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Models.Behaving.Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life (Englisch) Taschenbuch – 24. Juli 2012

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Models.Behaving.Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life + My Life as a Quant: Reflections on Physics and Finance
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  • Taschenbuch: 240 Seiten
  • Verlag: Free Press (24. Juli 2012)
  • Sprache: Englisch
  • ISBN-10: 1439164991
  • ISBN-13: 978-1439164990
  • Größe und/oder Gewicht: 14 x 1,5 x 21,4 cm
  • Durchschnittliche Kundenbewertung: 2.0 von 5 Sternen  Alle Rezensionen anzeigen (2 Kundenrezensionen)
  • Amazon Bestseller-Rang: Nr. 134.317 in Fremdsprachige Bücher (Siehe Top 100 in Fremdsprachige Bücher)
  • Komplettes Inhaltsverzeichnis ansehen

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“A readable, even eloquent combination of personal history, philosophical musing and honest confession concerning the dangers of relying on numerical models not only on Wall Street but also in is undeniable that Models.Behaving.Badly. itself performs splendidly.” —Burton Malkiel, Wall Street Journal

"An erudite yet pleasantly readable exploration of why financial models failed during the U.S. mortgage meltdown and why modelers must learn to use them more wisely. Derman has distilled a lifetime of reading, research and thinking into these pages, and I read the book twice to see how he pulled the threads together without losing the reader." Bloomberg News

"Ranging wittily across philosophy, literature, and the arcane world of high finance, Derman's argument is a heady mix of physics, economics, and memoir." Nature

“A fascinating cross-disciplinary exploration of how and why financial and scientific models fail…A unique examination of the limits of models and theories in understanding and predicting human behavior, and a nice rejoinder to the equations-can-solve-or-explain-everything crowd.” Kirkus Reviews

Emanuel Derman has written my kind of a book, an elegant combination of memoir, confession, and essay on ethics, philosophy of science and professional practice. He convincingly establishes the difference between model and theory and shows why attempts to model financial markets can never be genuinely scientific. It vindicates those of us who hold that financial modeling is neither practical nor scientific. Exceedingly readable.” —Nassim N. Taleb, author of The Black Swan

"This is a compelling, accessible and provocative piece of work, that forces us to question many of the assumptions that we work with. As Derman explains so clearly, models are not "bad" in themselves; on the contrary, they are crucial for modern society. However, they have been used in a dangerously sloppy and careless way, with sometimes terrible results. Derman explains this clearly, and draws heavily onhis own lifetime experiences - ranging from growing up in appartheid south africa, working in the scientific field and then as a financial engineer on wall street - to provide a moving and fascinating set of illustrations of these principles. The conclusion is unexpectedly otpimistic - if people choose to listen." —Gillian Tett, author of Fool's Gold

"Models. Behaving. Badly. is an engaging and personal meditation on the limitations of our ability to predict the future, especially—but not only—in the context of financial markets. He is not interested in blame or politics, but in the deeper lessons to be drawn from the financial crisis. As a physicist who was also highly placed in the financial world, he explains clearly the difference between prediction and advice, theory and model and knowledge and wisdom." —Lee Smolin, Senior Researcher at Perimeter Institute for Theoretical Physics, author of The Trouble with Physics; Life of the Cosmos, and Three Roads to Quantum Gravity

"If you don't want your models to behave badly, you should study carefully these words of wisdom on the philosophy of quantitative modeling. Emanuel Derman has always been one of the most respected quants on Wall Street.  Now he has proven that he is also one of the most thoughtful. Though, in the sequel he should tell us what happened to the large man over the Sudan!"
—Clifford S. Asness, Ph.D., Managing & Founding Principal AQR Capital Management

“I found this book fascinating. Derman has a skill of mixing the personal with the abstract. You will not find another that takes you from the vagaries of the human eye to the vagaries of the stock market with stops at quantum electrodynmics. It is quite a ride.” —Jeremy Bernstein, author of Quantum Leaps, and Plutonium

"This is a thoughtful book for anyone interested in the overlap between the hard sciences and the soft sciences, from physicists to bankers. But finance academics beware, Professor Derman, with an iron fist in a velvet glove, gives them a good slapping." —Paul Wilmott, co-author "Financial Modelers' Manifesto"

Praise for Emanuel Derman’s My Life as a Quant:

"There are few "gentlemen bankers" left these days. That is why Emanuel Derman's memoirs are so compelling…Derman's wry humour and sense of irony are apparent throughout the book." Financial Times

"That sense of being an intruder in outlaw territory lends an intriguing mood to Derman's My Life as a Quant, a literate and entertaining memoir." BusinessWeek

“Reads like a novel, but tells a lot about brains applied to making money grow.” —Paul A. Samuelson, MIT, Nobel Laureate in Economic Sciences -- Dieser Text bezieht sich auf eine andere Ausgabe: Gebundene Ausgabe .


