The Origin Of Fat Tails

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Statistical Consequences of Fat Tails

Author : Nassim Nicholas Taleb
Publisher :
ISBN 13 : 9781544508054
Total Pages : pages
Book Rating : 4.5/5 (8 download)

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Book Synopsis Statistical Consequences of Fat Tails by : Nassim Nicholas Taleb

Download or read book Statistical Consequences of Fat Tails written by Nassim Nicholas Taleb and published by . This book was released on 2020-06-30 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The Fundamentals of Heavy Tails

Author : Jayakrishnan Nair
Publisher : Cambridge University Press
ISBN 13 : 1009062964
Total Pages : 266 pages
Book Rating : 4.0/5 (9 download)

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Book Synopsis The Fundamentals of Heavy Tails by : Jayakrishnan Nair

Download or read book The Fundamentals of Heavy Tails written by Jayakrishnan Nair and published by Cambridge University Press. This book was released on 2022-06-09 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Heavy tails –extreme events or values more common than expected –emerge everywhere: the economy, natural events, and social and information networks are just a few examples. Yet after decades of progress, they are still treated as mysterious, surprising, and even controversial, primarily because the necessary mathematical models and statistical methods are not widely known. This book, for the first time, provides a rigorous introduction to heavy-tailed distributions accessible to anyone who knows elementary probability. It tackles and tames the zoo of terminology for models and properties, demystifying topics such as the generalized central limit theorem and regular variation. It tracks the natural emergence of heavy-tailed distributions from a wide variety of general processes, building intuition. And it reveals the controversy surrounding heavy tails to be the result of flawed statistics, then equips readers to identify and estimate with confidence. Over 100 exercises complete this engaging package.

The Origin of Fat Tails

Author : Martin Gremm
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Origin of Fat Tails by : Martin Gremm

Download or read book The Origin of Fat Tails written by Martin Gremm and published by . This book was released on 2016 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that model parameters including standard deviations and correlations can be estimated robustly and that all distributions are approximately normal. Fat tails in observed distributions occur because time series sample different stress levels and therefore different normal distributions. This provides a quantitative description of the observed distribution including the fat tails. We discuss simple applications in risk management and portfolio construction.

Fat-tailed Distributions

Author : Roger M. Cooke
Publisher :
ISBN 13 : 9781119054207
Total Pages : pages
Book Rating : 4.0/5 (542 download)

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Book Synopsis Fat-tailed Distributions by : Roger M. Cooke

Download or read book Fat-tailed Distributions written by Roger M. Cooke and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Mason's World Encyclopedia of Livestock Breeds and Breeding, 2 Volume Pack

Author : Valerie Porter
Publisher : CABI
ISBN 13 : 1845934660
Total Pages : 1109 pages
Book Rating : 4.8/5 (459 download)

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Book Synopsis Mason's World Encyclopedia of Livestock Breeds and Breeding, 2 Volume Pack by : Valerie Porter

Download or read book Mason's World Encyclopedia of Livestock Breeds and Breeding, 2 Volume Pack written by Valerie Porter and published by CABI. This book was released on 2016-03-09 with total page 1109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mason's World Encyclopedia of Livestock Breeds and Breeding describes breeds of livestock worldwide as well as a range of breed-related subjects such as husbandry, health and behaviour. This definitive and prestigious reference work presents easily accessible information on domestication (including wild ancestors and related species), genetics and breeding, livestock produce and markets, as well as breed conservation and the cultural and social aspects of livestock farming. Written by renowned livestock authorities, these volumes draw on the authors' lifelong interest and involvement in livestock breeds of the world, presenting a unique, comprehensive and fully cross-referenced guide to cattle, buffalo, horses, pigs, sheep, asses, goats, camelids, yak and other domesticants.

