前言 神秘的西蒙斯

1. “Seed Interview: James Simons,” Seed, September 19, 2006.

2. Gregory Zuckerman, Rachel Levy, Nick Timiraos, and Gunjan Banerji, “Behind the Market Swoon: fte Herdlike Behavior of Computerized Trading,” Wall Street Journal, December 25, 2018.

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第1章 学数学赚不到钱吗

1. D. T. Max, “Jim Simons, the Numbers King,” New Yorker, December 11, 2017.

2. James Simons, “Dr. James Simons, S. Donald Sussman Fellowship Award Fireside Chat Series. Chat 2,” interview by Andrew Lo, March 6, 2019.

第2章 让每年收益超过50%的交易方法

1. James Simons, “Mathematics, Common Sense, and Good Luck” (lecture, Ameri- can Mathematical Society Einstein Public Lecture in Mathematics, San Francisco, CA, October 30, 2014).

2. Lee Neuwirth, Nothing Personal: The Vietnam War in Princeton 1965–1975(Charles- ton, SC: BookSurge, 2009).

3. James Simons, “Simons Foundation Chair Jim Simons on His Career in Mathe- matics,” interview by Jeff Cheeger, Simons Foundation, September 28, 2012, https://www.simonsfoundation.org/2012/09/28/simons-foundation-chair-jim-simons-on-his-career-in-mathematics.

4. Simons, “On His Career in Mathematics.”

第3章 一定有办法对价格建模

1. Simons, “Mathematics, Common Sense, and Good Luck.”

2. William Byers, How Mathematicians Think: Using Ambiguity, Contradiction, and Paradox to Create Mathematics (Princeton, NJ: Princeton University Press, 2007).

3. Private papers from Lenny Baum, provided by his family.

4. Richard Teitelbaum, “fte Code Breaker,” Bloomberg Markets, January 2008.

5. James Simons, “Jim Simons Speech on Leonard E. Baum” (speech, Leonard E. Baum Memorial, Princeton, NJ, August 15, 2017).

6. Simons, “On His Career in Mathematics.”

7. Simons, “Jim Simons Speech on Leonard E. Baum.”

第4章 一场投资革命蓄势待发

1. Byers, How Mathematicians Think.

第5章 大奖章诞生,致敬曾经获得的数学奖章

1. James R. Hagerty and Gregory Zuckerman, “Math Wizard Elwyn Berlekamp Helped Bring Sharp Images from Outer Space,” Wall Street Journal, May 1, 2019.

2. Brian Keating, Losing the Nobel Prize: A Story of Cosmology, Ambition, and the Perils of Science’s Highest Honor (New York: W. W. Norton, 2018).

第6章 神奇公式,在高频交易中盈利

1. James B. Stewart, Den of Thieves (New York: Simon & Schuster, 1991).

第7章 宽客们的金融工程

1. Geoffrey Poitras, The Early History of Financial Economics, 1478–1776: From Com- mercial Arithmetic to Life Annuities and Joint Stocks (Cheltenham, UK: Edward Elgar, 2000).

2. Mark Putrino, “Gann and Gann Analysis,” Technical Analysis of Stocks & Com- modities, September 2017.

3. Brian Stelter, “Gerald Tsai, Innovative Investor, Dies at 79,” New York Times, July 11, 2008; John Brooks, The Go-Go Years: The Drama and Crashing Finale of Wall Street’s Bullish 60s (New York: Weybright and Talley, 1973).

4. Andrew W. Lo and Jasmina Hasanhodzic, The Evolution of Technical Analysis: Fi- nancial Prediction from Babylonian Tablets to Bloomberg Terminals (Hoboken, NJ: John Wiley & Sons, 2010).

5. Douglas Bauer, “Prince of the Pit,” New York Times, April 25, 1976.

6. Emanuel Derman, My Life as a Quant: Reflections on Physics and Finance(Hoboken, NJ: John Wiley & Sons, 2004).

7. Edward O. ftorp, A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market (New York: Random House, 2017).

8. Scott Patterson, The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It (New York: Crown Business, 2010).

9. Patterson, The Quants.

10. Michelle Celarier, “How a Misfit Group of Computer Geeks and English Majors Transformed Wall Street,” New York, January 18, 2018, http://nymag.com/intel ligencer/2018/01/d-e-shaw-the-first-great-quant-hedge-fund.html.

11. Hal Lux, “Secretive D. E. Shaw & Co. Opens Doors for Customers’ Business,” Investment Dealers’ Digest, November 15, 1993.