Quants, physicists working on Wall Street as quantitative analysts,have been widely blamed for triggering the recent financial crisiswith their complex mathematical models. What made these models,employed to minimize financial risk, so dangerous?

In this penetrating, insider′s look at the recent economiccollapse, Emanuel Derman––former head quant at Goldman Sachs and aformer physicist––explains the collision between mathematicalmodeling and economics that has touched every one of us. Thoughfinancial models imitate the style of physics and employ thelanguage of mathematics, there is a fundamental difference betweenthe aims and potential achievements of physics and those offinance. In physics, theories aim for a description of reality; infinance, at best, models can shoot only for a simplistic and verylimited approximation of reality.

Derman ranges widely over his first–hand experiences in practiceand theory, to explain the financial tangles that have paralyzedthe economy. With sharp metaphors and tremendous explanatorypower,he conveys the essence of these daunting financialmodels––The Black Scholes Model, The Efficient Market Model, theCapital Asset Pricing Model, etc––in very human terms.

Derman clearly shows us the intrinsic deficiencies of all modelsand explains why Wall Street, in its love affair with them, has ablindspot that prevents it from recognizing that finance will neverbe physics and that it will never be possible to write down a modelthat encapsulates human behavior.

-- Dieser Text bezieht sich auf eine andere Ausgabe: Gebundene Ausgabe .

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2 von 2 Kunden fanden die folgende Rezension hilfreich Von F. Ruehl am 17. September 2013
Format: Kindle Edition Verifizierter Kauf
Dieses Buch ist leider vom Typ "was ich schon immer einmal sagen wollte", d.h. eine wirre Sammlung von Themen von der Interpretation "was Spinoza uns sagen will" bis zur länglichen Erläuterung, warum unzureichende Kenntnisse des gegenwärtigen Zustands eine Prognose eines zukünftigen Zustandes unmöglich macht.
Wer schon weiß: "Prognosen sind schwierig, besonders wenn sie die Zukunft betreffen." sollte sich dieses Buch ersparen.
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Wir konnten Ihre Stimmabgabe leider nicht speichern. Bitte erneut versuchen
Von Eddie am 8. September 2014
Format: Gebundene Ausgabe
Der Autor ist sehr unfokussiert bzw. er holt extrem weit aus, um ein Aspekt zu erläutern. So erzählt er weit und breit über seine Kindheit in Südafrika (>20 Seiten), um dann den Punkt zu machen, dass in seiner Modellwelt Schwarze die Bösen sind und er deshalb überrascht war, das man in Israel Gefängnisse hat, ob wohl es dort keine Schwarze gibt.
Er erzählt auch weit und breit über seine Krankheitsgeschichte, um Makel von subjektiven Modellen zu erläutern. Um Beispiele für andere Modelle zu nennen, fängt er an ausführlich das Emotionsmodell von Spinoza durch zu deklinieren. Dann erzählt ausführlich über Modelle und Wissenschaftler in der Physik. Dann werden von ihm immer wieder philosophisch angehauchte Zitate und Ausführungen von Goethe reingeschoben.

Allgemein formuliert: Man könnte sein Buch auf locker 10 Seiten einstampfen ohne einen Informationsverlust. Stattdessen, wird das Buch zwangsmäßig auf 200 Seiten aufgepustet.

Also wer auf ein philosophisches, autobiografisches Buch steht mit einer schwachen Informationsdichte, kann sich das Buch gerne kaufen.

Also ich bereue es nicht, diese Buch gelesen zu haben, weil man da ein breites Allgemeinwissen kriegt, wer aber fokussier das Thema: "Models behave badly in Finance Context" behandelt haben möchte und sich sonst für nix anderes interessiert, der wird bei diesem ausschweifenden Buch (ausschweifend auf eine langweilige Art und Weise) enttäuschst sein!!!
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Wir konnten Ihre Stimmabgabe leider nicht speichern. Bitte erneut versuchen

