electronic trading, finance and what a certain kind of nerd does on Wall Street. It's the type of book you buy for family members whose eyes glaze over when you try to explain what it is you do for a living. It isn't a textbook, and that is a good thing: if I wanted to know "just the basic facts," I'd go read something else.