《市场震荡：量化现代金融市场中的结构性风险》一书探讨了自全球金融危机以来市场结构的重大转变。央行政策、监管导致商业银行的中介作用减弱以及ETF等被动产品的增长，共同导致了市场的“僵尸化”。过度杠杆和对特定资产类别和策略的集中暴露，使得风险在表面之下不断积累。许多情况下，历史波动率低估了未来的风险。本书提供了一个实用且广泛的框架，帮助投资者应对现代市场中所面临的信贷、仓位和流动性风险。作者借鉴统计物理学和博弈论，简化并量化了大型市场参与者对未来收益分布的影响，并提供应对市场结构性风险但波动率较低情况的技术方法。

🤔 **市场结构的转变：** 自全球金融危机以来，市场结构发生了重大转变。央行政策、监管导致商业银行的中介作用减弱以及ETF等被动产品的增长，共同导致了市场的“僵尸化”。 这种转变使得市场对风险的承受能力降低，并导致了过度杠杆和对特定资产类别和策略的集中暴露，进而增加了潜在的风险。

📈 **风险的积累：** 由于过度杠杆和对特定资产类别和策略的集中暴露，风险在表面之下不断积累。这意味着，即使历史波动率较低，市场也可能面临着更大的潜在风险。 这种风险积累会降低市场的稳定性，并可能导致市场突然大幅波动。

🧰 **应对风险的框架：** 《市场震荡》一书提供了一个实用且广泛的框架，帮助投资者应对现代市场中所面临的信贷、仓位和流动性风险。 作者借鉴统计物理学和博弈论，简化并量化了大型市场参与者对未来收益分布的影响，并提供应对市场结构性风险但波动率较低情况的技术方法。

📊 **量化风险：** 本书的作者通过统计物理学和博弈论的模型，量化了大型市场参与者对未来收益分布的影响。 这使得投资者可以更好地理解市场风险，并制定更有效的风险管理策略。

💡 **实践应用：** 本书中的框架和技术方法可以应用于各种投资策略，帮助投资者更好地理解和应对市场风险。 这对于那些希望在现代市场中获得成功，并降低投资风险的投资者来说至关重要。

In Episode 238 of Hidden Forces, Demetri Kofinas speaks with Hari Krishnan (Head of Volatility Strategies at SCT Capital) and Ash Bennington (Senior & Crypto Editor at Real Vision) about their book “Market Tremors: Quantifying Structural Risks in Modern Financial Markets.”

Since the Global Financial Crisis, market structure has undergone a dramatic shift. A combination of Central Bank policy, disintermediation of commercial banks through regulation, and the growth of passive products such as ETFs have ‘zombified’ markets. Risk has increasingly built up beneath the surface through a combination of excessive leverage and crowded exposure to specific asset classes and strategies. In many cases, historical volatility understates prospective risk.

This conversation is meant to expose you to some of the ideas behind Market Tremors, which provides a practical and wide-ranging framework for dealing with the credit, positioning, and liquidity risk that investors face in modern markets. Ash and Hari draw on the fields of statistical physics and game theory to simplify and quantify the impact of very large agents on the distribution of forward returns, and offer techniques for dealing with situations where markets are structurally risky yet realized volatility is low.

You can access the transcript and intelligence report to this week’s conversation by going directly to the episode page at HiddenForces.io and clicking on "premium extras." All subscribers gain access to our premium feed, which can be easily added to your favorite podcast application.

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Episode Recorded on 03/14/2022