Die hilfreichsten Kundenrezensionen auf (beta) 47 Rezensionen
69 von 83 Kunden fanden die folgende Rezension hilfreich
belabored 27. Dezember 2011
Von Suez - Veröffentlicht auf
Format: Gebundene Ausgabe
This book got me excited. Then, just as the economic models I teach,it became a disappointment. It's refreshing to start something that's different -- that isn't Michael Lewis. But this book quickly became tedious -- a self-promoting reflection of pieces of the author's life, a not-detailed-enough (you can't get much out of it if you don't already know it) and yet too-detailed (pages and pages) review of philosophy and physics, and very shallow comments about economic and financial models. It's also unfortunate that no one caught the error in defining a CDO, which is a collateralized debt obligation, not a collateralized "default" obligation. Mistakes such as this compromise the author's credibility. Don't buy this book. Spend your money on Daniel Kahneman's Thinking Fast and Slow -- it's fascinating and gives you the real meat of why economic and financial models behave badly.
22 von 25 Kunden fanden die folgende Rezension hilfreich
Interesting concept, so-so execution. 28. Januar 2012
Von Nicholas E. Johansen - Veröffentlicht auf
Format: Gebundene Ausgabe
Here's a quick summary of this review, for those who are short on time: this book lacks focus and I would not recommend it unless you have A LOT of patience. It is a LONG 200 page read.

As a cross-disciplinary individual (I studied Finance and English in college), this type of "crossover" book intrigues me. A mashup of philosophy, physics and finance, Models Behaving Badly is, at the very least, a very unique book. Indeed, I've never quite read anything like it. While centered around the markets -- and the idea that most of the models used to describe them are garbage -- Derman supports his points with quotes from Goethe, discussions on Maxwell's electromagnetic theory and anecdotes about his own youth as a Jewish boy in the era of South African apartheid. The fields that are of interest to me, likewise, are eclectic, and I think that most of the stuff I was taught in undergraduate Finance was wholly useless. I mention these facts simply because I feel as if I am precisely the demographic Derman targeted with this book.

And, unfortunately, he missed the mark.

The reason is simple: he never reconciles the three disciplines into any sort of coherent argument. On a broad level, he uses each separate field to show that theories are reflective of reality, whereas models are merely an approximation. He never, however, goes beyond this generalization and provides a good reason WHY he's talking about the philosophy/physics (other than, presumably, that they interest him). I have no doubt that Derman is an intelligent guy; his prose is generally decent and he clearly knows a lot about the markets as well as physics. Unfortunately, there is NO reason to have the physics (and, to a lesser extent, the philosophy) in this book. His examples are impossible to follow unless you're a physicist or engineer, and the discussion is way too technical for non-scientists to understand. Worse, the discussion is pointless, as it does not relate back to the core thesis of the book, which revolves around CAPITAL MARKETS. I get that there are theories in science, and that they are generally indisputable tenants of reality. However, it is unnecessary and BORING to devolve into a 30+ page discussion about the intricacies of electromagnetic theory.

The philosophy was sometimes interesting, at least, but again, it was only tenuously linked to the core point of capital markets. It's interesting when he brings up the idea of life being "negative" and sleep/death being "positive" (or something akin to this), but it's out of place. If, after reading the previous sentence, you're wondering "Surely he relates that back SOMEHOW," then I have news for you: he doesn't. It's just kind of hanging out there. Interesting point, but completely irrelevant to his main topic of discussion.

The philosophy/biographical/physics sections should have been edited down into a single chapter as a SUPPORT to his main point: that bad models caused the market meltdown. His main point is good -- and, for what it's worth, I think he's right on -- but he spends WAY too much time getting there, and not enough time discussing capital markets. If you even get that far -- the section entitled Models. Behaving. Badly., where he finally gets to the point of the book, is located about 50 pages from the end. And it is brutally difficult to get there.

Oh, and then when he finally does get there, in the first part of that section he refers to a CDO as a collateralized default obligation -- which kind of makes me wonder how accurate his physics diagrams etc. were. To make matters worse, if you're not a Finance major or investment professional, this section -- like the physics one -- is going to make very little sense to you. Be prepared for lots of technical terms and jargon and definitions that assume familiarity with certain concepts. If you didn't know what the CAPM, Efficient Market Hypothesis or Sharpe Ratio were before reading this book, I doubt Derman will help shed much light on these topics.

