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Statistical Consequences Of Fat Tails

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Statistical Consequences Of Fat Tails

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Author : Nassim Nicholas Taleb
language : en
Publisher:
Release Date : 2020-06-30

Statistical Consequences Of Fat Tails written by Nassim Nicholas Taleb and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-30 with categories.

The book investigates the misapplication of conventional statistical techniques to fat tailed distributions and looks for remedies, when possible. Switching from thin tailed to fat tailed distributions requires more than "changing the color of the dress." Traditional asymptotics deal mainly with either n=1 or n=∞, and the real world is in between, under the "laws of the medium numbers"-which vary widely across specific distributions. Both the law of large numbers and the generalized central limit mechanisms operate in highly idiosyncratic ways outside the standard Gaussian or Levy-Stable basins of convergence. A few examples: - The sample mean is rarely in line with the population mean, with effect on "naïve empiricism," but can be sometimes be estimated via parametric methods. - The "empirical distribution" is rarely empirical. - Parameter uncertainty has compounding effects on statistical metrics. - Dimension reduction (principal components) fails. - Inequality estimators (Gini or quantile contributions) are not additive and produce wrong results. - Many "biases" found in psychology become entirely rational under more sophisticated probability distributions. - Most of the failures of financial economics, econometrics, and behavioral economics can be attributed to using the wrong distributions. This book, the first volume of the Technical Incerto, weaves a narrative around published journal articles.

Statistical Consequences Of Fat Tails

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Author : Nassim Nicholas Taleb
language : en
Publisher:
Release Date : 2023-07-22

The monograph investigates the misapplication of conventional statistical techniques to fat tailed distributions and looks for remedies, when possible.Switching from thin tailed to fat tailed distributions requires more than "changing the color of the dress". Traditional asymptotics deal mainly with either n=1 or n=?, and the real world is in between, under of the "laws of the medium numbers" --which vary widely across specific distributions. Both the law of large numbers and the generalized central limit mechanisms operate in highly idiosyncratic ways outside the standard Gaussian or Levy-Stable basins of convergence.A few examples:+ The sample mean is rarely in line with the population mean, with effect on "naive empiricism", but can be sometimes be estimated via parametric methods.+ The "empirical distribution" is rarely empirical.+ Parameter uncertainty has compounding effects on statistical metrics.+ Dimension reduction (principal components) fails.+ Inequality estimators (GINI or quantile contributions) are not additive and produce wrong results.+ Many "biases" found in psychology become entirely rational under more sophisticated probability distributions+ Most of the failures of financial economics, econometrics, and behavioral economics can be attributed to using the wrong distributions.This book, the first volume of the Technical Incerto, weaves a narrative around published journal articles.

Dynamic Hedging

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Author : Nassim Nicholas Taleb
language : en
Publisher: John Wiley & Sons
Release Date : 1997-01-14

Dynamic Hedging written by Nassim Nicholas Taleb and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-01-14 with Business & Economics categories.

Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

Incerto

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Author : Nassim Nicholas Taleb
language : en
Publisher: National Geographic Books
Release Date : 2021-05-04

Incerto written by Nassim Nicholas Taleb and has been published by National Geographic Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-04 with categories.

The landmark five-book series--all together in one boxed set The Incerto is an investigation of opacity, luck, uncertainty, probability, human error, risk, and decision making when we don't understand the world, expressed in the form of a personal essay with autobiographical sections, stories, parables, and philosophical, historical, and scientific discussions, in non-overlapping volumes that can be accessed in any order. The main thread is that while there is inordinate uncertainty about what is going on, there is great certainty as to what one should do about it. This boxed set includes: FOOLED BY RANDOMNESS THE BLACK SWAN THE BED OF PROCRUSTES ANTIFRAGILE SKIN IN THE GAME

The Logic And Statistics Of Fat Tails

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Author : Nassim Nicholas Taleb
language : en
Publisher: Penguin Press
Release Date : 2019-04-04

The Logic And Statistics Of Fat Tails written by Nassim Nicholas Taleb and has been published by Penguin Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-04-04 with categories.

The Logic and Statistics of Fat Tails is the definitive source on fat-tailed distribution and an essential technical read for students, accountants and those working in finance.

