Didier Sornette: How we can predict the next financial crisis

Translator: Joseph Geni Reviewer: Morton Bast

翻译人员: Peipei Xiang 校对人员: Tingting Zhao

Once upon a time

曾几何时，

we lived in an economy of financial growth and prosperity.

我们生活在经济的增长和繁荣中。

This was called the Great Moderation,

这就是人们所说的“大稳健”时期，

the misguided belief by most economists,

大多数经济学家、政策制定者和中央银行 都误以为

policymakers and central banks

that we have transformed into a new world

我们已经进入了一个新的时代，

of never-ending growth and prosperity.

一个增长无尽、无限繁荣的时代，

This was seen by robust and steady GDP growth,

因为他们看到了强健和稳定的GDP增长，

by low and controlled inflation,

受到良好控制，并且是较低的通膨率，

by low unemployment,

低失业率，

and controlled and low financial volatility.

和可控的金融波动。

But the Great Recession in 2007 and 2008,

然而2007年和2008年的大衰退和大崩盘

the great crash, broke this illusion.

彻底打破了这个繁荣的假象。

A few hundred billion dollars of losses in the financial sector

金融行业损失了数千亿美元，

cascaded into five trillion dollars

全球GDP损失了5万亿美元，

of losses in world GDP

and almost $30 trillion losses

in the global stock market.

全球股市亏损了近30万亿美元。

So the understanding of this Great Recession

人们对于此次大衰退

was that this was completely surprising,

非常之震惊，

this came out of the blue,

这种突如其来

this was like the wrath of the gods.

有如是神灵发怒的事情，

There was no responsibility.

不像是任何人的过错。

So, as a reflection of this,

为了更好的反映这些，

we started the Financial Crisis Observatory.

我们成立了金融危机观测台。

We had the goal to diagnose in real time

希望能够实时诊断

financial bubbles

金融泡沫

and identify in advance their critical time.

并及时预判它们的临界点。

What is the underpinning, scientifically, of this financial observatory?

那么这个金融观测台背后的科学依据是什么呢？

We developed a theory called "dragon-kings."

我们有一个名为“龙王”的理论。

Dragon-kings represent extreme events

“龙王”代表那些自成一类的极端的事件。

which are of a class of their own.

They are special. They are outliers.

它们是特殊的，异常的，

They are generated by specific mechanisms

由某些特殊原因导致，

that may make them predictable,

因此是可以预测的，

perhaps controllable.

甚至是可以控制的。

Consider the financial price time series,

让我们来考虑一下金融价格的时间变化，

a given stock, your perfect stock,

就拿某支股票来说，

比如你最喜欢的一支股票，

or a global index.

或者一个全球指数。

You have these up-and-downs.

它们都会有起起伏伏。

A very good measure of the risk of this financial market

测量金融市场风险

is the peaks-to-valleys that represent

的一个不错的方法叫“峰谷法”，

a worst case scenario

“峰谷”就是指最高点买入，

when you bought at the top and sold at the bottom.

最低点卖出的最坏状况。

You can look at the statistics, the frequency of the occurrence

在这个图表上，你可以看到

of peak-to-valleys of different sizes,

不同大小的峰谷

which is represented in this graph.

发生的频率。

Now, interestingly, 99 percent

有趣的是

of the peak-to-valleys of different amplitudes

99%不同波幅的波峰波谷

可以用普适的幂次定律

can be represented by a universal power law

来刻画，

represented by this red line here.

就像这条红线。

More interestingly, there are outliers, there are exceptions

更有趣的是

这条红线上面有很多异常值，

which are above this red line,

occur 100 times more frequently, at least,

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。

than the extrapolation would predict them to occur

based on the calibration of the 99 percent remaining

peak-to-valleys.

这是因为连锁效应会导致

They are due to trenchant dependancies

such that a loss is followed by a loss

一而再，再而三的接连损失。

which is followed by a loss which is followed by a loss.

这些环环相扣的因素

These kinds of dependencies

are largely missed by standard risk management tools,

通常被那些标准的风险管理工具所忽略，

which ignore them and see lizards

导致他们在本该看到“龙王”的时候只看到“蜥蜴”。

when they should see dragon-kings.

