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.
曾幾何時, 我們生活在經濟與金融 的增長和繁榮中。 這就是人們所說的“大穩健”時期, 這種誤導性的看法被大多數經濟學家, 政策制定者以及中央銀行所相信著。 他們深信我們已經演進到一個新時代, 一個永不停止增長和永葆繁榮的世界, 這個結論是由強健和穩定的GDP增長、 受到良好控制的低通貨膨脹率、 低失業率, 和受控制的低金融波動率而得出的。
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.
但是2007年和2008年的大衰退, 和大崩盤,打破了這個繁榮假象。 金融行業損失了數千億美元, 整個世界的GDP 流失了五兆美元, 還有全球股市大概虧損了 30兆美元。
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.
因此,人們對大衰退的理解 是一場完全出乎常理的意外、 是突然湧現的危機, 就像是眾神的憤怒一般。 沒有人有辦法為此負責。 作為對這場危機的反饋, 我們成立了金融危機觀測局。 我們當時要達到的目標 是能實時判斷出金融泡沫, 和預先判斷出它們的臨界點。
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.
具體來說,是什麼架構了 金融觀測台的地基與科學方法呢? 是我們開發的一個叫“龍王”的理論。 "龍王理論"代表著各個種類中的 極端事件。 他們是特殊的,也是異常值, 他們衍生於某些特殊機制, 因此是可以預測的 還可能是可控制的。
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.
“龍王理論"考慮到了 金融價格的時間序列, 和一支給定的股票,你的最佳股票 或者一個全球指數 你能看到這些上下起伏的狀況。 峰谷法則是一個金融市場 非常好的測量風險工具, 從高峰至低谷呈現著 一個最糟糕的劇情, 你在最高點買入,又在最低價賣出。 你可以看到統計資料--不同規模的峰谷法則 的出現頻率, 這些都會在表格裡呈現。 現在有趣的是,99%的 不同振幅的峰谷法則 都可以由普通的冪次定律反映出來 由這條紅線反映。 更有趣的是,這還是離群值,這些屬於特例。 在這條紅線之上 和那些基於其他99%峰谷法則校準的 所預測會發生的推論相比 發生的頻率 至少超過100倍以上。 這可是個依聯性極強的準則, 損失的後頭跟著一個損失, 又接續著另一個損失。 大多標準風險管理工具都遺漏了 如此露骨的關聯性, 當他們應該留意"龍王"的時候 常常是忽略它而只看到一些蜥蜴。 "龍王理論"的根本機制 是一項緩慢而走向不穩定的成熟過程 它就是泡沫, 而泡沫的頂點往往被隨破滅的開始。 這跟用文火燒開水很相似 在實驗中當試管中的水達到沸點時, 裡頭的水將產生不穩定的狀態, 轉變型態為蒸氣相。 而這個過程絕非是線性演變, 故無法透過標準化技術去預測, 這是集體緊急行為的反射, 是根深蒂固的內在根性。 所以,泡沫破滅的根源,危機的根源 須從系統內在的不穩定中發覺, 且任何細微的擾動 都會讓這個不穩定現形。
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.
現在你們當中某些人可能已經察覺, 這和黑天鵝效應並不相關, 你經常聽到這個名詞嗎? 要記得,黑天鵝是稀有的鳥類, 那種你才看過一次,便會讓人突然粉碎 過往"天鵝都該是白色的"那種信念 所以它也囊括著不可預測性、不可獲知性, 表示那些極端的事件 根本就無法得知。 幾乎沒有什麼能脫離 我提出的"龍王理論"範疇, 它恰好完全相異於大多數的極端事件, 是可獲知且可預測的。 因此我們可以擁有權力並擔起責任 去對這些事件進行預測。 現在就讓我的龍王來燒掉黑天鵝吧!
(Laughter)
(笑聲)
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.
