The distinction between risk and uncertainty in economic theory can often be traced back to Frank Knight, who divided risk into numerical measurable and unmeasurable. This difference has become commonplace in contemporary literature on risk and uncertainty. Knight said: "Measurable uncertainty, or" risk ",is very different from unmeasurable uncertainty. The former is actually not uncertainty at all. "
From 65438 to 0944, Game Theory and Economic Behavior published by von Neumann and Morgan Stein formally unified risk and uncertainty into economic theory for the first time. In 1738, daniel bernoulli defined expectation as the probability combination of various results, which was later called utility. Von Neumann and Morgan Stein proved in axiomatic form that Bernoulli's expected utility is the sum of various results weighted by probability, and proposed that utility should be measured by numbers. The uncertainty of epistemology is thus transformed into the risk of ontology, which is a distribution function about various possible states of the world.
Theoretically speaking, the substitution of risk for uncertainty in postwar economics is driven by two main forces, and their combination makes the research topic of economics become what it is now. First of all, as Backhaus elaborated, since the 1930s, the decisive mathematization of economics has represented a major new branch of economics, although mathematics has been used in economics for a long time, including Marx and Keynes. At that time, The General Theory was regarded as a highly mathematical book, which was generally rejected by the older generation of economists. Secondly, the disciplines and methods of economic theory have undergone a critical redefinition. The theoretical basis of von Neumann and Morgenstein's method was provided by lionel robbins (1933). He believes that economics is not distinguished by research topics, it is not about commodity sales, unemployment and business cycle, but a special aspect of human behavior: how to allocate scarce resources among different users. Game theory and economic behavior represent the first consistent and predictable choice theory under uncertainty, and strongly oppose the mathematical treatment of human behavior such as human and psychological factors under uncertainty by economics.
In this way, uncertainty, a concept introduced into economics in 1930s, is expressed in a computable form, thus reverting to risk. An important achievement of this method is the birth of modern financial theories, namely 1952 markowitz's portfolio theory and 1964 Sharp's capital asset pricing theory. On this basis, the Black-Scholes option pricing model is produced, which can price the risks of derivatives. Modern financial theory can be called uncertainty quantification science.
Uncertainty regression
The quantification of uncertainty reached its peak in the milestone of modern financial theory, which had almost unprecedented political and practical influence. The most pertinent argument was put forward by Donald Mackenzie, who pointed out in his research on "the performance of economic theory" in 2006 and 2007 that the extensive application of option pricing theory had such a huge impact on financial practice that "its assumption-which was seriously inconsistent with the empirical reality of the market at first-became less unrealistic". Fisher Blackburn once said in 1989: "Traders now widely use formulas and their variants. They use it so frequently that the market price is usually close to the pricing of the formula, even where there should be a big deviation. " Black-Scholes option pricing formula is known as "the scientific discovery of financial truth", and it is also the key to the huge growth of global derivatives market since the disintegration of Bretton Woods system. Coupled with the efficient market hypothesis, this formula is further legalized under the assumption that derivatives can reduce social risks through dynamic hedging. Quote a broker: "The more transactions we make, the better the society will be, because the risk will be smaller".
The global financial crisis, which began in 2007, was the result of the US subprime mortgage default, and it spread rapidly to the whole world through securitization products such as CDO and CDS derivatives. This crisis has brought people's confidence in assessing risks through probability figures to an abrupt end. Countless uncertain returns appear in the form of "black swan", which refers to unexpected tail risk events disguised as normal distribution, but in fact their correlation cannot be captured by risk models, which is also irrational "greedy" speculation.
Exploring the uncertainty of financial system with complex system theory
The financial crisis in 2008 was just one of the alarm bells. In the field of risk management, more and more people accept that reducing uncertainty to risk is misleading and limited, which also promotes the emergence of new research perspectives. In China, some universities have long been committed to studying the uncertainty of the financial system from the perspective of complex systems. As an annual event in the field of financial system engineering, the International Conference on Financial System Engineering and Risk Management of Tianjin University has been held to the 7th session/kloc-0. The theme of the 20 19 annual meeting is "Financial System Engineering and Risk Management under the Hundred Years' Change", which aims to explore how to understand and grasp the operating rules and theories of complex financial systems, clarify the new opportunities and challenges faced by financial system engineering and risk management, and better contribute to the development of the real economy and the great rejuvenation of the nation under the hundred years' change.
