Link to Paper – academia.edu/41442347/Informational…
Category: Twitter
Paper: On single point forecasts for fat-tailed variables
Abstract
We discuss common errors and fallacies when using naive “evidence based” empiricism and point forecasts for fat-tailed variables, as well as the insufficiency of using naive first-order scientific methods for tail risk management.
We use the COVID-19 pandemic as the background for the discussion and as an example of a phenomenon characterized by a multiplicative nature, and what mitigating policies must result from the statistical properties and associated risks. In doing so, we also respond to the points raised by Ioannidis et al. (2020).
Link to Paper – sciencedirect.com/science/article/pii/…
Nassim posts a symposium on risk parity on Twitter
The world’s Pseudosophistication & Misallocation of Resources have been Increasing
Bloomberg: Black Swan Author Spars With Quant Legend Over Tail Risk Hedges
“Black Swan” author Nassim Nicholas Taleb and quant investing pioneer Cliff Asness have engaged in a vitriolic Twitter dispute over the esoteric world of tail-risk hedging that descended into personal insults.
The spat began when Taleb sent a pair of tweets accusing the $143 billion AQR Capital Management LLC of issuing flawed reports that say tail-risk hedging doesn’t work.
Link to Bloomberg article: Black Swan Author Spars With Quant Legend Over Tail Risk Hedges
The only man who has a clue about the Coronavirus Pandemic
Link to original article – Taleb: The Only Man Who Has A Clue
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Uncertainty, Certainty and what to do when there is Systemic Risk
Third conversation between Nassim Nicholas Taleb & Yaneer Bar-Yam about uncertainty, certainty and what to do when there is a systemic risk; what not to do when a truck is headed your way. How acting early would have cost less? They also discuss:
- John Ioannidis recent post “we are making decisions without reliable data”
- Why we should make decisions without reliable data & use precautionary principles
- How the costs would be so much smaller if we would have acted earlier.
Jan 26 Coronavirus Paper (PDF) – Joseph Norman, Yaneer Bar-Yam, and Nassim Nicholas Taleb, Systemic risk of pandemic via novel pathogens – Coronavirus: A note, New England Complex Systems Institute (January 26, 2020).
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How long will the Coronavirus shutdown take?
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Nassim explains the Kelly criterion
Nassim explains the Kelly criterion and illustrates why “risk aversion” in Behavioral Finance is Micky Mouse(™) Science.
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Transcription of Nassim’s lecture at Academy of Sciences Leopoldina on how RISK & PARANOIA are misunderstood by psychologists & BS vendors
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