Applied Financial Econometrics

Author : Moinak Maiti
Publisher : Springer Nature
ISBN 13 : 9811640637
Total Pages : 287 pages
Book Rating : 4.8/5 (116 download)

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Book Synopsis Applied Financial Econometrics by : Moinak Maiti

Download or read book Applied Financial Econometrics written by Moinak Maiti and published by Springer Nature. This book was released on 2021-08-31 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook gives students an approachable, down to earth resource for the study of financial econometrics. While the subject can be intimidating, primarily due to the mathematics and modelling involved, it is rewarding for students of finance and can be taught and learned in a straightforward way. This book, going from basics to high level concepts, offers knowledge of econometrics that is intended to be used with confidence in the real world. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level.

Antifragile

Author : Nassim Nicholas Taleb
Publisher : Random House
ISBN 13 : 0679645276
Total Pages : 545 pages
Book Rating : 4.6/5 (796 download)

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Book Synopsis Antifragile by : Nassim Nicholas Taleb

Download or read book Antifragile written by Nassim Nicholas Taleb and published by Random House. This book was released on 2012-11-27 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: Antifragile is a standalone book in Nassim Nicholas Taleb’s landmark Incerto series, an investigation of opacity, luck, uncertainty, probability, human error, risk, and decision-making in a world we don’t understand. The other books in the series are Fooled by Randomness, The Black Swan, Skin in the Game, and The Bed of Procrustes. Nassim Nicholas Taleb, the bestselling author of The Black Swan and one of the foremost thinkers of our time, reveals how to thrive in an uncertain world. Just as human bones get stronger when subjected to stress and tension, and rumors or riots intensify when someone tries to repress them, many things in life benefit from stress, disorder, volatility, and turmoil. What Taleb has identified and calls “antifragile” is that category of things that not only gain from chaos but need it in order to survive and flourish. In The Black Swan, Taleb showed us that highly improbable and unpredictable events underlie almost everything about our world. In Antifragile, Taleb stands uncertainty on its head, making it desirable, even necessary, and proposes that things be built in an antifragile manner. The antifragile is beyond the resilient or robust. The resilient resists shocks and stays the same; the antifragile gets better and better. Furthermore, the antifragile is immune to prediction errors and protected from adverse events. Why is the city-state better than the nation-state, why is debt bad for you, and why is what we call “efficient” not efficient at all? Why do government responses and social policies protect the strong and hurt the weak? Why should you write your resignation letter before even starting on the job? How did the sinking of the Titanic save lives? The book spans innovation by trial and error, life decisions, politics, urban planning, war, personal finance, economic systems, and medicine. And throughout, in addition to the street wisdom of Fat Tony of Brooklyn, the voices and recipes of ancient wisdom, from Roman, Greek, Semitic, and medieval sources, are loud and clear. Antifragile is a blueprint for living in a Black Swan world. Erudite, witty, and iconoclastic, Taleb’s message is revolutionary: The antifragile, and only the antifragile, will make it. Praise for Antifragile “Ambitious and thought-provoking . . . highly entertaining.”—The Economist “A bold book explaining how and why we should embrace uncertainty, randomness, and error . . . It may just change our lives.”—Newsweek

The Fat Tail

Author : Ian Bremmer
Publisher : Oxford University Press
ISBN 13 : 0199752885
Total Pages : 274 pages
Book Rating : 4.1/5 (997 download)

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Book Synopsis The Fat Tail by : Ian Bremmer

