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å: ȭ Adaptive Markets in 2017

ȭ Adaptive Markets in 2017

: ص Andrew W. Lo

ű:

ũ / 2020-01 / 550 / \\24,500

 

å ո ̿, 簡ġ ֽ ߱ؼ ڼ ʾ ̷ ڹ ۵ ʴ´ٴ ٰ մϴ. øϴ ߿ 2017 <̳Ÿӽ> Ͻ ĺƮ å ߰߰ 鼭 ū ϱ ߴٰ մϴ.

 

ڿ å ο å 츮 Ұߴ ݹ öϴ. ٷ [ ڵ ι] ڼǥԴϴ. ̹ Ƿ ڿ翡 Ȱ ε ϳ ִµ... [ ϱ] õ縦 ־ٴ^^

 

ݵŴ 1 2008 ⸦ ¾Ҵ 淡 ˾ƺ, а 99й, ׿. ǥ ˰ ־µ, CIO CEO ߾ٴ ˰ Ǿϴ.

 

<ű > 鼭 ־⿡ ʹʹ ǽϴ. å űó ذå ?

 

Ȳ ϳ ȭϰ ֽϴ. ġ 忡 ˴ϴ. ޸ ġ ɸ ǵư ӵ ź ϰ ϴ. Ư ֱٿ ӵ ʹ ݰ ġ ó ̱⵵ մϴ. Ȥ ġʹ ʹ ġ Ǵϴ ü ſʹ ޶ ƴұ ϴ ϴ.

 

ص δ MIT 濵п ̸鼭 Ʈڿ縦 ϱ⵵ ̷а ȭ ö 忡 ߴٰ ű ̸ ٸ鼭 å ߽ϴ.

 

ȭ ð ʴ Ӽ̶ ó ϴ. Ǵ Ӽ ־ ȯ濡 Ƴ ̰, ȯ ٲ ȭ ֽϴ. ڴ ٶ󺸴 ȭ ϸ鼭 ո ΰ ƴ װ ü ȭ ϴ. å ġ ٷ ȭ, ش ƴ ִٰ մϴ.

 

 

ű̴ ְ оٰ ϴµ, Դ ȿ尡 ൿ  ϴ ׷ ̶ ִ 5ʹ ư ϴ. ׷ ű å Ұ ٽ IJ ڰ  ߴ , dz鼭, б 絶߽ϴ.

 

 

ڴ ȿ尡(Efficient Market Hypothesis) Ųٴ 濡 ڽ ̷ (Adaptive Market Hypothesis) ̸ ٿٰ մϴ. (Ƹ)ڴ ȿ尡 ŷϴ ڷμ ϴ ̷ ɰ ߰ϸ鼭 ̸ ϴ ڽ ̷ ִ ϴ.

 

ȿ尡 / ΰ ̼ ൿϴ ո ΰ̶ Ͽ ˴ϴ. ݸ鿡 尡 ȭ ǥǴ ν ΰ Ȳ ൿ ޶ٴ Ͽ ˴ϴ. 츮 ո ƴ϶ ո̰ ϴ ̶ ǵ.

 

ڿ ־ ȿ尡 ̱ Ƿ 常ŭ ͷ ִ εݵ忡 ϴ ּ ڹ 尡 ݵ, Ʈ Ȥ εݵ 庸 ͷ ߱մϴ.

 

ű̵ ߵ ̷ ڿ Ȱؼ ִ ü ϴ ƴһӴ ϼĿ ۴ܰ迡 ϴ. ܰ迡 ȿ尡 ǰ κ ִµ ǹ̸ ִٰ մϴ.

-> ׷鼭 ڹ ϴ ϸ鼭, ָմϴ. Ƹ ڰ ϱ⿡ Ѱ谡 ־ ̰.

 

尡 ո ϴ ġ ʰ ڵ ൿ ִ ӿũ ش.

 

ĸ (ʰ )εݵ带 , ǥ 缭 ϴ εݵ带 غ. Ⱓ صθ, εݵ ѵ нú ڸ ϴٰ ġ ݺ ÷. ݴ Ϸ Ἥ ϵ ִ.

–> 尡 忡 ϴ ϳ , ϴ εݵ忡 ʰ ִ ϰ ֽϴ.

-> 忡 ڴ ̷ εݵ ڹ < εݵ> ߽ϴ. , ڰ ڵȭ ־, ΰ  ʴ´ٰ մϴ.

 

 

п ϴ. ű ǰ å 캸,

 

1~4: ڰ ϰ 尡 ϱ ȿ尡 ൿ ϰ ̷ ٰŰ Ǵ Ƽ꿡 մϴ.

 

5~8: ռ ַ ̷ /ü ִ մϴ. ڰ ϴ 尡 ׸ ̷ ٿ ȭп ϰ (εݵ) ̱ ִ ڹ/ ݵ, ݵ, Ʈ Ұմϴ. 8忡 εݵ尡 ϴ ϰ ̿ Բ ƮŸ εݵ带 ¦ Ʋ ̱ ִ ϱ⵵ մϴ. ʿ ϴ 뿡 (Ϻ) ߽ϴ.

 

9: ȭп ٰ 2008 ⸦ 캾ϴ.

 

10~11: Ž ȯϴ Ű Ž̰ å ˴ϴ.

 

12: ڰ ٶ Ȥ ں ̿ؼ η ޲ٴ  θ ִµ, ( ) ް 񱳵Ǿ β ϴ.

 

ȣϴ Ҽ д ̴ ֽĽ忡 ´ٴ ٸ (絶ϸ鼭 ^^) ʰ ϴ. å ģ ߿ ܵΰ ߿ ǿ ű鼭 غϴ.

