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Paulos J.A. — A Mathematician Plays the Stock Market
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Íàçâàíèå: A Mathematician Plays the Stock MarketÀâòîð: Paulos J.A. Àííîòàöèÿ: In A Mathematician Plays the Stock Market, best-selling author John Allen Paulos demonstrates what the tools of mathematics can tell us about the vagaries of the stock market. Employing his trademark stories, vignettes, paradoxes and puzzles (and even a film treatment), Paulos addresses every thinking reader's curiosity about the market: Is it efficient? Is it rational? Is there anything to technical analysis, fundamental analysis, and other supposedly time-tested methods of picking stocks? How can one quantify risk? What are the most common scams? What light do fractals, network theory, and common psychological foibles shed on investor behavior? Are there any approaches to investing that truly outperform the major indexes? Can a deeper knowledge of mathematics help beat the odds? All of these questions are explored with the engaging erudition that made Paulos's A Mathematician Reads the Newspaper and Innumeracy favorites with both armchair mathematicians and readers who want to think like them. Paulos also shares the cautionary tale of his own long and disastrous love affair with WorldCom. In the tradition of Burton Malkiel's A Random Walk Down Wall Street and Jeremy Siegel's Stocks for the Long Run, this wry and illuminating book is for anyone, investor or not, who follows the markets — or knows someone who does.
ßçûê: Ðóáðèêà: Ìàòåìàòèêà /Ïîïóëÿðíûå èçäàíèÿ /Ñòàòóñ ïðåäìåòíîãî óêàçàòåëÿ: Ãîòîâ óêàçàòåëü ñ íîìåðàìè ñòðàíèö ed2k: ed2k stats Ãîä èçäàíèÿ: 2003Êîëè÷åñòâî ñòðàíèö: 216Äîáàâëåíà â êàòàëîã: 30.04.2005Îïåðàöèè: Ïîëîæèòü íà ïîëêó |
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Ïðåäìåòíûé óêàçàòåëü
Gilovich, Thomas 18 Godel, Kurt 195 Goethe 115 Golden ratio 39—40 Goodman, Nelson 29 gossip 32 Gould, Steven Jay 61 Graham, Benjamin 106 Greek mathematics 39—40 Greenspan, Alan, impact on stock and bond markets 86 Greenspan, Alan, on irrational exuberance of investors 13—14 Growth investing vs. Value investing 104 109 Growth stocks 106 Grubman, Jack 14 111 169 Guessing games 6—9 Guilt and despair over market losses 118 Hart, Sergiu 165 Hedge funds 129 Herd-like nature, of stock market 181 Hill, Ted 73—74 How Nature Works (Bak) 179 How We Know What Isn’t So (Gilovich) 18 In Search of Excellence (Peters) 107 Incompleteness theorem of mathematical logic 195 Index funds, as safe investment 4 Index funds, Efficient market theorists investing in 60 Inflationary universe hypothesis 16 Innumeracy (Paulos) 67 Insider trading, attraction of 164 Insider trading, stock manipulation by 130—132 Insider trading, unexplained price movements and 164—167 Institutional investor 69 Insurance company example, expected value 135 Insurance put options 113 Interest rates, market predictability and 172 Internal rate of return 90 Internet, "flocking effect" 178 Internet, as network of associations 177—178 Internet, diameter (or interconnectedness) of 179—180 Investment clubs 71 Investment strategies see also "Predictability of Investment strategies, based on Parrondo’s paradox 54 Investment strategies, contrarian investing 105—107 Investment strategies, dogs of the Dow 105 Investment strategies, fundamental analysis see "Fundamental analysis" Investment strategies, momentum investing 37 47 Investment strategies, secrecy and 202 Investment strategies, value investing see "Value investing" investments see also "Margin investments" Investments, confirmation bias and 13 Investments, considering utility of dollars invested vs. dollars themselves 148—149 Investments, counter-intuitive 54 Investments, emotions dictating 2 Investments, guilt and despair over losses 118 Investments, ignoring uniformity of positive ratings 14 Investments, protective measures 113 Investments, randomness vs. Predictability and 4 Investments, rumors and 3 Investments, safe 4 158 Investments, windfall money and 1 Investors see also "Traders" Investors, "blow up" and becoming "ghosts" 118 Investors, behavior as nonlinear systems 172—173 Investors, beliefs of impact Efficient Market Hypothesis 189 Investors, buying/selling puts on S&P 500 134 Investors, common knowledge and 9—10 Investors, gauging investors as important