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quant/enigneering/trader 101

发信人: ThatYear (那年), 信区: Quant
标  题: quant/enigneering/trader 101
发信站: BBS 未名空间站 (Sun Feb 25 16:45:46 2007), 转信

开斑之处我写过一个通俗quant简介. 最近又不少人问quant/trader的概念.
我就再写点, 给新手们一点点介绍, 老手们看了就不用来跟我叫真了. 呵呵.
我想到哪写哪.纯属"外传".

发现很多人engineering的概念很弱, 也许数学物理等理科出身的多.
quant只是个通俗的叫法, 其严肃的叫法就是这几天满斑满屏都是的东西.
那就是MFE里的FE, Financial Engineering, 金融工程. 所谓工程, 简单
来说就是将一些生产过程模型话, 定量话. 以前打铁师父敲着锤子进行生产
锄头镰刀. 有了机械工程之后, 机械工程师根据机械工程的一些原理将这一
生产过程模型化和定量化之后就设计出现代的生产加工工艺. 以前一口锅,
几种原料放进去搅拌一下就能手工生产肥皂(传化就是这家庭作坊发家的哦).
有了化学工程之后, 化学工程是根据反应工程和传递过程原理讲这过程模型
话定量话可以设计出大规模的肥皂制造工艺.
而, quant, 也就是Financial Engineer, 金融工程师和化学工程师, 机械
工程师是差不多的. 它讲定价, 风险, 交易模型话定量话. trader是谁呢?
它就是上面的打铁师傅, 搅肥皂涡的"师傅".
在"远古"时代, 生产锄头至关重要的可就是师傅的水平了, 大多凭经验进行
操作, 什么时候该冷却, 什么时候该加热, 加热到什么程度, 敲打到什么
程度. 一切凭经验, 没有理论没有参数, 机械工程师参与进来之后, 进行
模型话定量话后就有了许多模型和参数了. 标准话了.
金融工程也一样, 就在2,30年前, bond trader用duration的理论就能赚钱.
trader的神化, 明星化, 其实就说明quant的理论和实践都很不成熟. 如果
将来quant真能发展成化学工程, 机械工程那样的一门学科, 那就是trader
明星的末日. 甚至消失. 以前打铁师傅就弱化成了车间里的操作工, 甚至
完全消失(自动话生产, 机器人操作).
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