12. G. Bruce Knecht, “Wall Street Whiz Finds Niche Selling Books on the Internet,” Wall Street Journal, May 16, 1996.

第8章 只用单一的交易模型

1. Ingfei Chen, “A Cryptologist Takes a Crack at Deciphering DNA’s Deep Secrets,” New York Times, December 12, 2006.

2. John F. Greer Jr., “Simons Doesn’t Say,” Financial World, October 21, 1996.

第9章 挖角IBM,招揽最优秀的人才

1. Peter Lynch, “Pros: Peter Lynch,” interview with Frontline, PBS, May 1996, www.pbs.org/wgbh/pages/frontline/shows/betting/pros/lynch.html; and Peter Lynch with John Rothchild, One Up on Wall Street (New York: Simon & Schuster, 2000).

2. Sebastian Mallaby, More Money Than God: Hedge Funds and the Making of a New Elite (New York: Penguin Press, 2010).

3. Michael Coleman, “Influential Conservative Is Sandia, UNM Grad,” Albuquerque Journal, November 5, 2017, https://www.abqjournal.com/1088165/influential-conservative-is-sandia-unm-grad-robert-mercer-trump-fundraiser-breitbart-investor-has-nm-roots.html.

4. Robert Mercer, “A Computational Life” (speech, Association for Computational Linguistics Lifetime Achievement Award, Baltimore, Maryland, June 25, 2014).

5. Stephen Miller, “Co-Inventor of Money-Market Account Helped Serve Small In- vestors’ Interest,” Wall Street Journal, August 16, 2008.

6. Feng-Hsiung Hsu, Behind Deep Blue: Building the Computer That Defeated the World Chess Champion (Princeton, NJ: Princeton University Press, 2002).

第10章 拯救Nova基金

1. Peter Brown and Robert Mercer, “Oh, Yes, Everything’s Right on Schedule, Fred” (lecture, Twenty Years of Bitext Workshop, Empirical Methods in Natural Lan- guage Processing Conference, Seattle, Washington, October 2013), http://cs.jhu.edu/~post/bitext.

第11章 永远不要完全相信一个模型

1. Hal Lux, “The Secret World of Jim Simons,” Institutional Investor, November 1, 2000, https://www.institutionalinvestor.com/article/b151340bp779jn/the-secret-world-of-jim-simons.

2. Robert Mercer interviewed by Sharon McGrayne for her book, The Theory Would Not Die: How Bayes’ Rule Cracked the Enigma Code, Hunted Down Russian Subma- rines, and Emerged Triumphant from Two Centuries of Controversy (New Haven, CT: Yale University Press, 2011).

3. Brown and Mercer, “Oh, Yes, Everything’s Right on Schedule, Fred.”

4. Jason Zweig, “Data Mining Isn’t a Good Bet for Stock-Market Predictions,” Wall Street Journal, August 8, 2009.

5. Lux, “The Secret World of Jim Simons.”

6. Robert Lipsyte, “Five Years Later, A Female Kicker’s Memorable Victory,” New York Times, October 19, 2000.

7. Roger Lowenstein, When Genius Failed: The Rise and Fall of Long-Term Capital Management (New York: Random House, 2000).

8. Suzanne Woolley, “Failed Wizards of Wall Street,” BusinessWeek, September 21, 1998.

9. Timothy L. O’Brien, “Shaw, Self-Styled Cautious Operator, Reveals It Has a Big Appetite for Risk,” New York Times, October 15, 1998.

10. Abuse of Structured Financial Products: Misusing Basket Options to Avoid Taxes and Leverage Limits: Hearings before the Permanent Subcommittee on Investigations of the Committee on Homeland Security and Governmental Affairs, 113th Congress (2014) (statement of Peter Brown, Chief Executive Officer, Renaissance Technologies).

第12章 大奖章基金清退外部持有人

1. McGrayne, The Theory That Would Not Die: How Bayes’ Rule Cracked the Enigma Code, Hunted Down Russian Submarines, and Emerged Triumphant from Two Centu- ries of Controversy.

2. Lux, “fte Secret World of Jim Simons.”

3. Abuse of Structured Financial Products (statement of Peter Brown).

4. Katherine Burton, “Inside a Moneymaking Machine Like No Other,” Bloomberg, November 21, 2016.

5. George Gilder, Life after Google: The Fall of Big Data and the Rise of the Blockchain Economy (Washington, DC: Regnery Gateway, 2018).