as gauging investments 7 Investors, irrational exuberance/irrational despair 13—14 15 Investors, online trading and 71—72 Investors, price oscillation created by investor reactions to each other 171 Investors, self description in bear and bull markets 58 Investors, short-term 3—4 Ipos, alternative rates of return from 98 Ipos, as a pyramid scheme 93 IPOs, Salomon Smith Barney benefitting illegally from 34 Ipos, stock market in 1990s and 95 Ipos, strategy for buying and selling 96—97 Jegadeesh, Narsimhan 47 Jeong, Hawoong 178—179 Judgment Under Uncertainty (Tversky, Kahneman, and Slovic) 18 Kahneman, Daniel 18 23 Keynes, John Maynard 3—4 149 Kolmogorov, A.N. 193 Kozlowski, Dennis 183 Kraus, Karl 26 Krauthammer, Charles 75 Kudlow, Larry 146 Lakonishok, Josef 48 Lands burg, Steven 156 Lay, Ken 129 Lebaron, Blake 48 Lefevre, Edwin 33 Leibweber, David 29 Linguistics, power law and 179 Lo, Andrew 48 107 Logistic curve 101 Lognormal distribution 122 Long-Term Capital Management (LTCM) 129—130 Losing through winning 54—55 Loss aversion 23—24 Lotteries, as tax on stupidity 120 Lotteries, present value and 90—91 Lynch, Petei 65 104 Mackinlay, Craig 48 107 Mad money 1 Malkiel, Burton 48 62 Management, manipulating stock prices 123—124 Mandelbrot, Benoit 38 174—175 Margin calls 128—129 Margin investments, as investment type 113 Margin investments, buying on the margin 127—128 Margin investments, margin calls 128—129 Margin investments, selling on the margin 127 Market makers, decimalization and 70—71 Market makers, World Class Options Market Maker (WCOMM) 196—198 Markowitz, Harry 157 Mathematics, generally, Greek 39—40 Mathematics, generally, movies and plays about 75 Mathematics, generally, outguessing the average guess 6—7 Mathematics, generally, risk and 136—137 Mathematics, generally, stock markets and 4—5 Mathews, Eddie 108 Mean value see also "Expected value" Mean value, arithmetic mean 96—99 Mean value, deviation from the mean 136—139 152—153 Mean value, geometric mean 96—99 Mean value, regression to the mean 107—109 Mean value, using interchangeably with expected value 133 Media celebrities and 184 Media crisis mentality and impact on market volatility 16 Median rate of return 99 Merrill Lynch 34 Merton, Robert 122 129 Mnemonic rules 192 Momentum investing 37 47 Money, categorizing into mental accounts 1 24—25 Morgenson, Gretchen 169 Motley Fool, contrarian investment strategy 105 Motley Fool, PEG ratio and 104 moving averages 41—44 Moving averages, complications with 44 Moving averages, evidence supporting 48 Moving averages, example of 42—43 Moving averages, generating buy-sell rules from 43 Moving averages, getting the big picture with 42 Moving averages, irrelevant in efficient market 44 Moving averages, phlegmatic nature of 42 Mu (m) 138 Multifractal forgeries 175 Mutual funds, expert picks and 63 Mutual funds, hedge funds 129 Mutual funds, index funds 4 60 62—63 Mutual funds, politically incorrect 155 Mutual funds, rationale for 154—155 Mutual funds, socially regressive funds 154—155 Mutual knowledge, contrasted with common knowledge 9—10 Nash equilibrium 7 Nash, John 75 Neff, John 65 Negatively correlated stocks, as basis of mutual fund selection 155 Negatively correlated stocks, as basis of stock selection 154 Negatively correlated stocks, stock portfolios and 151 Networks, Internet as example of 177—178 Networks, price movements and 180—181 Networks, six degrees of separation and 177 Newcomb, Simon 73 Newcombe, William 197 Newcombe’s paradox 196 Niederhoffer, Victor 134 Nigrini, Mark 73—74 Nominal value 90—91 Nonlinear systems, "butterfly effect" or sensitive dependence of 174 Nonlinear systems, billiards example 173 Nonlinear systems, chaos theory and 172 Nonlinear systems, fractals and 174—175 Nonlinear systems, investor behavior and 172 Normal distribution 122 139 Nozick, Robert 198 Numbers, anchoring effect 19—20 Numbers, Benford’s Law and 73—74 Numbers, Fibonacci numbers and 38 40—41 Off-shore entities, Enron 112 Once Upon a Number (Paulos) 10 Online chatrooms 31—33 Online trading 71—72 Optimal portfolio, balancing with risk-free portfolio 158—159 Optimal portfolio, Markowitz efficient frontier of 157 options see "Stock options" Ormerod, Paul 169 O’Shaughnessy, James 106 P/B (price-to-book) ratio 105—106 P/E ratio, interpreting 102 P/E ratio, measuring future earnings expectations 101 