翻譯：陳達飛
Compared with physics, it seems fair to say that the quantitative success of the economic sciences has been disappointing. Rockets fly to the Moon; energy is extracted from minute changes of atomic mass. What is the flagship achievement of economics? Only its recurrentinability to predict and avert crises, including the current worldwide credit crunch.
與物理學相比，公平地說，經濟科學在量化上的表現是令人失望的。火箭飛向月球;能量從原子質量的微小變化中提取出來的。經濟學最大的成就是什麼?只有經常無法預測和避免危機，包括當前的全球信貸緊縮。
Why is this so? Of course, to paraphrase Isaac Newton, modelling the madness of people is more difficult than modelling the motion of planets. But statistical regularities should emerge in the behaviour of large populations, just as the law of ideal gases emerges from the chaotic motion of individual molecules. To me, the crucial difference between modelling in physics and in economics lies rather in how the fields treat the relative role of concepts, equations and empirical data.
為什麼會這樣?當然，套用艾薩克•牛頓的話，模擬人類的瘋狂要比模擬行星的運動困難得多。但是，群體行為中隱藏著統計規律，就像單個分子的混沌運動展現出的理想氣體定律一樣。在我看來，物理學和經濟學建模之間的關鍵區別在於，如何看待概念、方程和經驗數據的相對作用。
“Classical economics has no framework through which to understand 'wild' markets.”
“古典經濟學沒有提供一個框架來理解‘瘋狂的’市場。”
Classical economics is built on very strong assumptions that quickly become axioms: the rationality of economic agents (the premise that every economic agent, be that a person or a company, acts to maximize his profits), the 'invisible hand' (that agents, in the pursuit of their own profit, are led to do what is best for society as a whole) and market efficiency (that market prices faithfully reflect all known information aboutassets), for example. An economist once told me, to my bewilderment: “These concepts are so strong that they supersede any empirical observation.” Aseconomist Robert Nelson argued in his book, Economics as Religion (Pennsylvania State Univ. Press, 2002), the marketplace has been deified.
古典經濟學是建立在很強的假設——並迅速成為公理——之上的:經濟主體的理性(每個經濟代理人——一個人或一個公司——追求利潤最大化)；“看不見的手”(行為主體,在追求自身利益最大化的同時,也實現了社會整體的利益最大化)；和市場效率(市場價格真實地反映了所有已知資產的信息)。例如。一位經濟學家曾告訴我，令我困惑不解的是:“這些概念如此強大，它們取代了任何經驗觀察。”正如經濟學家羅伯特·納爾遜(RobertNelson)在《經濟學如宗教》(Economics As Religion，賓夕法尼亞州立大學出版社2002年版)一書中所說，
市場被神化了。Physicists, on the other hand, have learned to be suspicious of axioms. If empirical observation is incompatible with amodel, the model must be trashed or amended, even if it is conceptually beautiful or mathematically convenient. So many accepted ideas have been proven wrong in the history of physics that physicists have grown to be critical and queasy about their own models.
而另一方面，物理學家已經學會了對公理持懷疑態度。如果經驗觀察與模型不相容，那麼這個模型必須被放棄或修改，即使它在概念上很漂亮或在數學上很方便。在物理學的歷史上，許多被接受的觀點（後來）都被證明是錯誤的，以至於物理學家們對他們自己的模型變得挑剔和不安。
Unfortunately, such healthy scientific revolutions have not yet taken hold in economics, where ideas have solidified into dogmas.These are perpetuated through the education system: students don't question formulas they can use without thinking. Although numerous physicists have been recruited by financial institutions over the past few decades, they seem to have forgotten the methodology of the natural sciences as they absorbed and regurgitated the existing economic lore.
不幸的是，這種良性的科學革命還沒有在經濟學中站穩腳跟。在經濟學中，觀念已經固化為教條。這都是通過教育系統傳遞的：學生不假思索地使用公式，他們從不質疑這些公式。儘管在過去的幾十年裡，許多物理學家被金融機構聘用，但他們似乎已經忘記了自然科學的方法論，因為他們機械化地吸收了現有的經濟學知識。
The supposed omniscience and perfect efficacy of a free market stems from economic work done in the 1950s and 1960s,which with hindsight looks more like propaganda against communism than plausible science. In reality, markets are not efficient, humans tend to be over-focused in the short-term and blind in the long-term, and errors getamplified, ultimately leading to collective irrationality, panic and crashes. Free markets are wild markets.
自由市場所謂的全知全能和完美功效，源於20世紀50年代和60年代經濟理論研究。事後看來，這些工作更像是反對共產主義的宣傳，而非有理有據的科學。 在現實中，市場是無效的，人們往往過於關注短期而忽視長期，錯誤會被放大，最終導致集體非理性、恐慌和崩潰。自由市場是瘋狂的市場。
Picture imperfect
假想的烏托邦
Reliance on models based on incorrect axioms has clear and large effects. The Black–Scholes model, for example, which was invented in 1973 to price options, is still used extensively. But it assumes that the probability of extreme price changes is negligible, when inreality, stock prices are much jerkier than this. Twenty years ago, unwarranted use of the model spiralled into the worldwide October 1987 crash; the Dow Jones index dropped 23% in a single day, dwarfing recent market hiccups. Ironically,it was the very use of a crash-free model that helped to trigger a crash.