The root mechanism of a dragon-king

“龙王”的出现归根到底是

is a slow maturation towards instability,

不稳定性逐渐形成的过程，就像泡沫一样，

which is the bubble,

and the climax of the bubble is often the crash.

破灭是它们必然的高潮。

This is similar to the slow heating of water

这就好比给试管里的水加热至沸腾，

in this test tube reaching the boiling point,

where the instability of the water occurs

当出现不稳定的状态时，

and you have the phase transition to vapor.

液体变成了水蒸气。

And this process, which is absolutely non-linear --

而这个过程绝非简单的线性关系，

cannot be predicted by standard techniques --

不能通过一般的方法预测。

is the reflection of a collective emergent behavior

它是一种由内而发的聚集突发性行为的反映。

which is fundamentally endogenous.

So the cause of the crash, the cause of the crisis

所以泡沫的根源，危机的根源，

has to be found in an inner instability of the system,

必须从系统本身的不稳定中去寻找，

and any tiny perturbation will make this instability occur.

任何微小的扰动都会导致不稳定发生。

Now, some of you may have come to the mind

你们中有些人可能在想，

that is this not related to the black swan concept

这跟我们经常听到的“黑天鹅理论”是否有关？

you have heard about frequently?

Remember, black swan is this rare bird

要知道，黑天鹅是一种罕见的鸟类，

that you see once and suddenly shattered your belief

而你只要看见它一次，

that all swans should be white,

就会彻底改变你“所有天鹅都是白色的”看法。

so it has captured the idea of unpredictability,

这就是不可预测，不可获知性，

unknowability, that the extreme events

即极端事件是我们完全无法获知的。

are fundamentally unknowable.

Nothing can be further

我提出的“龙王理论”与此截然不同，

from the dragon-king concept I propose,

which is exactly the opposite, that most extreme events

或者说完全相反，也就是大部分的极端事件

are actually knowable and predictable.

是可以获知，可以预测的。

So we can be empowered and take responsibility

所以我们有能力，也有责任

and make predictions about them.

去做出一些预测。

So let's have my dragon-king burn this black swan concept.

那么，就让我的龙王烧毁这只黑天鹅吧！

(Laughter)

（笑声）

There are many early warning signals

这个理论可以预测很多早期的预警信号。

that are predicted by this theory.

Let me just focus on one of them:

我们就以下面这个例子说明：

the super-exponential growth with positive feedback.

积极反馈的超指数增长。

What does it mean?

这是什么意思呢？

Imagine you have an investment

假设你有一笔投资，

that returns the first year five percent,

第一年你获得了5%的收益，

the second year 10 percent, the third year 20 percent,

第二年10%，第三年20%，

the next year 40 percent. Is that not marvelous?

下一年40%……是不是太棒了？

This is a super-exponential growth.

这就是超指数增长。

A standard exponential growth corresponds

一般的指数型增长通常

to a constant growth rate, let's say, of 10 percent

是和稳定的增长率吻合的，比如10%的增长率。

The point is that, many times during bubbles,

问题是，金融泡沫期间，

there are positive feedbacks which can be of many times,

很多时候这些积极反馈是由于

such that previous growths enhance,

前面一波接着一波的增长推动的，

push forward, increase the next growth

through this kind of super-exponential growth,

也就是超指数增长，

which is very trenchant, not sustainable.

这种增长是非常不稳定，不可持续的。

And the key idea is that the mathematical solution

这类数学模型告诉我们

of this class of models exhibit finite-time singularities,

异常值出现的次数是有限的，

which means that there is a critical time

也就意味着在某个时刻，

where the system will break, will change regime.

系统会崩溃，会彻底改变整个形势。

It may be a crash. It may be just a plateau, something else.

可能是一次泡沫，可能是一段平稳时期，或者其他。

And the key idea is that the critical time,

这里很重要的一点就是，那些关键时刻，

the information about the critical time is contained

以及关于那些关键时刻的信息

in the early development of this super-exponential growth.

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,

我们早期将这个理论应用于

to the diagnostic of the rupture of key elements

诊断铁质火箭上的关键单元的破裂情况，

on the iron rocket.