P/E ratio, PEG variation on 103—104 P/E ratio, stock valuation and 100 P/S (price to sales) ratio 106 Paradoxes, Efficient Market Flypothesis and 187—189 Paradoxes, examples of 187 Paradoxes, Newcombe’s paradox 196 Paradoxes, Parrondo’s paradox 52—54 Paradoxes, St. Petersburg paradox 147—149 Pareto laws see "Power law" Parrondo, Juan 52—54 Patterns, random events and 66—67 PEG ratio 103—104 Personal accounting 25 Peters, Tom 107 PI 41 Pitt, Harvey 116 Poincare, Henri 59 Politics, campaign contributions 126 Politics, politically incorrect funds 155 Politics, power law and 182 184 Ponzi schemes 92—95 portfolios see "Stock portfolios" Pound-euro/euro-pound exchange rate 39—40 Power law, "flocking effect" on Internet 178 Power law, complex systems 178—179 Power law, economic power 182 183—184 Power law, linguistics 179 Power law, media influence 182 184 Power law, political power 182 184—185 Power law, price movements 177 180 Pradilla, Charles 147 Prechter, Bob 146 Predictability, of stock market, complexity of 171—172 Predictability, of stock market, cross-correlations over time and 48—49 Predictability, of stock market, Efficient Market Hypothesis 61—62 Predictability, of stock market, multifractal forgeries 175 Predictability, of stock market, price anomalies leading to 49 Predictability, of stock market, private information 171 Predictability, of stock market, randomness vs. 4 48 62 Predictability, of stock market, technical analysis 37 47—49 Predictability, of stock market, trading strategies 171 Predictability, of stock market, unemployment 172 Predictability, of stock market, whim 171 Predictability, of stock market, World Class Options Market Maker (WCOMM) 196—198 Present value, compound interest and 89 Present value, discounting process for 91 Present value, stock purchases based on 92 Price movements, complexity changes over time 195—196 Price movements, extreme movements 176—177 Price movements, herd-like and volatile nature of 181 Price movements, insider trading and 164—167 Price movements, network effect on 180—181 Price movements, normal curve and 176 Price movements, power law and 177 180 Price movements, subterranean information processing and 167 Price targets, anchoring effect and 20 Price targets, hype and unrealistic 18—19 Price, P/E ratio 100 Prices, of stocks, manipulating for own benefit (management/CEO) 123—124 Prices, of stocks, oscillation created by investor reactions to each other 171 Prices, of stocks, reflecting publicly available information 59—60 Prisoner’s Dilemma 190—191 Private information, becoming common knowledge 165 Private information, dynamic with common knowledge 191 Private information, market predictions and 171 Probability theory 135—136 Probability, coin flipping game and 63—64 Probability, dice and 50 Probability, gambling games 50—51 Probability, games of chance 65—66 Probability, outguessing the average guess 7—9 Probability, St. Petersburg paradox 147—149 Probability, stock options and 116 Probability, stock-newsletter scam based on 67—68 Progressive taxation 148 Psychology, anchoring effect 19—20 Psychology, availability error 21 Psychology, behind buying more stock as price drops 13—14 Psychology, confirmation bias 21—22 Psychology, counterproductive behavior 17—18 Psychology, endowment effect 22 Psychology, scandal cover-ups 24 Psychology, status quo bias 22 Psychology, trying to outguess the masses 5—7 Publicly available information see also "Common knowledge" Publicly available information, accounting scandals and 63 Publicly available information, Efficient market hypothesis and 59—60 Pump and dump strategy 33—34 123—124 Put options see also "Stock options" Put options, as hedge against decline of stock 119 Put options, buying/selling puts on S&P 500 134 Put options, selling 121 Put options, strategies for using 121—122 Put options, valuation tools for 122—123 pyramid schemes 92—95 Quarterly estimates 20 Ragingbull 31—32 Railroads, depression of 1873 113 Ramsey, Frank 29 Random events vs. predictability 48 Random events, appearance of order in 66—67 Random events, Efficient market hypothesis and 62 Random events, investing with meaning 58—59 Random sequences 194 Random walk theory 63 194—195 Rate of return, "single index model" and 159 Rate of return, arithmetic mean outstripping geometric mean 99
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