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Category Archives: Papers

Syria and the Statistics of War | Medium

Trust none of what you hear, some of what you read, half of what you see goes an old trader adage. As a trader and quant/mathematical statistician, I have been taught to take data seriously, trust nobody’s numbers, and avoid people naive enough to engage in policy based on lurid but questionable pictures of destruction: […]

Formalization of the Barbell…

Formalization of the Barbell: finally submitted paper to a journal specialized in information theory. Tail Risk Constraints and Maximum Entropy pdf

On the Super-Additivity and Estimation Biases of Quantile Contributions

On the Super-Additivity and Estimation Biases of Quantile Contributions Nassim N Taleb, Raphael Douady (Submitted on 8 May 2014 (v1), last revised 12 Nov 2014 (this version, v3)) Sample measures of top centile contributions to the total (concentration) are downward biased, unstable estimators, extremely sensitive to sample size and concave in accounting for large deviations. […]

Response to review by Trevor Charles re: Precautionary Principle | NECSI

A few days ago, Trevor Charles posted a review of our paper entitled “The Precautionary Principle (with Application to the Genetic Modification of Organisms)”. Here we provide a response. Thank you for the review of our paper. We will provide a point by point response below to your comments. Since you have focused on biological […]

Mapping Payoffs (pdf)

This is a mathematical-legal attempt at formally mapping payoffs and assessing their memberships in precisely defined classes. By legal we mean as expressed explicitly in a codified term sheet, legal contract, or formal legal code, which naturally converge to the mathematical definitions. The aims is showing the impossibility of verbalistic discussion of risk and exposures […]