Once upon a time we lived in an economy of financial growth and prosperity. This was called the Great Moderation, the misguided belief by most economists, policymakers and central banks that we have transformed into a new world of never-ending growth and prosperity. This was seen by robust and steady GDP growth, by low and controlled inflation, by low unemployment, and controlled and low financial volatility.
曾几何时, 我们生活在经济的增长和繁荣中。 这就是人们所说的“大稳健”时期, 大多数经济学家、政策制定者和中央银行 都误以为 我们已经进入了一个新的时代, 一个增长无尽、无限繁荣的时代, 因为他们看到了强健和稳定的GDP增长, 受到良好控制,并且是较低的通膨率, 低失业率, 和可控的金融波动。 然而2007年和2008年的大衰退和大崩盘
But the Great Recession in 2007 and 2008, the great crash, broke this illusion. A few hundred billion dollars of losses in the financial sector cascaded into five trillion dollars of losses in world GDP and almost $30 trillion losses in the global stock market.
彻底打破了这个繁荣的假象。 金融行业损失了数千亿美元, 全球GDP损失了5万亿美元, 全球股市亏损了近30万亿美元。
So the understanding of this Great Recession was that this was completely surprising, this came out of the blue, this was like the wrath of the gods. There was no responsibility. So, as a reflection of this, we started the Financial Crisis Observatory. We had the goal to diagnose in real time financial bubbles and identify in advance their critical time.
人们对于此次大衰退 非常之震惊, 这种突如其来 有如是神灵发怒的事情, 不像是任何人的过错。 为了更好的反映这些, 我们成立了金融危机观测台。 希望能够实时诊断 金融泡沫 并及时预判它们的临界点。
What is the underpinning, scientifically, of this financial observatory? We developed a theory called "dragon-kings." Dragon-kings represent extreme events which are of a class of their own. They are special. They are outliers. They are generated by specific mechanisms that may make them predictable, perhaps controllable.
那么这个金融观测台背后的科学依据是什么呢? 我们有一个名为“龙王”的理论。 “龙王”代表那些自成一类的极端的事件。 它们是特殊的,异常的, 由某些特殊原因导致, 因此是可以预测的, 甚至是可以控制的。
Consider the financial price time series, a given stock, your perfect stock, or a global index. You have these up-and-downs. A very good measure of the risk of this financial market is the peaks-to-valleys that represent a worst case scenario when you bought at the top and sold at the bottom. You can look at the statistics, the frequency of the occurrence of peak-to-valleys of different sizes, which is represented in this graph. Now, interestingly, 99 percent of the peak-to-valleys of different amplitudes can be represented by a universal power law represented by this red line here. More interestingly, there are outliers, there are exceptions which are above this red line, occur 100 times more frequently, at least, than the extrapolation would predict them to occur based on the calibration of the 99 percent remaining peak-to-valleys. They are due to trenchant dependancies such that a loss is followed by a loss which is followed by a loss which is followed by a loss. These kinds of dependencies are largely missed by standard risk management tools, which ignore them and see lizards when they should see dragon-kings. The root mechanism of a dragon-king is a slow maturation towards instability, which is the bubble, and the climax of the bubble is often the crash. This is similar to the slow heating of water in this test tube reaching the boiling point, where the instability of the water occurs and you have the phase transition to vapor. And this process, which is absolutely non-linear -- cannot be predicted by standard techniques -- is the reflection of a collective emergent behavior which is fundamentally endogenous. So the cause of the crash, the cause of the crisis has to be found in an inner instability of the system, and any tiny perturbation will make this instability occur.