基於錯誤的公理而建立的模型會產生顯著而巨大的影響。例如，布萊克-斯科爾斯模型(Black-Scholes model，期權定價公式)在1973年被髮明出來為期權定價，至今仍被廣泛使用。但它假設極端價格變化的可能性是可以忽略不計的，而在現實中，股價的波動要比這大得多。20年前，對該模型的不當使用導致了1987年10月的全球股市的崩盤;道瓊斯指數單日下跌23%，令近期的市場震盪（2008年金融危機）相形見絀。具有諷刺意味的是，正是對無崩潰（假設）的模型的使用導致了系統的崩潰。
This time, the problem lies, in part, in the development of structured financial products that packaged subprime riskinto seemingly respectable high-yield investments. The models used to pricethem were fundamentally flawed: they underestimated the probability that multiple borrowers would default on their loans simultaneously. These models again neglected the very possibility of a global crisis, even as they contributed to triggering one.
這一次，問題部分出在
結構性金融產品的發展上，這些產品將次貸風險打包成看似可觀的高收益投資。為這些債券定價的模型存在根本性缺陷:它們低估了多個借款人同時違約的可能性。這些模型再次忽視了爆發全球危機的可能性，儘管它們也促成了這次危機的爆發。 Surprisingly, classical economics has no framework through which to understand 'wild' markets, even though theirexistence is so obvious to the layman. Physics, on the other hand, has developed several models that explain how small perturbations can lead to wild effects.The theory of complexityshows thatalthough a system mayhave an optimum state, it is sometimes so hard to identify that the systemnever settles there. This optimum state is not only elusive, it is alsohyper-fragile to small changes in the environment, and therefore often irrelevant to understanding what is going on. There are good reasons to believe that this paradigm should apply to economic systems in general and financial markets in particular. We need to break away from classical economics and develop completely different tools. Somebehavioural economists and econo-physicists are attempting to do this now, in a patchy way, but their fringe endeavour isnot taken seriously by mainstream economics. 令人驚訝的是，古典經濟學沒有一個框架來理解“瘋狂的”市場，儘管對門外漢來說，市場的存在是如此明顯。另一方面，物理學已經發展出幾個模型來解釋微小的擾動是如何導致（市場的）瘋狂波動的。複雜性理論表明，雖然一個系統可能有一個最優狀態，但有時很難確定，（因為）系統永遠不會停留在那裡。這種最佳狀態不僅難以捉摸，而且對於環境中的微小變化也非常脆弱，因此常常與理解正在發生的事情無關。我們有充分的理由相信，這種範式應該適用於一般的經濟體系，尤其是金融市場。我們需要擺脫古典經濟學，開發出完全不同的工具。一些行為經濟學家和經濟物理學家現在正嘗試以一種不完整的方式來做這件事，但是他們的努力並沒有被主流經濟學認真對待。While work is done to enhance models, regulation also needs to improve. Innovations in financial products should be scrutinized, crash-tested against extreme scenarios outside the realm of current models and approved by independent agencies, just as we have done with other potentially lethal industries (chemical, pharmaceutical, aerospace,nuclear energy).
在改進模型的同時，監管也需要改進。金融產品的創新應該受到審查，在當前模式之外的極端情況下進行崩潰式的壓力測試，並需要得到獨立機構的審批，就像我們對其他可能致命的行業(化學、製藥、航空航天、核能)所做的那樣。
Crucially, the mindset of those working in economics and financial engineering needs to change. Economics curricula need to include more natural science. The prerequisites for more stability in the long run are the development of a more pragmatic and realistic representation of what is going on in financial markets, and to focus on data, which should always supersede perfect equations and aesthetic axioms.
至關重要的是，那些從事經濟學和金融工程的人需要改變心態。經濟學課程需要包括更多的自然科學。從長遠來看，更穩定的先決條件是，發展出一種更務實、更現實的金融市場表現形式，並專注於數據，而數據應該永遠取代完美的等式和美學式的公理。
作者：Jean-Philippe Bouchaud is head of research of Capital Fund Management and a physics professor at colePolytechnique in France. [email protected] Bouchaud.
Cite this article
Bouchaud, J. Economics needs a scientificrevolution. Nature 455, 1181 (2008). https://doi.org/10.1038/4551181a
Published 29 October 2008
Issue Date 30 October 2008
一瓣公益
這是一瓣在2018年4月23日“世界讀書日”發起的一個公益活動。每篇文章獲得的讚賞，全部捐獻給“深圳市石門坎教育公益基金會”，為石門坎的孩子建一個“圖書館”。感謝各位讀者的支持，目前已為小朋友們籌集6350元“圖書基金”。
閱讀更多 陳達飛 的文章
