A sketch of why regression analyses don’t work under fat tails.https://dl.dropboxusercontent.com/u/50282823/regression.pdf via A sketch of why regression analyses… – Nassim Nicholas Taleb | Facebook.
Friends, nitpickers are welcome (truly welcome) for the technical work. I posted the first 2 chapters of my textbook style document. www.fooledbyrandomness.com/textbook.pdf via Friends, nitpickers… | Facebook.
Friends, let us help Spyros Makridakis by nitpicking his paper showing why hypertension is overtreated & busting medical myths. All comments are welcome. www.fooledbyrandomness.com/makridakis.pdf via Friends, let us… | Facebook.
Friends, the new project: a linear TEXTBOOK on risk and antifragility. I am putting all the relevant technical papers in linear textbook form. To bust current econometrics and similar frauds, and suggest replacement I need to put it in a complete technical textbook-style format targeted at the new generation of students in statistics econometrics, risk, [...]
Thursday, February 28, 2013
Took advantage of a misleading but positive review in Nature to compress in a short comment my entire idea of antifragility, something reviewers were not getting, hence spreading a mischaracterized version of it.http://www.fooledbyrandomness.com/nature-definition.pdf via Took advantage of a… | Facebook.
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 [...]
Friends, my collaborator Spyros Makridakis (the debunker of statistical myths) has a piece on hypertension. This is open for discussion: http://www.fooledbyrandomness.com/makridakis.pdf via Friends, my… | Facebook.
Thursday, December 13, 2012
For those of you who write books, here is a statistical way to predict sales from ranking. (I did some technical work to smooth out the book tour, which is now finished). http://www.fooledbyrandomness.com/Rankbooksales.pdf via For those of you… | Facebook.
Tuesday, November 27, 2012
To relax from journalists finished this paper on British Air: No, Small Probabilities Are Not “Attractive to Sell”: A Comment http://www.fooledbyrandomness.com/Ilmanen.pdf Comments welcome. via To relax from… | Facebook.
Thursday, November 22, 2012
A technical note on predictions: why political predictions work, not economic ones.http://www.fooledbyrandomness.com/binaries.pdf via A technical note on… | Facebook.
Monday, November 12, 2012
The FIRST book Review. The guy got it. http://www.fooledbyrandomness.com/EdSmith.pdf If you’re a The Times subscriber, you can read the review here.via The FIRST book… | Facebook.
Monday, November 12, 2012
A 3 sentence rebuttal of a >2000 words piece by Pinker.http://www.fooledbyrandomness.com/pinkerrebuttal.pdf And the 3 sentences: Pinker’s Rebuttal of My NoteNassim Nicholas TalebPinker has written a rebuttal (ad hominem blather, if he had a point he would have written something 13 of my comment, not 3 x the words). Hestill does not understand the difference between [...]
Friends, for discussion. I am collaborating with Scott Atran on a piece debunking the LONG PEACE argument. Here are my points. www.fooledbyrandomness.com/longpeace.pdf via Friends, for… | Facebook.
Wednesday, October 31, 2012
Extreme Value Theory: Fughetaboudit http://www.fooledbyrandomness.com/EVT.pdf via Extreme Value… | Facebook.
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 [...]
Saturday, October 20, 2012
The pdf is actually called Econfragilize (The book isn’t actually out until late November, but Taleb posted this appendix, entitled WHERE MOST ECONOMIC MODELS FRAGILIZE AND BLOW PEOPLE UP, on his website today.) The problem is that the economic data forecasts the government uses to plan its budget around – like where unemployment will be [...]
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. [...]
Seems the paper NNT published the other day Spurious Tail.pdf is causing quite a stir. A lot of it [Time, CNBC, WSJ] is just so much financial news filler, but certainly a Felix Salmon post deserves our attention. The professions you really want to avoid, after reading Taleb’s paper, are not financial but rather creative. [...]
Wednesday, August 15, 2012
Why it is no longer a good idea to be in the investment industry. http://www.fooledbyrandomness.com/spurioustail.pdf via Why it is no longer… | Facebook.
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 [...]
Friends, the notes are here: http://www.fooledbyrandomness.com/appendixnotes.pdf via Friends, the notes… | Facebook.
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