發表於2025-06-05
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 下載 mobi pdf epub txt 電子書 格式 2025
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評分 評分 評分##看瞭這本書,我給齣瞭四星的評價,之所以沒給五星,不是因為書寫的不好,而是因為這本書是閤著的,這讓全書的筆法和銜接略有瑕疵。但這不影響本書在量化領域的學術價值,這本書做為塔勒布量化係列作品的開山之作,主要闡述的是底層數學。 先來聊一聊作者塔勒布,這也是大神一樣...
評分##“黑天鵝”、“反脆弱”,都已經成為現在的流行詞匯,而他它們的思想也指引著越來越多的人重新審視我們現在的社會,用它們的思想指引著我們在不確定的社會中增加些許的確定性。 而這些詞匯都是來自於思想者納西姆·尼古拉斯·塔勒布,他一直緻力於對於“不確定性”的論述,給我...
Statistical Consequences of Fat Tails mobi epub pdf txt 電子書 格式下載 2025