这也是这个理论的首个成功案例。

Using acoustic emission, you know, this little noise

我们采用发声原理，

that you hear a structure emit, sing to you

也就是一些材质在受到压力的时候发出的噪音，

when they are stressed, and reveal the damage going on,

告诉你损害正在发生，

there's a collective phenomenon of positive feedback,

这时候也会有一系列的积极反馈，

the more damage gives the more damage,

也就是一点破坏会带来更多的破坏，

so you can actually predict,

所以你就可以预测，

within, of course, a probability band,

当然是在一定的概率范围内，

when the rupture will occur.

何时会发生破裂。

So this is now so successful that it is used

这个理论还成功用于

in the initial phase of [unclear] the flight.

飞机的初期飞行过程中。

Perhaps more surprisingly, the same type of theory

不过更让人惊讶的可能是，同样的理论

applies to biology and medicine,

也适用于生物学、医学，

parturition, the act of giving birth, epileptic seizures.

比如，分娩，生产，癫痫发作。

From seven months of pregnancy, a mother

从怀孕7个月，母亲开始时不时感到子宫收缩的前兆，

starts to feel episodic precursory contractions of the uterus

that are the sign of these maturations

也就是不稳定正在慢慢成熟的信号，

toward the instability, giving birth to the baby,

宝宝就要出生了，

the dragon-king.

也就是龙王。

So if you measure the precursor signal,

所以，如果你去测量这些前兆，

you can actually identify pre- and post-maturity problems

你就可以预先发现不稳定成熟前和成熟后的问题。

in advance.

Epileptic seizures also come in a large variety of size,

癫痫发作通常也有不同的程度，

and when the brain goes to a super-critical state,

当大脑进入一个超临界状态，

you have dragon-kings which have a degree of predictability

就会出现有一定可预测性的龙王，

and this can help the patient to deal with this illness.

这可以帮助病人更好地应对自身的症状。

We have applied this theory to many systems,

我们将这个理论应用于很多系统，

landslides, glacier collapse,

我们将这个理论应用于很多系统， 山体滑坡、冰山崩塌，

even to the dynamics of prediction of success:

甚至预测好莱坞大片、YouTube视频、电影等是否成功。

blockbusters, YouTube videos, movies, and so on.

But perhaps the most important application

不过最重要的应用还是在金融领域，

is for finance, and this theory

illuminates, I believe, the deep reason

for the financial crisis that we have gone through.

我相信这个理论揭示了

This is rooted in 30 years of history of bubbles,

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，

starting in 1980, with the global bubble

从1980年开始，1987年全球泡沫破灭，

crashing in 1987,

followed by many other bubbles.

紧跟其后的是很多其它泡沫。

The biggest one was the "new economy" Internet bubble

最大的一个泡沫是2000年破灭的 互联网“新经济”泡沫，

in 2000, crashing in 2000,

the real estate bubbles in many countries,

同时很多国家的房地产泡沫，

financial derivative bubbles everywhere,

随处可见的金融泡沫和股市泡沫，

stock market bubbles also everywhere,

commodity and all bubbles, debt and credit bubbles --

商品泡沫，债券和信用泡沫……

bubbles, bubbles, bubbles.

泡沫，泡沫，泡沫，

We had a global bubble.

全球都是泡沫。

This is a measure of global overvaluation

这是由于对全球市场的高估，

of all markets, expressing what I call

显示出我所说的一种“永久印钞机”的幻象，

an illusion of a perpetual money machine

that suddenly broke in 2007.

而2007年这个幻象突然破灭了。

The problem is that we see the same process,

问题是，我们总是觉得这个问题

in particular through quantitative easing,

可以通过量化宽松政策去解决，

of a thinking of a perpetual money machine nowadays

用当下“永久印钞机”的思维

to tackle the crisis since 2008 in the U.S., in Europe,

去处理2008年后美国、欧洲、日本面临的危机。

in Japan.

This has very important implications

这对我们理解量化宽松政策

to understand the failure of quantitative easing

这对我们理解量化宽松政策

as well as austerity measures

以及紧缩政策的失败有很重要的影响，

as long as we don't attack the core,

如果我们不从核心上去改变

the structural cause of this perpetual money machine thinking.

这种“永久印钞机”思维背后的体制原因。

Now, these are big claims.

当然，这些理论都是大胆的假设，

Why would you believe me?

