When someone tells you it was a 10 sigma event, meaning it is 10 standard deviations and it is Gaussian; unless the information came from God, you can reject the Gaussian distribution for that domain. We show the derivations.
This is extracted from my book.
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Nassim Nicholas Taleb, scientific adviser at Universa Investments, discusses risks facing financial markets, U.S. monetary policy and his concerns about deficits with Bloomberg’s Erik Schatzker at the SALT Conference in Las Vegas on “Bloomberg Markets: The Close.” (Source: Bloomberg)
Link to video – https://www.bloomberg.com/news/videos/2019-05-09/taleb-says-fed-should-do-minimum-harm-and-expresses-his-concerns-about-deficits-video
How the correlation of subsections will be lower than the total (in absolute value). With implications for “empirical” research.
Link to PDF – https://www.dropbox.com/s/18pjy7gmz0hl6q7/Correlation.pdf?dl=1
Free copy of the paper – https://arxiv.org/pdf/1802.05495.pdf
Nassim’s Lecture is titled Fractal Localism: On the scale and dynamics of bottom-up societies (conversation with Branko Milanovic)
5-7 April 2019
Belgrade at the Kolarac Concert Hall
…Link to more details
Link to YouTube video – https://www.youtube.com/watch?v=szXf0VLuQLg