让我们来考虑一下金融价格的时间变化, 就拿某支股票来说, 比如你最喜欢的一支股票, 或者一个全球指数。 它们都会有起起伏伏。 测量金融市场风险 的一个不错的方法叫“峰谷法”, “峰谷”就是指最高点买入, 最低点卖出的最坏状况。 在这个图表上,你可以看到 不同大小的峰谷 发生的频率。 有趣的是 99%不同波幅的波峰波谷 可以用普适的幂次定律 来刻画, 就像这条红线。 更有趣的是 这条红线上面有很多异常值, 这些异常值是 基于那其余99%峰谷数据的预测值的100倍还多。 这是因为连锁效应会导致 一而再,再而三的接连损失。 这些环环相扣的因素 通常被那些标准的风险管理工具所忽略, 导致他们在本该看到“龙王”的时候只看到“蜥蜴”。 “龙王”的出现归根到底是 不稳定性逐渐形成的过程,就像泡沫一样, 破灭是它们必然的高潮。 这就好比给试管里的水加热至沸腾, 当出现不稳定的状态时, 液体变成了水蒸气。 而这个过程绝非简单的线性关系, 不能通过一般的方法预测。 它是一种由内而发的聚集突发性行为的反映。 所以泡沫的根源,危机的根源, 必须从系统本身的不稳定中去寻找, 任何微小的扰动都会导致不稳定发生。 你们中有些人可能在想,
Now, some of you may have come to the mind that is this not related to the black swan concept you have heard about frequently? Remember, black swan is this rare bird that you see once and suddenly shattered your belief that all swans should be white, so it has captured the idea of unpredictability, unknowability, that the extreme events are fundamentally unknowable. Nothing can be further from the dragon-king concept I propose, which is exactly the opposite, that most extreme events are actually knowable and predictable. So we can be empowered and take responsibility and make predictions about them. So let's have my dragon-king burn this black swan concept.
这跟我们经常听到的“黑天鹅理论”是否有关? 要知道,黑天鹅是一种罕见的鸟类, 而你只要看见它一次, 就会彻底改变你“所有天鹅都是白色的”看法。 这就是不可预测,不可获知性, 即极端事件是我们完全无法获知的。 我提出的“龙王理论”与此截然不同, 或者说完全相反,也就是大部分的极端事件 是可以获知,可以预测的。 所以我们有能力,也有责任 去做出一些预测。 那么,就让我的龙王烧毁这只黑天鹅吧! (笑声)
(Laughter)
这个理论可以预测很多早期的预警信号。
There are many early warning signals that are predicted by this theory. Let me just focus on one of them: the super-exponential growth with positive feedback. What does it mean? Imagine you have an investment that returns the first year five percent, the second year 10 percent, the third year 20 percent, the next year 40 percent. Is that not marvelous? This is a super-exponential growth. A standard exponential growth corresponds to a constant growth rate, let's say, of 10 percent The point is that, many times during bubbles, there are positive feedbacks which can be of many times, such that previous growths enhance, push forward, increase the next growth through this kind of super-exponential growth, which is very trenchant, not sustainable. And the key idea is that the mathematical solution of this class of models exhibit finite-time singularities, which means that there is a critical time where the system will break, will change regime. It may be a crash. It may be just a plateau, something else. And the key idea is that the critical time, the information about the critical time is contained in the early development of this super-exponential growth.
我们就以下面这个例子说明: 积极反馈的超指数增长。 这是什么意思呢? 假设你有一笔投资, 第一年你获得了5%的收益, 第二年10%,第三年20%, 下一年40%……是不是太棒了? 这就是超指数增长。 一般的指数型增长通常 是和稳定的增长率吻合的,比如10%的增长率。 问题是,金融泡沫期间, 很多时候这些积极反馈是由于 前面一波接着一波的增长推动的, 也就是超指数增长, 这种增长是非常不稳定,不可持续的。 这类数学模型告诉我们 异常值出现的次数是有限的, 也就意味着在某个时刻, 系统会崩溃,会彻底改变整个形势。 可能是一次泡沫,可能是一段平稳时期,或者其他。 这里很重要的一点就是,那些关键时刻, 以及关于那些关键时刻的信息 通常是包含在超指数增长的早期发展阶段的。
We have applied this theory early on, that was our first success, to the diagnostic of the rupture of key elements on the iron rocket. Using acoustic emission, you know, this little noise that you hear a structure emit, sing to you when they are stressed, and reveal the damage going on, there's a collective phenomenon of positive feedback, the more damage gives the more damage, so you can actually predict, within, of course, a probability band, when the rupture will occur. So this is now so successful that it is used in the initial phase of [unclear] the flight.