6. Simon Van Zuylen-Wood, “The Controversial David Magerman,” Philadelphia Magazine, September 13, 2013.

7. Scott Patterson and Jenny Strasburg, “Pioneering Fund Stages Second Act,” Wall Street Journal, March 16, 2010.

8. Zachary Mider, “What Kind of Man Spends Millions to Elect Ted Cruz?” Bloomberg, January 20, 2016.

9. William J. Broad, “Seeker, Doer, Giver, Ponderer,” New York Times, July 7, 2014.

第13章 启动RIEF,做长期交易

1. Christine Williamson, “Renaissance Believes Size Does Matter,” Pensions & Invest- ments, November 27, 2006.

2. Patterson, The Quants.

3. Gregory Zuckerman, The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History (New York: Broadway Books, 2009).

4. Tae Kim, “Billionaire David Einhorn Says the Key to Investing Success Is ‘Critical ftinking,’” CNBC, December 26, 2017, https://www.cnbc.com/2017/12/26/david-einhorn-says-the-key-to-investing-success-is-critical-thinking.html.

5. Susan Pulliam and Jenny Strasburg, “Simons Questioned by Investors,” Wall Street Journal, May 15, 2009.

第14章 在50.75%的机会中做到百分之百正确

1. Alice Walker, “Billionaire Mathematician Jim Simons Parks £75 million Super Yacht during Tour of Scotland,” Scottish Sun, July 15, 2018.

2. Simons, “On His Career in Mathematics.”

3. Van Zuylen-Wood, “The Controversial David Magerman.”

4. Ryan Avent, “If It Works, Bet It,” Economist, June 14, 2010.

5. James Simons, “My Life in Mathematics” (lecture, International Congress of Mathematics, Seoul, South Korea, August 13, 2014).

6. John Marzulli, “Hedge Fund Hotshot Robert Mercer Files Lawsuit over $2M Model Train, Accusing Builder of Overcharge,” New York Daily News, March 31, 2009.

7. Patterson and Strasburg, “Pioneering Fund Stages Second Act.”

8. Joshua Green, Devil’s Bargain: Steve Bannon, Donald Trump, and the Storming of the Presidency (New York: Penguin Press, 2017).

9. Mider, “Ted Cruz?”

第15章 一切都是为了公司

1. Gregory Zuckerman, “Renaissance Feud Spills Over to Hedge Fund Poker Night,” Wall Street Journal, April 28, 2017.

第16章 量化投资的未来

1. “Morningstar Reports US Mutual Fund and ETF Fund Flows for April 2019,”PR Newswire, May 17, 2019.

2. Gregory Zuckerman, “Architect of Greatest Trade Ever Hit by Losses, Redemp- tions Postcrisis,” Wall Street Journal, April 27, 2018.

3. Gregory Zuckerman, “‘This Is Unbelievable’: A Hedge Fund Star Dims, and Inves- tors Flee,” Wall Street Journal, July 4, 2018.

4. Gregory Zuckerman and Kirsten Grind, “Inside the Showdown Atop PIMCO, the World’s Biggest Bond Firm,” Wall Street Journal, February 24, 2014.

5. George Budwell, “Why Geron Corporation’s Stock Is Charging Higher Today,” Motley Fool, August 28, 2018.

6. Data based on report by TABB Group.

7. Nathan Vardi, “Running the Numbers,” Forbes, April 30, 2019.

8. “The Four Vs of Big Data,” infographic, IBM Big Data & Analytics (website), https://www.ibmbigdatahub.com/sites/default/files/infographic_file/4-Vs-of-big-data.jpg?cm_mc_uid=16172304396014932905991&cm_mc_sid_50200000=1494235431&cm_mc_sid_52640000=1494235431.

9. Bradley Hope, “Five Ways Quants Are Predicting the Future,” Wall Street Journal, April 1, 2015.

10. Richard Dewey, “Computer Models Won’t Beat the Stock Market Any Time Soon,” Bloomberg, May 21, 2019.

11. Aruna Viswanatha, Bradley Hope, and Jenny Strasburg, “‘Flash Crash’ Charges Filed,” Wall Street Journal, April 21, 2015.

12. Robin Wigglesworth, “Goldman Sachs’ Lessons from the ‘Quant Quake,’” Finan- cial Times, September 3, 2017, https://www.ft.com/content/fdfd5e78-0283-11e7-aa5b-6bb07f5c8e12.s

13. “Seed Interview: James Simons.”

14. Marcus Baram, “fte Millionaire Critic Who Scared Facebook Now Wants to Help ‘Fix the Internet,’” Fast Company, December 11, 2018.

15. Baram, “The Millionaire Critic Who Scared Facebook.”

16. Richard Henderson, “Renaissance Founder Says Hedge Fund Has Overcome Trump Tension,” Financial Times, March 15, 2019, https://www.ft.com/content/7589277c-46d6-11e9-b168-96a37d002cd3.

后记 我们拥有很多运气

1. Gary Robbins, “UCSD Gets $40 Million to Study Infancy of the Universe,” San Diego Union-Tribune, May 12, 2016, https://www.sandiegouniontribune.com/news/science/sdut-ucsd-simons-telescopes-2016may12-story.html.