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Tag Archives: SSRN

A bit technical, but the paper on measure of concentration under fat tails…

A bit technical, but the paper on measure of concentration under fat tails –just finished — also mentions Pinker’s mistakes in “The Better Angel”, but dismissing Pinker’s thesis and conclusions from microscopic sample for fat tails doesn’t require more than one single sentence. We had to add two theorems so people don’t counter us with […]

Four Points Beginner Risk Managers Should Learn from Jeff Holman’s Mistakes in the Discussion of Antifragile by Nassim Nicholas Taleb :: SSRN

Four Points Beginner Risk Managers Should Learn from Jeff Holman’s Mistakes in the Discussion of Antifragile Nassim Nicholas TalebNew York University; Université Paris I Panthéon-Sorbonne – Centre d’Economie de la Sorbonne (CES)December 16, 2013 Abstract:Using Jeff Holman’s comments in Quantitative Finance to illustrate 4 critical errors students should learn to avoid: 1) Mistaking tails (4th […]

Mathematical Definition, Mapping, and Detection of (Anti)Fragility by Nassim Nicholas Taleb, Raphael Douady :: SSRN

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 to psychological notions […]

On the Difference between Binary Prediction and True Exposure with Implications for Forecasting Tournaments and Decision Making Research | SSRN

Revision On the Difference between Binary Prediction and True Exposure with Implications for Forecasting Tournaments and Decision Making Research Nassim Nicholas Taleb NYU-Poly; Université Paris I Panthéon-Sorbonne – Centre d’Economie de la Sorbonne (CES) Philip E. Tetlock University of California, Berkeley – Organizational Behavior & Industrial Relations Group; University of Pennsylvania – Management Department June […]

On the Difference between Binary Prediction and True Exposure With Implications for Forecasting Tournaments and Prediction Markets by Nassim Nicholas Taleb, Philip E. Tetlock :: SSRN

On the Difference between Binary Prediction and True Exposure With Implications for Forecasting Tournaments and Prediction Markets Nassim Nicholas Taleb NYU-Poly; Université Paris I Panthéon-Sorbonne – Centre d’Economie de la Sorbonne (CES) Philip E. Tetlock University of California, Berkeley – Organizational Behavior & Industrial Relations Group; University of Pennsylvania – Management Department June 25, 2013 […]