我们早期将这个理论应用于 诊断铁质火箭上的关键单元的破裂情况, 这也是这个理论的首个成功案例。 我们采用发声原理, 也就是一些材质在受到压力的时候发出的噪音, 告诉你损害正在发生, 这时候也会有一系列的积极反馈, 也就是一点破坏会带来更多的破坏, 所以你就可以预测, 当然是在一定的概率范围内, 何时会发生破裂。 这个理论还成功用于 飞机的初期飞行过程中。
Perhaps more surprisingly, the same type of theory applies to biology and medicine, parturition, the act of giving birth, epileptic seizures. From seven months of pregnancy, a mother starts to feel episodic precursory contractions of the uterus that are the sign of these maturations toward the instability, giving birth to the baby, the dragon-king. So if you measure the precursor signal, you can actually identify pre- and post-maturity problems in advance. Epileptic seizures also come in a large variety of size, and when the brain goes to a super-critical state, you have dragon-kings which have a degree of predictability and this can help the patient to deal with this illness. We have applied this theory to many systems, landslides, glacier collapse, even to the dynamics of prediction of success: blockbusters, YouTube videos, movies, and so on. But perhaps the most important application is for finance, and this theory illuminates, I believe, the deep reason for the financial crisis that we have gone through. This is rooted in 30 years of history of bubbles, starting in 1980, with the global bubble crashing in 1987, followed by many other bubbles. The biggest one was the "new economy" Internet bubble in 2000, crashing in 2000, the real estate bubbles in many countries, financial derivative bubbles everywhere, stock market bubbles also everywhere, commodity and all bubbles, debt and credit bubbles -- bubbles, bubbles, bubbles.
不过更让人惊讶的可能是,同样的理论 也适用于生物学、医学, 比如,分娩,生产,癫痫发作。 从怀孕7个月,母亲开始时不时感到子宫收缩的前兆, 也就是不稳定正在慢慢成熟的信号, 宝宝就要出生了, 也就是龙王。 所以,如果你去测量这些前兆, 你就可以预先发现不稳定成熟前和成熟后的问题。 癫痫发作通常也有不同的程度, 当大脑进入一个超临界状态, 就会出现有一定可预测性的龙王, 这可以帮助病人更好地应对自身的症状。 我们将这个理论应用于很多系统, 我们将这个理论应用于很多系统, 山体滑坡、冰山崩塌, 甚至预测好莱坞大片、YouTube视频、电影等是否成功。 不过最重要的应用还是在金融领域, 我相信这个理论揭示了 我们刚才提及的金融危机背后的深刻原因。 它是基于前面30年的泡沫, 从1980年开始,1987年全球泡沫破灭, 紧跟其后的是很多其它泡沫。 最大的一个泡沫是2000年破灭的 互联网“新经济”泡沫, 同时很多国家的房地产泡沫, 随处可见的金融泡沫和股市泡沫, 商品泡沫,债券和信用泡沫…… 泡沫,泡沫,泡沫, 全球都是泡沫。
We had a global bubble. This is a measure of global overvaluation of all markets, expressing what I call an illusion of a perpetual money machine that suddenly broke in 2007.
这是由于对全球市场的高估, 显示出我所说的一种“永久印钞机”的幻象, 而2007年这个幻象突然破灭了。 问题是,我们总是觉得这个问题
The problem is that we see the same process, in particular through quantitative easing, of a thinking of a perpetual money machine nowadays to tackle the crisis since 2008 in the U.S., in Europe, in Japan. This has very important implications to understand the failure of quantitative easing as well as austerity measures as long as we don't attack the core, the structural cause of this perpetual money machine thinking.
可以通过量化宽松政策去解决, 用当下“永久印钞机”的思维 去处理2008年后美国、欧洲、日本面临的危机。 这对我们理解量化宽松政策 这对我们理解量化宽松政策 以及紧缩政策的失败有很重要的影响, 如果我们不从核心上去改变 这种“永久印钞机”思维背后的体制原因。 当然,这些理论都是大胆的假设,
Now, these are big claims. Why would you believe me? Well, perhaps because, in the last 15 years we have come out of our ivory tower, and started to publish ex ante -- and I stress the term ex ante, it means "in advance" — before the crash confirmed the existence of the bubble or the financial excesses. These are a few of the major bubbles that we have lived through in recent history. Again, many interesting stories for each of them. Let me tell you just one or two stories that deal with massive bubbles.
