Tuesday, January 29, 2013
No, Small Probabilities are Not ‘Attractive to Sell’: A Comment (revised)Nassim Nicholas TalebNYU-PolyJanuary 5, 2013Financial Analysts Journal, ForthcomingAbstract: Owing to the convexity of the payoff of out-of-the money options, an extremely small probability of a large deviation unseen in past data justifies rationally buying them, or at least justifies excessive caution in not being exposed [...]
No, Small Probabilities are Not ‘Attractive to Sell’: A CommentNassim Nicholas TalebNYU-PolyJanuary 5, 2013Financial Analysts Journal, Forthcoming Abstract: Owing to the convexity of the payoff of out-of-the money options, an extremely small probability of a large deviation unseen in past data justifies rationally buying them, or at least justifies excessive caution in not being exposed [...]
Wednesday, October 24, 2012
Recently updated. Abstract: We provide a mathematical definition of fragility and antifragility as negative or positive sensitivity to a semi-measure of dispersion and volatility a variant of negative or positive “vega” and examine the link to nonlinear effects. We integrate model error and biases into the fragile or antifragile context. Unlike risk, which is linked [...]
Wednesday, October 3, 2012
Abstract: This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be misleading in [...]
Wednesday, October 3, 2012
If you have something crucial to say, write a very, very short paper.http://www.fooledbyrandomness.com/minexponents.pdf via If you have… | Facebook.
A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing Abstract Pdf A better approach, according to Taleb and his IMF co-authors Elie Canetti, Tidiane Kinda, Elena Loukoianova, and Christian Schmeider, is to measure the difference between outcomes arising from different scenarios instead of focusing on the estimates of potential losses themselves. [...]
Wednesday, August 8, 2012
Just noticed that some of NNT’s scholarly papers have been updated on the SSRN site. For example… The Illusion of Thin-Tails Under AggregationJournal of Investment Management, ForthcomingTaleb, Nassim NicholasMartin, George A.Last Revised: 22 Apr 12 It is assumed that while portfolio theory fails with daily returns, that it would work with yearly returns, an standard [...]
Just a reminder that NNT publishes his technical papers and makes them available for download (for personal use) for free. and Backup Material for The Uncertainty Collection (Antifragile, The Black Swan, Fooled by Randomness,The Bed of Procrustes) -complete 300+ pp. book freely available (includes sections from doctoral thesis)
The Illusion of Thin-Tails Under Aggregation Nassim Nicholas Taleb NYU-Poly George A. Martin Posted:19 Jan 12 Last Revised:22 Apr 12 How to Prevent Other Financial Crises Nassim Nicholas Taleb NYU-Poly George A. Martin Posted:27 Mar 12 via SSRN Author Page for Nassim Nicholas Taleb.
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Just to remind you that NNT’s professional papers are also hosted at SSRN and are frequently revised. How to Prevent Other Financial Crises | Show Abstract | Download | School of Advanced International Studies Review, Forthcoming Accepted Paper Series Nassim Nicholas Taleb NYU-Poly George A. Martin affiliation not provided to SSRN [...]
From NNT’s Home Page. I’m pretty sure this is new. How to Avoid Other Crises (Forthcoming, SAIS Review) (NEW) Nassim Nicholas Taleb and George A. Martin via Nassim N. Taleb Home & Professional Page.
Thursday, February 16, 2012
Wow! 223 pages of Nassim Taleb’s technical papers in one pdf. This was made known to us through NNT”s website.View or download here.
Saturday, January 21, 2012
The Illusion of Thin-Tails Under Aggregation Nassim Nicholas Taleb NYU-Poly George A. Martin affiliation not provided to SSRN January, 18 2012 Abstract: It is assumed that while portfolio theory fails with daily returns, that it would work with yearly returns, an standard argument recently repeated in Treynor (2011). This paper debunks the confusion that daily [...]
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The Ethics Section (Skin in the Game) http://www.fooledbyrandomness.com/ethics1.pdf www.fooledbyrandomness.com via The Ethics Section… | Facebook.
Abstract: The notion of antifragility, an attribute of systems that makes them thrive under variable conditions, has recently been proposed by Nassim Taleb in a business context. This idea requires the ability of such systems to ‘tinker’, i.e., to creatively respond to changes in their environment. A fairly obvious example of this is natural selection-driven [...]
A link from NNT’s homepage. Chapter 4. Thales’ Secret, or The Intelligence of Antifragility (pdf) I landed early (once) — A simple heuristic to get an inheritance — Where we discuss the idea of doing instead place of walking the Great Walk — Where the philosophers’ stone was staring at us — ideas matter less [...]
Wednesday, October 12, 2011
The Problem is Beyond Psychology: The Real World is More Random than Regression Analyses
Nassim Nicholas Taleb NYU-PolyDaniel G. Goldstein London Business School
International Journal of Forecasting, Forthcoming
Abstract:
Where t…
Nassim Taleb’s scholarly papers are hosted at SSRN and are free to download.
Thanks friends! The paper is here.http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1850428The Future Has Thicker Tails than the Past: Model Error as Branching Counterfactuals by Nassim Talebpapers.ssrn.comEx ante predicted outcomes should be interpre…
The Future Has Thicker Tails than the Past: Model Error as Branching Counterfactuals
Nassim Nicholas Taleb NYU-Poly
May 23, 2011
Abstract:
Ex ante predicted outcomes should be interpreted as counterfactuals (potential histories), …
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Revised 10/22/10
Antifragility, Robustness, and Fragility, Inside the ‘Black Swan’ Domain
Nassim Nicholas Taleb NYU-Poly
September 2010
Abstract:
This discussion makes the distinction inside the Fourth Quadrant …
Shared by JohnH
Revision
Statistical Undecidability
Raphael Douady RiskdataNassim Nicholas Taleb NYU-Poly
October 12, 2010
Abstract:
Using the metadistribution of possible distributions for a given measure, we define a conditi…
Tuesday, November 10, 2009
Shared by JohnH
Links to download site.
The Risk Externalities of Too Big to FailNassim Nicholas Taleb NYU-Poly InstituteCharles S. Tapiero NYU Poly – Department of Finance and Risk EngineeringNovember 1, 2009Abstract: This paper examines…
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