你凭什么要相信我呢？

Well, perhaps because, in the last 15 years

因为在过去的15年里，

we have come out of our ivory tower,

我们走出了象牙塔，

and started to publish ex ante --

并开始“事前”发表，

and I stress the term ex ante, it means "in advance" —

这里我要特别强调“事前”二字，也就是预先发表

before the crash confirmed

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。

the existence of the bubble or the financial excesses.

These are a few of the major bubbles

在近代历史上，我们经历过几次大型的泡沫。

that we have lived through in recent history.

Again, many interesting stories for each of them.

每一个都很有意思。

Let me tell you just one or two stories

我主要讲其中一两个，

that deal with massive bubbles.

关于对付大泡沫的故事。

We all know the Chinese miracle.

我们都知道中国奇迹。

This is the expression of the stock market

这里显示的就是股市的一个巨大泡沫，

of a massive bubble, a factor of three,

在短短的几年时间内增长了3倍！

300 percent in just a few years.

In September 2007,

2007年9月，

I was invited as a keynote speaker of a macro hedge fund

我受邀在一个宏观对冲基金管理会议上做主题演讲，

management conference,

and I showed to the conference a prediction

我给参会者做了一个预测，

that by the end of 2007, this bubble

也就是到2007年年底，这个泡沫

would change regime.

会彻底改变大局。

There might be a crash. Certainly not sustainable.

也许会发生大崩盘，但肯定是不可持续的。

Now, how do you believe the very smart,

那你觉得这些非常聪明、

very motivated, very informed macro hedge fund managers

非常上进、见多识广的对冲基金经理

reacted to this prediction?

会对这个预测作何反映？

You know, they had made billions

你知道到目前为止 他们已经从这个泡沫中赚取了数十亿。

just surfing this bubble until now.

They told me, "Didier,

他们跟我说：“Didier，

yeah, the market might be overvalued,

对，这个市场可能是被高估的，

but you forget something.

但是你忘记了一件事。

There is the Beijing Olympic Games coming

北京奥运会要在2008年8月份举行了，很明显

in August 2008, and it's very clear that

the Chinese government is controlling the economy

中国政府会控制经济，

and doing what it takes

采取必要的措施，

to also avoid any wave and control the stock market."

以避免任何的波动，并控制股市。”

Three weeks after my presentation,

我的演讲结束三个星期后，

the markets lost 20 percent

市场亏损了20%，

and went through a phase of volatility,

期间经历了一些动荡，

upheaval, and a total market loss of

到年底的时候，总共亏损了70%。

70 percent until the end of the year.

So how can we be so collectively wrong

为什么我们会犯这样的集体错误？

by misreading or ignoring the science

误解、忽视背后的科学，

of the fact that when an instability has developed,

即当不稳定性形成的时候，

and the system is ripe, any perturbation

当系统成熟的时候，任何的扰动，

makes it essentially impossible to control?

都会使最终结果无法控制。

The Chinese market collapsed, but it rebounded.

中国市场崩溃了，但它又回弹了。

In 2009, we also identified that this new bubble,

2009年，我们又发现了一个新的泡沫，

a smaller one, was unsustainable,

小的，不稳定的，

so we published again a prediction, in advance,

所以我们又“事前”发表了一个预测，

stating that by August 2009, the market will correct,

即到2009年8月，市场会自动校正，

will not continue on this track.

不会在现有的轨道上继续。

Our critics, reading the prediction,

读了我们的预测，批评家们说：

said, "No, it's not possible.

“不，不可能的。

The Chinese government is there.

中国政府在那儿呢。

They have learned their lesson. They will control.

他们已经吸取了教训，他们会控制的。

They want to benefit from the growth."

他们希望从增长中获益。”

Perhaps these critics have not learned their lesson previously.

也许这些批评家们没有吸取前面的经验教训。

So the crisis did occur. The market corrected.

后来危机发生了，市场也校正了。

The same critics then said, "Ah, yes,

这些批评家们又说：“啊！对，

but you published your prediction.

但是你发表了你的预测，

You influenced the market.

你影响了市场。

It was not a prediction."

那不是真正的预测。”

Maybe I am very powerful then.

那个时候也许我很强大。

Now, this is interesting.

这就很有意思了。

It shows that it's essentially impossible until now

直到目前为止，我们完全不能

to develop a science of economics

发展出一门科学的经济学，

because we are sentient beings who anticipate

因为我们是有感情的生物，

and there is a problem of self-fulfilling prophesies.