你凭什么要相信我呢? 因为在过去的15年里, 我们走出了象牙塔, 并开始“事前”发表, 这里我要特别强调“事前”二字,也就是预先发表 可能存在的经济泡沫或金融过剩, 而事后大崩盘确认了这点。 在近代历史上,我们经历过几次大型的泡沫。 每一个都很有意思。 我主要讲其中一两个, 关于对付大泡沫的故事。 我们都知道中国奇迹。
We all know the Chinese miracle. This is the expression of the stock market of a massive bubble, a factor of three, 300 percent in just a few years. In September 2007, I was invited as a keynote speaker of a macro hedge fund management conference, and I showed to the conference a prediction that by the end of 2007, this bubble would change regime. There might be a crash. Certainly not sustainable. Now, how do you believe the very smart, very motivated, very informed macro hedge fund managers reacted to this prediction? You know, they had made billions just surfing this bubble until now. They told me, "Didier, yeah, the market might be overvalued, but you forget something. There is the Beijing Olympic Games coming in August 2008, and it's very clear that the Chinese government is controlling the economy and doing what it takes to also avoid any wave and control the stock market."
这里显示的就是股市的一个巨大泡沫, 在短短的几年时间内增长了3倍! 2007年9月, 我受邀在一个宏观对冲基金管理会议上做主题演讲, 我给参会者做了一个预测, 也就是到2007年年底,这个泡沫 会彻底改变大局。 也许会发生大崩盘,但肯定是不可持续的。 那你觉得这些非常聪明、 非常上进、见多识广的对冲基金经理 会对这个预测作何反映? 你知道到目前为止 他们已经从这个泡沫中赚取了数十亿。 他们跟我说:“Didier, 对,这个市场可能是被高估的, 但是你忘记了一件事。 北京奥运会要在2008年8月份举行了,很明显 中国政府会控制经济, 采取必要的措施, 以避免任何的波动,并控制股市。”
Three weeks after my presentation, the markets lost 20 percent and went through a phase of volatility, upheaval, and a total market loss of 70 percent until the end of the year.
我的演讲结束三个星期后, 市场亏损了20%, 期间经历了一些动荡, 到年底的时候,总共亏损了70%。 为什么我们会犯这样的集体错误?
So how can we be so collectively wrong by misreading or ignoring the science of the fact that when an instability has developed, and the system is ripe, any perturbation makes it essentially impossible to control?
误解、忽视背后的科学, 即当不稳定性形成的时候, 当系统成熟的时候,任何的扰动, 都会使最终结果无法控制。 中国市场崩溃了,但它又回弹了。
The Chinese market collapsed, but it rebounded. In 2009, we also identified that this new bubble, a smaller one, was unsustainable, so we published again a prediction, in advance, stating that by August 2009, the market will correct, will not continue on this track. Our critics, reading the prediction, said, "No, it's not possible. The Chinese government is there. They have learned their lesson. They will control. They want to benefit from the growth." Perhaps these critics have not learned their lesson previously. So the crisis did occur. The market corrected.
2009年,我们又发现了一个新的泡沫, 小的,不稳定的, 所以我们又“事前”发表了一个预测, 即到2009年8月,市场会自动校正, 不会在现有的轨道上继续。 读了我们的预测,批评家们说: “不,不可能的。 中国政府在那儿呢。 他们已经吸取了教训,他们会控制的。 他们希望从增长中获益。” 也许这些批评家们没有吸取前面的经验教训。 后来危机发生了,市场也校正了。 这些批评家们又说:“啊!对,
The same critics then said, "Ah, yes, but you published your prediction. You influenced the market. It was not a prediction."
但是你发表了你的预测, 你影响了市场。 那不是真正的预测。” 那个时候也许我很强大。
Maybe I am very powerful then. Now, this is interesting. It shows that it's essentially impossible until now to develop a science of economics because we are sentient beings who anticipate and there is a problem of self-fulfilling prophesies.