有很多先期的警報訊號 可以透過這個理論預測。 讓我為您舉例說明, 這個超級指數成長伴隨著正向的反饋, 這是什麼意思呢? 假想你現在進行一項投資, 第一年你獲得了百分之五的報酬, 第二年百分之十、第三年百分之二十, 再下一年有百分之四十, 這不是很令人驚奇嗎? 這就是超級指數成長。 一種標準指數成長,相對於其他增長 比如說線性增長只維持在百分之十。 重點在於,在泡沫化期間重複演變了很多次 諸多正回饋在多次演變中產生, 過程中到達先前的成長增強幅度 再更往前推進,增長到下一個成長級距, 直至超級指數成長的程度 它是非常強而銳利的,並不是維持穩定發展的, 主要概念是來自於 表現在這類有限時間奇異點模型的數學解法。 意思是在某個臨界時間上, 它的系統將崩解,改變其體系, 這可能是崩盤,也可能是平穩的,或其他可能 關鍵放在臨界時間上。 在早期發展超級指數成長時, 有關臨界時間的資訊是包含在內的。
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.
我們前期將這個理論應用在實驗中, 也是我們第一次成功地 診斷出鐵火箭破裂的關鍵要素。 我們採用聲發射器這種你可以聽見 它發出小小噪音在對著你唱歌的東西。 當它承受壓力,開始顯現損壞時 便產生集體的正回饋現象, 也就是越來越多的損壞會伴隨著更多損壞。 因此你可以在可能的範圍間 去確切的預測 它的破裂何時會產生。 所以現在可以成功地用在 確認飛機[能否]飛行的初期階段。
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.
也許更加出奇的是,相同的理論形式 也能運用在生物學或是醫療上, 像是在分娩、生產、癲癬發作時。 從懷孕七個月,母體開始感到 陣陣的子宮收縮前兆, 這類顯著朝向不穩定的、 將要生下寶寶的成熟過程, 龍王理論的徵兆。 所以假如去測量這些前兆 就可以預先判斷 事件發生前後的問題。 癲癬發作也是有各種不同的形式, 當大腦進入了超臨界狀態時, 採用龍王理論能有一定程度的預見, 進而協助病患去處理自身症狀。 我們已經在許多系統中應用這個理論, 走山、冰川崩塌, 甚至是成功地預測熱門動態, 像是賣座鉅片、YouTube短片、電影等等。 但或許最重要的應用 是應用在金融面。 我相信這個理論闡明了 我們曾經歷過的金融危機, 其深層的原因 根自於三十年的泡沫歷史。 自1980年起 全世界的泡沫在1987年破裂, 接連在後的有其他諸多泡沫, 當中最大的叫做2000年的"新經濟"網路泡沫 在2000年破裂。 之後許多國家的房地產泡沫, 各處充斥著金融衍生產品泡沫, 股市泡沫也是無所不在, 商品與各種泡沫,債務與信貸泡沫--- 泡沫,泡沫,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.
我們共有這全球性泡沫, 這是全球市場被高估的程度, 顯露出我所指的, 一台永久印鈔機的幻覺 突然在2007年崩盤了。
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.
問題在於我們總看到相同的策略, 特別是透過量化寬鬆, 各國政府老想著要永遠打開印鈔機 去解決金融危機 打從2008年起, 在美國、歐洲、日本都是。 這有著非常重要的意義 來幫助我們理解量化寬鬆 以及緊縮政策為何會失敗。 除非我們直擊核心, 解決這種永久印刷機的結構性原因。
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.
這些都是龐大的主張, 為何你需要相信我呢? 嗯,也許是因為在過去的15年裡 我們從象牙塔裡走了出來 並開始發表了"事前" 我強調這個詞"事前",意思指的是"預先" 在確認泡沫存在以及金融過剩, 在崩盤以前。 這些是近期歷史中, 我們已經歷的一些大型泡沫。 這些泡沫都有其有趣故事。 再一次地,讓我告訴各位其中一兩件 怎麼處理大規模泡沫的故事。
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."
我們都知道中國奇蹟。 這是股市的大規模泡沫展示, 僅在短短數年間,指數跳漲了三倍, 300% 在2007年的九月, 我受邀到一個總體對沖基金管理人會議 去做專題演講。 我在會議上做了預測, 在2007年底前 這顆泡沫就會發生質變。 可能是場崩盤,鐵定動盪。 你們相信這群絕頂聰明、積極、 又見廣多聞的總體對沖基金經理人們 對這個預測有何反應嗎? 你們知道嗎,他們直到現在 已經丟下數十億在這棵泡沫上衝浪。 他們對我說: "Didier" "是啦,這個市場確實是可能被高估" "但你可能忘了" "2008年八月的北京奧運就要來了" "顯然地" "中國政府正在控制經濟" "採取一切手段" "也避免任何波動並控制股票市場"
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.