我们可以预测，而又面临自我应验预言的问题。

So we invented a new way of doing science.

所以我们发明了一种新的做科学研究的方法。

We created the Financial Bubble Experiment.

我们做了金融泡沫实验。

The idea is the following. We monitor the markets.

大致是这样的。我们监测市场，

We identify excesses, bubbles.

我们判断经济过剩、泡沫，

We do our work. We write a report

我们做我们的工作。然后我们写一份报告，

in which we put our prediction of the critical time.

报告里面有我们对于临界时间点的预测。

We don't release the report. It's kept secret.

我们先不发布这个报告，一直保密。

But with modern encrypting techniques,

用现代的加密技术，

we have a hash, we publish a public key,

我们会有一个哈希（散列），我们公布公开密钥，

and six months later, we release the report,

6个月后，我们公布报告，

and there is authentication.

这时候人们就可以去验证了。

And all this is done on an international archive

这一切都是在一个国际资料库完成，

so that we cannot be accused of just releasing the successes.

这样就没人能诬告我们说我们的报告影响市场了。

Let me tease you with a very recent analysis.

让我告诉你们一个最近的分析。

17th of May, 2013, just two weeks ago,

2013年5月17日，也就是两个星期以前，

we identified that the U.S. stock market

我们诊断出美国的股市

was on an unsustainable path

正处在一个不稳定的阶段，

and we released this on our website on the 21st of May

5月21日我们在我们的网站上发表了

that there will be a change of regime.

美国股市会发生大变动的预测。

The next day, the market started to change regime, course.

第二天，股市就开始发生变化了。

This is not a crash.

这不是大崩盘，

This is just the third or fourth act

这是大型泡沫要形成的第三或第四步。

of a massive bubble in the making.

Scaling up the discussion at the size of the planet,

把我们这个讨论扩大到地球的层面，

we see the same thing.

我们也看到了同样的情况。

Wherever we look, it's observable:

不管哪里，我们都看得到：

in the biosphere, in the atmosphere, in the ocean,

在生物圈、大气层、海洋，

showing these super-exponential trajectories

都有这些超指数的趋势，

characterizing an unsustainable path

意味着不可持续性，

and announcing a phase transition.

和新的转折的出现。

This diagram on the right

右边的图表

shows a very beautiful compilation of studies

集中了一系列研究的结果，

suggesting indeed that there is a nonlinear -- possibility

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。

for a nonlinear transition just in the next few decades.

So there are bubbles everywhere.

所以泡沫无处不在。

From one side, this is exciting

一方面，这对我来讲，很兴奋，

for me, as a professor who chases bubbles

因为我喜欢追逐泡沫、刺杀龙王，

and slays dragons, as the media has sometimes called me.

媒体有的时候就是这样描述我的。

But can we really slay the dragons?

但是我们真的能杀掉龙王呢？

Very recently, with collaborators,

直到最近，和合作者一起，

we studied a dynamical system

我们研究了一个动态系统，

where you see the dragon-king as these big loops

在这个系统中，你把龙王看成是这些大圈，

and we were able to apply tiny perturbations at the right times

然后在适当的时候做一些微小的扰动，

that removed, when control is on, these dragons.

并在有控制的情况下，杀掉这些龙王。

"Gouverner, c'est prévoir."

"Gouverner, c'est prévoir." （法语：预见执政）

Governing is the art of planning and predicting.

统治是规划和预测的艺术。

But is it not the case that this is probably

但难道这不是

one of the biggest gaps of mankind,

我们人类的最大缺点吗？

which has the responsibility to steer

我们有责任

our societies and our planet toward sustainability

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，

in the face of growing challenges and crises?

But the dragon-king theory gives hope.

“龙王理论”给了我们希望。

We learn that most systems have pockets of predictability.

我们明白了大部分系统都是有可预测的空间的。

It is possible to develop advance diagnostics of crises

我们可以找到先进的诊断危机的方法，

so that we can be prepared, we can take measures,

这样我们就可以时刻准备着，行动，

we can take responsibility,

负起责任，

and so that never again will

再也不会为

extremes and crises like the Great Recession

大衰退和欧洲危机这样的极端事件感到惊讶了。

or the European crisis take us by surprise.

Thank you.

谢谢！

(Applause)

（掌声）