The changes of the past century have made our vision and information different from the past. The phenomenon that "practice is faster than theory" has appeared in the financial development itself. New products and services have brought new problems, which deserve scholars to study with more comprehensive data from a broader perspective. This also reflects the unique value and vitality of the system engineering discipline.
The following is a brief overview of the theme report and special report of this conference.
Professor Li Duan from City University of Hong Kong introduced his research achievement "Bayesian Compensation Learning Improved Progressive Hedging Algorithm Based on Bi-level Solution". He pointed out that stochastic control not only has inherent stochastic system noise, but also lacks understanding of system parameters, which constitutes a basic challenge in reinforcement learning. In this regard, Professor Li Duan proposed a new two-level solution, which is used to separate the uncertainty and irreducible uncertainty of reducible systems into two levels and directly approach the optimal strategy. This method can be applied to the selection of dynamic portfolio.
Yang Xiaoguang, chairman of China Society of Systems Engineering and director of the Institute of Mathematics and Systems Science of China Academy of Sciences, gave a report entitled "The strong will remain strong, while the weak will remain weak" and the China market anomaly. Based on intra-day and intra-day high-frequency data, this study expounds the phenomenon of positive feedback trading in China stock market, that is, the strength of chasing up in China stock market is far greater than that of killing down, and the main reason for this phenomenon is that the retail investors who occupy the main body of market trading are more powerful than institutional investors. He pointed out that this asymmetry reduces the function of market price discovery and weakens the effectiveness of the market.
Professor Zhang Wei of Tianjin University gave a keynote speech entitled "Management Science in a Hundred Years of Change: Sharing Some Thoughts". Relying on the "14th Five-Year Plan" strategic research project being carried out by the Management Science Department of the National Natural Science Foundation of China, Zhang Wei pointed out that the important influence of subversive technology, the change of global political and economic structure, China's best practices and the challenges faced by human development are the major factors affecting the law of management activities. Taking the influence of subversive technology on the law of financial activities as an example, Zhang Wei analyzed the characteristics of future management science research activities, and discussed the important scientific frontiers and major scientific issues in the future.
Professor Zhang Jinqing of Fudan University gave a special report entitled "Research on Hedging Strategy of Index Fund Stock Index Futures". Zhang Quanqing believes that index funds have better performance than active funds, and there is a strong demand for risk hedging. Introducing ambiguity aversion's hedging strategy into the stock index futures of index funds can significantly improve the investment performance of ETF portfolio.
Yong Fang, an associate researcher at the Institute of Mathematics and Systems Science of China Academy of Sciences, gave a keynote speech entitled "disposition effect and Momentum Strategy of Margin Trading". He shared his research results in margin trading and momentum strategy. The research confirms that there is a significant disposition effect among investors in China's margin financing and securities lending business as a whole, and the same factors in different markets have different influences on disposition effect's individual strength.
Professor Wu of Shanghai Jiaotong University gave a keynote speech on "Research on the Characteristics of Mobile Transactions". He believes that the convenience brought by mobile technology has profoundly affected people's behavior and promoted the innovation and reform of the financial industry under the background of the Internet. He pointed out that the emergence of mobile trading terminals has changed the convenience of financial market participation, the universality of participants, the popularity of channels, the direct transaction cost and the cost of information acquisition. , thus changing the characteristics of supply and demand, circulation, profit and loss and risk brought by traditional financial innovation, which interact and influence each other.
Researcher Li Jianping from the Institute of Strategic Consulting of China Academy of Sciences gave a keynote speech on "Risk Identification and Integration in Big Data Environment". I made a research report on "Risk Identification and Integration Methods in Big Data Environment", constructed a new risk identification model based on financial statements, successfully analyzed unstructured texts and structured texts, and summarized the hierarchical system of risk factors.
