Average rating 4.38 ·
· 85 ratings · 9 reviews

Start your review of Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications
Ive just started reading this, and wanted to say TYPOS before I forgot. Not that I could forget, theres one every couple of pages. Which is annoying, as there is clearly good stuff in here, from which this detracts  those formulae that I cant quite follow through, is that a typo, an error by the author, or just me being dim? Hmm... I shall report more as I get further in...
Right, weve finished it now. Taleb is certainly opinionated  very opinionated about other people and their views, at t
...moreRead the preprint. Blew my mind. This was for me a better explanation of NNT’s messages than his pure prose books if you have a good background on statistics and random processes.
It was extremely illuminating. I come from having a background in data science and I was in the middle of a project that involved portfolio optimization theory. This book taught me the limits of this theory quite well. Of course, this book is a lot more general than that, so you can expect to find it useful for whatever you are doing, as long as you want to learn about the limits of the statistics that is typically learned and used within your domain. However, I must say that I found this book e ...more
Most of the math went over my head (its the *technical* Incerto after all) but the non math content alone is worth it.
Might reread after acquiring more stats/math/quant knowledge
...moreTBH I expected a lot of rambling  I did get the rambling, a smattering of straight dunks on famed economists, but also a bunch of interesting technical commentary on extremal value theory, fattailed distributions, and their connections to stock market phenomena and rationality.
Examples:
 ReLU/ramp activation functions in ML are call/put options. Hence, one can approximate any nonlinear payoff function with a collection of call + put options.
 You know those people that want to have wellcali
Probability is just a kernel inside an integral or a summation, not a real thing on its own. The economic world is about quantitative payoffs. With this quote, probability for me went in the bucket of sometimes useful but false stuff (like religion, materialism, speciesism).
Im working in quantitative risk management in banking. Many know Talebs despisal towards VaR. It was encouraging that he points at potential improvements, like EVT for cVaR. But given the stakeholders and competences in t
...moreGreat potential for this book. Still in the developing phase, so cant fully appreciate it. ...more
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