这就很有意思了。 直到目前为止,我们完全不能 发展出一门科学的经济学, 因为我们是有感情的生物, 我们可以预测,而又面临自我应验预言的问题。 所以我们发明了一种新的做科学研究的方法。
So we invented a new way of doing science. We created the Financial Bubble Experiment. The idea is the following. We monitor the markets. We identify excesses, bubbles. We do our work. We write a report in which we put our prediction of the critical time. We don't release the report. It's kept secret. But with modern encrypting techniques, we have a hash, we publish a public key, and six months later, we release the report, and there is authentication. And all this is done on an international archive so that we cannot be accused of just releasing the successes.
我们做了金融泡沫实验。 大致是这样的。我们监测市场, 我们判断经济过剩、泡沫, 我们做我们的工作。然后我们写一份报告, 报告里面有我们对于临界时间点的预测。 我们先不发布这个报告,一直保密。 用现代的加密技术, 我们会有一个哈希(散列),我们公布公开密钥, 6个月后,我们公布报告, 这时候人们就可以去验证了。 这一切都是在一个国际资料库完成, 这样就没人能诬告我们说我们的报告影响市场了。 让我告诉你们一个最近的分析。
Let me tease you with a very recent analysis. 17th of May, 2013, just two weeks ago, we identified that the U.S. stock market was on an unsustainable path and we released this on our website on the 21st of May that there will be a change of regime. The next day, the market started to change regime, course. This is not a crash. This is just the third or fourth act of a massive bubble in the making. Scaling up the discussion at the size of the planet, we see the same thing. Wherever we look, it's observable: in the biosphere, in the atmosphere, in the ocean, showing these super-exponential trajectories characterizing an unsustainable path and announcing a phase transition. This diagram on the right shows a very beautiful compilation of studies suggesting indeed that there is a nonlinear -- possibility for a nonlinear transition just in the next few decades.
2013年5月17日,也就是两个星期以前, 我们诊断出美国的股市 正处在一个不稳定的阶段, 5月21日我们在我们的网站上发表了 美国股市会发生大变动的预测。 第二天,股市就开始发生变化了。 这不是大崩盘, 这是大型泡沫要形成的第三或第四步。 把我们这个讨论扩大到地球的层面, 我们也看到了同样的情况。 不管哪里,我们都看得到: 在生物圈、大气层、海洋, 都有这些超指数的趋势, 意味着不可持续性, 和新的转折的出现。 右边的图表 集中了一系列研究的结果, 它显示在接下来的几十年里, 将会有一个非线性的重大转折发生。
So there are bubbles everywhere. From one side, this is exciting for me, as a professor who chases bubbles and slays dragons, as the media has sometimes called me.
所以泡沫无处不在。 一方面,这对我来讲,很兴奋, 因为我喜欢追逐泡沫、刺杀龙王, 媒体有的时候就是这样描述我的。
But can we really slay the dragons? Very recently, with collaborators, we studied a dynamical system where you see the dragon-king as these big loops and we were able to apply tiny perturbations at the right times that removed, when control is on, these dragons.
但是我们真的能杀掉龙王呢? 直到最近,和合作者一起, 我们研究了一个动态系统, 在这个系统中,你把龙王看成是这些大圈, 然后在适当的时候做一些微小的扰动, 并在有控制的情况下,杀掉这些龙王。
"Gouverner, c'est prévoir." Governing is the art of planning and predicting. But is it not the case that this is probably one of the biggest gaps of mankind, which has the responsibility to steer our societies and our planet toward sustainability in the face of growing challenges and crises?
"Gouverner, c'est prévoir." (法语:预见执政) 统治是规划和预测的艺术。 但难道这不是 我们人类的最大缺点吗? 我们有责任 在面临挑战和危机的时候, 将我们的社会和地球往可持续的方向引导, “龙王理论”给了我们希望。
But the dragon-king theory gives hope. We learn that most systems have pockets of predictability. It is possible to develop advance diagnostics of crises so that we can be prepared, we can take measures, we can take responsibility, and so that never again will extremes and crises like the Great Recession or the European crisis take us by surprise.
我们明白了大部分系统都是有可预测的空间的。 我们可以找到先进的诊断危机的方法, 这样我们就可以时刻准备着,行动, 负起责任, 再也不会为 大衰退和欧洲危机这样的极端事件感到惊讶了。 谢谢!
Thank you.
(掌声)
(Applause)