The Fundamentals Of Heavy Tails

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Author : Jayakrishnan Nair
language : en
Publisher: Cambridge University Press
Release Date : 2022-06-09

The Fundamentals Of Heavy Tails written by Jayakrishnan Nair and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-06-09 with Business & Economics categories.

An accessible yet rigorous package of probabilistic and statistical tools for anyone who must understand or model extreme events.

Statistical Consequences Of Fat Tails

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Author : Nassim Nicholas Taleb
language : en
Publisher:
Release Date : 2023

Fooled By Randomness

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Author : Nassim Nicholas Taleb
language : en
Publisher: Penguin UK
Release Date : 2007-05-03

Fooled By Randomness written by Nassim Nicholas Taleb and has been published by Penguin UK this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-05-03 with Business & Economics categories.

'One of the smartest books of all time' Fortune Everyone wants to succeed in life. But what causes some of us to be more successful than others? Is it really down to skill and strategy - or something altogether more unpredictable? This book is the word-of-mouth sensation that will change the way you think about business and the world. It is all about luck- more precisely, how we perceive luck in our personal and professional experiences. Nowhere is this more obvious than in the markets - we hear an entrepreneur has 'vision' or a trader is 'talented', but all too often their performance is down to chance rather than skill. It is only because we fail to understand probability that we continue to believe events are non-random, finding reasons where none exist. This irreverent bestseller has shattered the illusions of people around the world by teaching them how to recognize randomness. Now it can do the same for you. Nassim Nicholas Taleb is a radical and paradoxical philosopher for our times. He has spent his life immersing himself in problems of luck, uncertainty, probability, and knowledge, and he has led three high-profile careers around his ideas, as a man of letters, as a businessman-trader, and as a university professor and researcher. He is currently Distinguished Professor of Risk Engineering at New York University's Polytechnic Institute. His books Fooled by Randomness and The Black Swan have been published in thirty-three languages. Taleb refuses all awards and honours as they debase knowledge by turning it into competitive sports.

Symmetric Multivariate And Related Distributions

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Author : Kai Wang Fang
language : en
Publisher: CRC Press
Release Date : 2018-01-18

Symmetric Multivariate And Related Distributions written by Kai Wang Fang and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-01-18 with Mathematics categories.

Since the publication of the by now classical Johnson and Kotz Continuous Multivariate Distributions (Wiley, 1972) there have been substantial developments in multivariate distribution theory especially in the area of non-normal symmetric multivariate distributions. The book by Fang, Kotz and Ng summarizes these developments in a manner which is accessible to a reader with only limited background (advanced real-analysis calculus, linear algebra and elementary matrix calculus). Many of the results in this field are due to Kai-Tai Fang and his associates and appeared in Chinese publications only. A thorough literature search was conducted and the book represents the latest work - as of 1988 - in this rapidly developing field of multivariate distributions. The authors are experts in statistical distribution theory.

Statistical Theory And Modeling For Turbulent Flows

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Author : P. A. Durbin
language : en
Publisher: John Wiley & Sons
Release Date : 2011-06-28

Statistical Theory And Modeling For Turbulent Flows written by P. A. Durbin and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-28 with Science categories.

Providing a comprehensive grounding in the subject of turbulence, Statistical Theory and Modeling for Turbulent Flows develops both the physical insight and the mathematical framework needed to understand turbulent flow. Its scope enables the reader to become a knowledgeable user of turbulence models; it develops analytical tools for developers of predictive tools. Thoroughly revised and updated, this second edition includes a new fourth section covering DNS (direct numerical simulation), LES (large eddy simulation), DES (detached eddy simulation) and numerical aspects of eddy resolving simulation. In addition to its role as a guide for students, Statistical Theory and Modeling for Turbulent Flows also is a valuable reference for practicing engineers and scientists in computational and experimental fluid dynamics, who would like to broaden their understanding of fundamental issues in turbulence and how they relate to turbulence model implementation. Provides an excellent foundation to the fundamental theoretical concepts in turbulence. Features new and heavily revised material, including an entire new section on eddy resolving simulation. Includes new material on modeling laminar to turbulent transition. Written for students and practitioners in aeronautical and mechanical engineering, applied mathematics and the physical sciences. Accompanied by a website housing solutions to the problems within the book.

Statistical Consequences Of Fat Tails

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