 

 

* Ƽ(Narrative):  ΰ, ƶ ϴ ̾߱

* : Ƽ긦 ɷ. ΰ踦 Ȯϰ ǥϴ ɷ

* ׷Ƽ: ̷ Ȯϰ ϴ Ƽ

 

* ũ ȿ(Pygmalion effect): ΰ踦 ϰ ϱ 츮 ڽ  Ƽ갡 ൿ ٲν Ƽ꿡 ġ ƴ Ǵ

 

 

* ȭ:  ȿ 밡 Ʒ Ѱִ Ư Ÿ ȭ. - ȭ ƴϴ. ȭ Ű ڿ Ŀ ȿ ҸŰ س ̸  ɵ ȭŰ ʴ´.

 

Ϸ 밨 Ϸ , 밨ϰ Ϸ .

- ũ ϴ Ϸ , ׷ Ϸ Ϸ ϰ ɼ .

-> ٰ ŵ, !^^

 

 

ȭ(satisficing): ո ΰ ݵǴ 뺸 ȿ ִ ã Ѵ. ̷ Ǵܰ ϱ Ʈ ̸ ϴ(satisfy) ϴ(suffice) ܾ ؼ ܾ.

 

ѵ ո(bounded rationality): üμ Ϻ ã س ƴ϶, ִ ãƳ ش ִ Ѵ

- Ʈ ̸ .

 

(Adaptive Market Hypothesis): ȯ濡 س ȭ/ν ո پѴ ο . ȿ尡 ൿ £ ߰ߵǴ 浹 ο .

 

 

2008 ո̰ų ̼ ǻǴܰ Ÿ ־ δ. ݸ ȿ尡 ΰ ո ൿ ϴ ൿδ Ⱑ ߹ϱ Ⱓ ӵǾ Ѵ.

-> ȿ尡 ൿ Ѱ迡 մϴ.

 

, ý ̰ų ý ƴϴ. ý ϴ ȣ ȯ溯ȭ ӿ ݺϴ ° ̴.

-> ΰ ý ̴ ü̹Ƿ п (ü)ȿ尡  մϴ.

 

2006 ũ׸ þƿ κ ޾ҽϴ.

þ: ̱ ó ̳׿. ׷ ƹ ϴ.  ǰ?

ũ׸: ̱ ߱ο ȾƼ ϴ.

-> ø ְ о ø ̱ ΰ? 2006̳ 2020̳ ǹ ״Ӵϴ.

 

 

尡 ü Ͽ ΰ ൿ  Ϲ Ư ̴. ü ҿ ΰ ൿ, ϳ Ѵٸ ߻ ʴ´. ҿ ΰ ൿ ⸦ , ׷ ߻ ݺǰ ϴ ٺ ̴. 20 ɰ Ȳ ӵ ũ ϱ ߴ. ̰  ƴ϶, ȯ溯ȭ ո ϴ ̴.<>

 

 

尡 ý ȿ ϴ

1. پ

2. ׵ ó ȯ,

3. ȯ ȣۿ̶ 3 鿡 ý Ư Ѵ.

 

尡 츮 ý ų , ġݰ ߴ ý ٲ ִٰ ش.

 

 

ó ѷ ذå ߰ ŭ ߴ ڽ ̹ б⿡ Դϴ.

 

ְ ġ ϰ ִ, ո̹Ƿ ̱ ٴ ȿ尡 ְ ɸ ϸ鼭 ΰ ׷ ո ʴٸ ȿ尡 ϸ ִ ൿ ֽϴ. п ȭ 尡 ַ ̷ κ /ü ̷ մϴ. ̱ ڹ Ұϸ鼭 ̱ ϴ ó ̴ ڵ ߵ, ̿ϼ ̷̱ մϴ.

 

׷ ű̵ ʳ ߵ, å ڿ Ǵ ڹ̳ ߰ ϴ.  ߴ(?) ṵ̋ å ( 밡 ƴ϶) ƴϾ ͽϴ. ڰ ģ ˾Ƴ ָ а / ׷ϴ.

 

ȿ ź /帧 а ݵ 縦 ϰ 캼 ִٴ ( ʾҴ) ־ 1 ½ ִ ٵִ ־ϴ. и ϵ ġ ڿ ϰ å ƴմϴ. δ 絶Ϸ ϴµ, ݺٴ ϴ մϴ.

 

 

:

1. ű̴ 2014 ̹ å () å ֽϴ. [չ]ε, 2011⿡ Ⱓ å 쿬 ߰߰ å̶ 3⸸ Ⱓ ־ٰ մϴ.

 

1-1. å а ϴ İ Ἥ ߾µ, ̹ 6 İ ٽ 鼭 Ȱ鿡 [չ] Ǵ å̶ ̴ϴ.

 

1-2. 2008 ӵ ȭ å Ѳ ޾ƿö ִ ۷ι ڻ갡 Ѱ? ·ο . Ͱ ְ ϴ Ϲ ġ ̱ ֽĽ ġ ̹ 2000 IT ִ.

ó ڻ갡 ϰ ִ 㺸ġ ϶ ſ ȯ ߾ ̴.

- [չ] 2014 6 ߴ, ̶ Ǿ .

 

1-3. ·ο Ѵٴ <žȻ()> 缺ó, ϻ ó ؾ ϰ ݴ ź ø ־ Ѵ. ̷ ν Ͽ ο ġġ ʾƾ Ѵ.

- ϴ ۱ ϳ ϰ ־׿. ű̿ʹ ϴ Ƽ ݰϴ.

 

 

2. ο ߴ ڼǥ 2017[ ڵ ι] а å İ Ἥ ߾ϴ. ̹ İ ٽ о å ϸƻ ް ˴ϴ. [չ] Բ å ξϴ.

 




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