在我發表完的三週之後 市值就蒸發了百分之二十, 在經歷劇烈的波動後, 到了當年年底, 總市值已經損失了百分之七十。
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?
我們怎麼會犯下這種集體錯誤? 怎麼會在發展成 即將轉變、系統已成熟的時候 誤解或是忽略了這樣的科學證據。 任何一丁點擾動 都會讓其無法控制
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.
中國市場崩垮了,而後再次復甦 2009年的時候,我們也辨識出新泡沫。 一顆規模略小、不穩定的泡沫。 我們就再次"預先地"公開預測 到2009年八月前,市場會開始修正 不會繼續維持現在的軌跡。 批評家讀到這篇預測說 "不,絕不可能" "中國政府還在這兒呢!" "他們已經學過教訓、中央會控制一切" "他們想從這波成長裡撈些好處" 也許這群批評家 根本沒從之前事件得到教訓。 危機確實發生,市場轉向了
The same critics then said, "Ah, yes, but you published your prediction. You influenced the market. It was not a prediction."
這群批評家又改口說 "喔,對啦! 但你先公佈這項預測" "害得市場受干擾了" "所以這不算真正的預測"
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.
我猜我大概有超凡的影響力吧! 而有趣的是, 這顯示了到目前為止 要發展一門經濟的科學幾乎不大可能, 因為我們都是有情感的物種, 我們會做預測、 還對會自己實現的預知感到障礙。
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.
所以我們發明了一個新科學方法。 創造了金融泡沫實驗 方法如下,我們監測市場 辨識出過剩、泡沫, 盡己之責去寫下報告, 放入我們預估的發生危機時機。 我們不主動釋出報告,維持機密。 但我們將報告以現代加密技術, 用hash算法,公開一個公用鑰匙。 在六個月以後,我們會釋出報告 並且留有證據。 這些一切都是在一個國際資料庫中進行, 這樣就沒有人會說 我們釋出的報告影響市場。
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.
讓我告訴各位一個最新的分析。 在2013年的五月十七日,也就是兩週前 我們辨識出美國股市 正在走向即將轉變的道路。 我們五月二十一日時 發布此訊息在我們的網站上 說股市將發生權力更迭。 隔天,市場就開始變化了。 這並非崩盤。 只是大規模泡沫形成過程中的 第三或是第四步。 擴大討論到整個地球的規模, 我們也看到了相同的現象, 無論我們在何處觀察都是可觀測的; 在生物圈、在大氣、在海洋 都展現出這種超級指數變化軌跡, 展現出即將變化的路徑, 預告了相同的變化。 這張右方的圖片 顯示著非常精細美麗的研究, 明確指示'著未來數十年間 將有一個非線性的重大轉變發生,
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.
所以現在到處都充斥著泡沫。 一方面來說,對我而言實在很興奮, 對一個追隨泡沫的教授、 一個屠龍夫,有時候媒體這麼稱呼我。
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.
但我們真的能夠"屠龍"嗎? 就在最近,和共同研究者 我們一起研究了一個動態系統, 龍王在這裡是圈大循環, 我們可以在恰當的時機點施加細微的擾動 在控制手段運行下,拿下這些龍王
"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." (法語:預見執政) 統治是計畫與預測的藝術 但這不或許就是 人類至今最大的空缺之一, 這些不就是讓我們有責任 使我們的社會與星球能夠 航向穩定發展的路上嗎?
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.
然而龍王理論帶來了希望。 我們學習到多數的系統具有可預測性, 故有機會發展出危機預知診斷技術。 如此我們可以預作準備、採取對策, 我們有辦法肩負起責任, 進而阻止如同大衰退時期 或是歐債危機這樣的極端事件與危機 來驚嚇我們。
Thank you.
謝謝各位。
(Applause)
(掌聲)