Professor Zheng Zhenlong of Xiamen University gave a keynote speech entitled "Bull Market Risk and Bull Market Beta". This study puts forward the concept of bull market risk for the first time, and finds that there is a significant positive correlation between bull market beta and cross-sectional return rate in China stock market, which proves that bull market risk is a new pricing factor different from traditional pricing factors.
Professor Chen Shoudong of Jilin University's report is entitled "Systematic Financial Risk and Analysis of China's Financial Situation". In his report, Chen Shoudong shared his recent research work, including the construction of financial condition index with key risk factors, the analysis of the impact of economic shocks on China's financial stability, and the analysis of the financial cycle and the term effect of the economic cycle, which contributed to the analysis and prediction of China's financial situation and the formulation of economic and financial policies.
Professor Huang from Southwest Jiaotong University published his book Enterprise R & amp；; D is the input intensity anchoring the policy threshold or connecting enterprises? ”。 He pointed out that there is a certain degree of anchoring and adjustment behavior in the R&D investment decision of enterprise executives, which not only anchors the policy threshold, but also anchors the R&D investment intensity of affiliated enterprises, but the policy threshold has a greater positive impact on R&D investment decision.
Professor Zhang Xindong of Shaanxi University's report is entitled "Does supplier concentration affect enterprise innovation?" . She believes that the high concentration of suppliers reduces the company's innovation investment, which is more obvious in small-scale, private and durable goods enterprises. At the same time, she pointed out that risk-taking, resource occupation and bargaining power are the three channels that cause this influence.
Professor Zhou Weixing of East China University of Science and Technology put forward the recurrence interval analysis of time series from the perspective of predicting the probability of large earthquakes. In the research process, the threshold of the event is set at first, and the probability density distribution of several recurrence intervals is assumed, which is verified by KS test. This method can be applied to the probability prediction and risk early warning of stock ups and downs.
Professor Li Honggang of Beijing Normal University gave a keynote speech entitled "Complexity of Social Economic System and Risks of Financial System". He used the methods of complex economic and financial systems and computational experiments to establish multi-agent models such as "network of financial institutions and systemic risks", "information interaction and behavioral convergence of traders" and "strategic interaction and behavioral cascade of traders" to carry out research on the complexity of socio-economic systems and risks of financial systems.
Professor Ma Chaoqun of Hunan University gave a keynote speech entitled "Supply Chain Finance+Blockchain". First of all, he compared Internet finance with traditional finance, and analyzed in detail the development status and various pain points of supply chain finance, such as a series of problems such as difficult financing, difficult mortgage of technical assets and slow capital flow. Combined with the development trend of computer technology informatization, networking and digitalization and the essence of blockchain to ensure the authenticity and reliability of the underlying data, he put forward the solution goal of supply chain financial blockchain.
Guo Ye, a professor at Xiamen University, gave a keynote speech entitled "Shadow Banking and Asset Securitization in China in the Era of Post-new Asset Management Regulations". She studied China's shadow banking and asset securitization in the post-new asset management regulations era, analyzed the present situation, definition and classification of China's shadow banking, compared the development of China's capital securitization before and after the new asset management regulations, and the definition and risks of China-US capital securitization, and proposed that China's enterprise's asset securitization has more typical characteristics of shadow banking.
From the clear distinction between risk and uncertainty, to the equivalence of risk and uncertainty, and then back to the cognition that risk is not equal to uncertainty, the definitions of risk and uncertainty and the relationship between them have been constantly evolving. Kenneth, winner of the Nobel Prize in Economics? Arrow once said, "For me, our understanding of how things work in society and nature is like floating clouds. Whether it is historical inevitability, major diplomatic plans, or radical views on economic policy, the certainty of belief is accompanied by a huge curse. For individuals or society, we need to be cautious when formulating policies with wide influence, because we cannot predict the results. " In the world ruled by uncertainty, the prediction of results is not a simple and definite linear relationship, and the real world is always complex, multidimensional and random. In the financial market, which is also ruled by uncertainty, we also need to keep in awe of it at all times.