Statistical Consequences of Fat Tails

Statistical Consequences of Fat Tails 下载 mobi epub pdf 电子书 2025


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Nassim Nicholas Taleb

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发表于2025-06-05

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STEM Academic Press 2020-6-30 9781544508054


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Nassim Nicholas Taleb spent 20 years as a derivatives and mathematical trader before starting his second career in applied probability. He is the author of 5-volume Incerto, an essay on uncertainty, published in 40 languages–with parallel journal articles and technical commentaries of which this book is an organized compilation. Taleb is currently Distinguished Professor of Risk Engineering at the Tandon School of Engineering of New York University and a (passive) principal of Universa Investments. The only prize he has accepted in recent decades in the Wolfram Research Innovation Award for work on computational approaches to nonstandard probability distributions, particularly preasymptotics

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 下载 mobi epub pdf txt 电子书 格式

Statistical Consequences of Fat Tails mobi 下载 pdf 下载 pub 下载 txt 电子书 下载 2025

Statistical Consequences of Fat Tails 下载 mobi pdf epub txt 电子书 格式 2025

Statistical Consequences of Fat Tails 下载 mobi epub pdf 电子书
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精彩绝伦!感谢公众号 SerendipityCamp的读书笔记!

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你相信:历史上极少数极端事件的影响会超过绝大多数平常事件吗? 比如2013年的非典,2019年的新冠…… 比如1987年的黑色星期一,2008年的全球金融危机…… 如果你认同这一观点,那其实代表你已经初步懂得了肥尾效应。 什么是肥尾效应呢? 这一概念是指极端行情发生的机率增加,...  

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