I gave this book 3 stars because at points, when it does come together, it's fascinating -- and I believe that his core thesis (that financial models are crap) is dead-on, not to mention refreshing. Unfortunately,the rest of the text is dry, usually pointless and meandering without a clear purpose. If this had been 100 pages and focused more upon investing/finance, I think this would be a 4 - 4.5 star book. As it stands, I can only offer my recommendation to people who have experience in Finance/markets, or to those with TONS of patience and the will to look up a lot of concepts on Investopedia.
13 von 14 Kunden fanden die folgende Rezension hilfreich
Save your money. glad i borrowed it from the library. 31. Januar 2012
Von S. Riley - Veröffentlicht auf
Format: Gebundene Ausgabe
only the last quarter of the book deals w/ financial models that caused the economic crisis. the rest is the author's life in south africa, basic physics, philosophy etc that have little to do w/ economics. odd book considering the author's impressive background.
18 von 21 Kunden fanden die folgende Rezension hilfreich
Readable but unfocused 24. Dezember 2011
Von A. Menon - Veröffentlicht auf
Format: Gebundene Ausgabe Verifizierter Kauf
Emanuel Derman is a very prominent former financial modeller who trained as a physicist. Models Behaving Badly is a combination of personal philosophy, practical reality and ethical retrospective. Each focus is readable and there is much personal experience shared which makes the book very personal, but the contents never really come together particularly well.

The book has three sections, Models, Models Behaving, and Models Behaving Badly. The author starts with a description of his childhood, describing how experience affects perspective, how people are not generally not objective about themselves. He discusses his youth in South African apartheid. The author spends a lot of time philosophizing about the nature of reality and the differences between physical theories and theories about human behaviour. He discusses Spinoza and the residualizing of human motivation to Pain, Pleasure and Desire. The author then discusses what I think most readers assumed what the book was about, financial models. In particular the failures of the Efficient Market Hypotheses and the non stationary behaviour of people and the recursiveness that prevents a theory of human behaviour to be possible. The book ends with a dissappointment in the lack of consequence faced by financial services despite the recession we are currently faced with.

I unfortunately learned very little from this book other than substance about the author's life. This is not because the book does not offer information, but rather because it only has a very light history of science discussion and shallow analysis of financial modelling failure. Economics has had the nickname of dismal science since the 19th century, its not new or shocking that the precise computations of current mathematical economists dont correspond to reality. On better practices for risk management Rebonato wrote Plight of the Fortune Tellers about the need for more commonsense risk management (in 2007 I might add). The authors comments about the ethical lapse of the industry should be well taken, though I would think the current transition that is currently taking place is not trivial nor shallow. This is a readable account of the author's philosophy, the history of classical and modern physics, and discussion of risk management ideas, it is not particularly insightful if one has knowledge of these fields though.
40 von 52 Kunden fanden die folgende Rezension hilfreich
Don't do this 13. Dezember 2011
Von Ignacio Chapela - Veröffentlicht auf
Format: Gebundene Ausgabe Verifizierter Kauf
Don't do what I did: if you are interested in any of the following, don't waste your money -and worse still, your time- with Derman's book:

What happened in 2008; how models lead people astray; what models are actually used in the financial world; "why confusing illusion with reality can lead to disaster on wall street and in life"; "the modeller's manifesto"; "the modeller's Hippocratic Oath".

I was. I also read, like you did, some internet review or comment on the book. I, like many of us who deal with science, also feel the urge to restore (or establish for the first time?) the ethical and moral keel to the listing ship of the Enlightment. I ordered the book.

What I got was promising: A well-bound book with generous paper and type-font. Nice, clean dust-jacket in bright off-white promised a measured, even conservative take on what should be a revolutionary or at the very least revealing statement of a book. I cracked it open and soon realized that I would have to go through some personal mythologizing by the author talking about his life among the white South African middle class: nothing to be scared by, it is always nice to learn where a revolutionary comes from.

Page after page, trouble crept upon me more like the subconscious realization of the fourth-tier "investor" in a pyramid scheme as he realizes that there may be no exit from it. By now I was more informed about the poorly archived memoir notes of a mediocre bean-counter (flashily described as a "quant", for "quantitave analyst") than I ever wanted to be, well past the middle of the book and still not at the beginning of any of my questions.

There are some interesting explanatory sections (again, badly collated among diversions on the author's warped descritpions of some models in physics) on the making of a financial model, and then, towards the end, some moralizing about things we all learned more clearly than here in any of the many movies about the financial meltdowns of our times. These good bits could have easily fitted in a short pamphlet. Just to crown the elephantine self-aggrandizing bore, we are treated to a grand-finale of the author's mixed-up confusions between college physics, cliff notes of his fave philosophers (Spinoza reigns supreme, which is not bad), and his own adolescence and adolescent professional life.

So, if you want to hear about those questions, like me, and if you must, just go for chapters 5 and 6, which really entails 200-139 = 61 skimpy pages of large font.

But I hope this comment will spare you the time and money. Don't do what I did.
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