Download or read book The Fat Tail written by Ian Bremmer and published by Oxford University Press. This book was released on 2010-05-13 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: As Ian Bremmer and Preston Keat reveal in this innovative book, volatile political events such as the 2008 Georgia-Russia confrontation--and their catastrophic effects on business--happen much more frequently than investors imagine. On the curve that charts both the frequency of these events and the power of their impact, the "tail" of extreme political instability is not reassuringly thin but dangerously fat. Featuring a new Foreward that accounts for the cataclysmic effects of the 2008 financial crisis, The Fat Tail is the first book to both identify the wide range of political risks that global firms face and show investors how to effectively manage them. Written by two of the world's leading figures in political risk management, it reveals that while the world remains exceedingly risky for businesses, it is by no means incomprehensible. Political risk is unpredictable, but it is easier to analyze and manage than most people think. Applying the lessons of world history, Bremmer and Keat survey a vast range of contemporary risky situations, from stable markets like the United States or Japan, where politically driven regulation can still dramatically effect business, to more precarious places like Iran, China, Russia, Turkey, Mexico, and Nigeria, where private property is less secure and energy politics sparks constant volatility. The book sheds light on a wide array of political risks--risks that stem from great power rivalries, terrorist groups, government takeover of private property, weak leaders and internal strife, and even the "black swans" that defy prediction. But more importantly, the authors provide a wealth of unique methods, tools, and concepts to help corporations, money managers, and policy makers understand political risk, showing when and how political risk analysis works--and when it does not. "The Fat Tail delivers practical wisdom on the impact of political risk on firms of every description and valuable advice on how to use it. Ian Bremmer and Preston Keat offer innovative thinking and useful insight that will help business decision-makers find fresh answers to questions they may not yet know they have." --Fareed Zakaria, best-selling author of The Post-American World "Political risk has become increasingly complex, and The Fat Tail provides a truly new way to quantitatively assess it in established and emerging markets. It is essential reading for any CEO with multinational interests." --Randall Stephenson, Chairman, CEO and President, AT&T Inc. "Should be essential reading for anyone involved in international business even--perhaps especially--in places that seem politically stable." --Bill Emmott, former editor-in-chief of The Economist

Fat-Tailed Distributions

Author : Roger M. Cooke
Publisher : John Wiley & Sons
ISBN 13 : 1119054125
Total Pages : 140 pages
Book Rating : 4.1/5 (19 download)

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Book Synopsis Fat-Tailed Distributions by : Roger M. Cooke

Download or read book Fat-Tailed Distributions written by Roger M. Cooke and published by John Wiley & Sons. This book was released on 2014-11-11 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title is written for the numerate nonspecialist, and hopes to serve three purposes. First it gathers mathematical material from diverse but related fields of order statistics, records, extreme value theory, majorization, regular variation and subexponentiality. All of these are relevant for understanding fat tails, but they are not, to our knowledge, brought together in a single source for the target readership. Proofs that give insight are included, but for most fussy calculations the reader is referred to the excellent sources referenced in the text. Multivariate extremes are not treated. This allows us to present material spread over hundreds of pages in specialist texts in twenty pages. Chapter 5 develops new material on heavy tail diagnostics and gives more mathematical detail. Since variances and covariances may not exist for heavy tailed joint distributions, Chapter 6 reviews dependence concepts for certain classes of heavy tailed joint distributions, with a view to regressing heavy tailed variables. Second, it presents a new measure of obesity. The most popular definitions in terms of regular variation and subexponentiality invoke putative properties that hold at infinity, and this complicates any empirical estimate. Each definition captures some but not all of the intuitions associated with tail heaviness. Chapter 5 studies two candidate indices of tail heaviness based on the tendency of the mean excess plot to collapse as data are aggregated. The probability that the largest value is more than twice the second largest has intuitive appeal but its estimator has very poor accuracy. The Obesity index is defined for a positive random variable X as: Ob(X) = P (X1 +X4 > X2 +X3|X1 ≤ X2 ≤ X3 ≤ X4), Xi independent copies of X. For empirical distributions, obesity is defined by bootstrapping. This index reasonably captures intuitions of tail heaviness. Among its properties, if α > 1 then Ob(X) Ob(Xα). However, it does not completely mimic the tail index of regularly varying distributions, or the extreme value index. A Weibull distribution with shape 1/4 is more obese than a Pareto distribution with tail index 1, even though this Pareto has infinite mean and the Weibull’s moments are all finite. Chapter 5 explores properties of the Obesity index. Third and most important, we hope to convince the reader that fat tail phenomena pose real problems; they are really out there and they seriously challenge our usual ways of thinking about historical averages, outliers, trends, regression coefficients and confidence bounds among many other things. Data on flood insurance claims, crop loss claims, hospital discharge bills, precipitation and damages and fatalities from natural catastrophes drive this point home. While most fat tailed distributions are ”bad”, research in fat tails is one distribution whose tail will hopefully get fatter.

Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management

Author : Michele Leonardo Bianchi
Publisher : World Scientific
ISBN 13 : 9813276215
Total Pages : 598 pages
Book Rating : 4.8/5 (132 download)

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Book Synopsis Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management by : Michele Leonardo Bianchi

Download or read book Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi and published by World Scientific. This book was released on 2019-03-08 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.

Fat Land

Author : Greg Critser
Publisher : HMH
ISBN 13 : 0547526687
Total Pages : 247 pages
Book Rating : 4.5/5 (475 download)

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Book Synopsis Fat Land by : Greg Critser

Download or read book Fat Land written by Greg Critser and published by HMH. This book was released on 2004-01-05 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: “An in-depth, well-researched, and thoughtful exploration of the ‘fat boom’ in America.” —TheBoston Globe Low carb, high protein, raw foods . . . despite our seemingly endless obsession with fad diets, the startling truth is that six out of ten Americans are overweight or obese. In Fat Land, award-winning nutrition and health journalist Greg Critser examines the facts and societal factors behind the sensational headlines, taking on everything from supersize to Super Mario, high-fructose corn syrup to the high costs of physical education. With a sharp eye and even sharper tongue, Critser examines why pediatricians are now treating conditions rarely seen in children before; why type 2 diabetes is on the rise; the personal struggles of those with weight problems—especially among the poor—and how agribusiness has altered our waistlines. Praised by the New York Times as “absorbing” and by Newsday as “riveting,” this disarmingly funny, yet truly alarming, exposé stands as an important examination of one of the most pressing medical and social issues in the United States. “One scary book and a good companion to Eric Schlosser’s Fast Food Nation.” —Seattle Post-Intelligencer

Physics and Finance

Author : Volker Ziemann
Publisher : Springer Nature
ISBN 13 : 3030636437
Total Pages : 292 pages
Book Rating : 4.0/5 (36 download)

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Book Synopsis Physics and Finance by : Volker Ziemann

Download or read book Physics and Finance written by Volker Ziemann and published by Springer Nature. This book was released on 2021-01-18 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces physics students to concepts and methods of finance. Despite being perceived as quite distant from physics, finance shares a number of common methods and ideas, usually related to noise and uncertainties. Juxtaposing the key methods to applications in both physics and finance articulates both differences and common features, this gives students a deeper understanding of the underlying ideas. Moreover, they acquire a number of useful mathematical and computational tools, such as stochastic differential equations, path integrals, Monte-Carlo methods, and basic cryptology. Each chapter ends with a set of carefully designed exercises enabling readers to test their comprehension.

Fat-Tailed and Skewed Asset Return Distributions

Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 0471758906
Total Pages : 385 pages
Book Rating : 4.4/5 (717 download)

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Book Synopsis Fat-Tailed and Skewed Asset Return Distributions by : Svetlozar T. Rachev

Download or read book Fat-Tailed and Skewed Asset Return Distributions written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2005-09-15 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.

The Long Tail

Author : Chris Anderson
Publisher : Hachette Books
ISBN 13 : 1401384633
Total Pages : 256 pages
Book Rating : 4.4/5 (13 download)

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Book Synopsis The Long Tail by : Chris Anderson

Download or read book The Long Tail written by Chris Anderson and published by Hachette Books. This book was released on 2006-07-11 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: What happens when the bottlenecks that stand between supply and demand in our culture go away and everything becomes available to everyone? "The Long Tail" is a powerful new force in our economy: the rise of the niche. As the cost of reaching consumers drops dramatically, our markets are shifting from a one-size-fits-all model of mass appeal to one of unlimited variety for unique tastes. From supermarket shelves to advertising agencies, the ability to offer vast choice is changing everything, and causing us to rethink where our markets lie and how to get to them. Unlimited selection is revealing truths about what consumers want and how they want to get it, from DVDs at Netflix to songs on iTunes to advertising on Google. However, this is not just a virtue of online marketplaces; it is an example of an entirely new economic model for business, one that is just beginning to show its power. After a century of obsessing over the few products at the head of the demand curve, the new economics of distribution allow us to turn our focus to the many more products in the tail, which collectively can create a new market as big as the one we already know. The Long Tail is really about the economics of abundance. New efficiencies in distribution, manufacturing, and marketing are essentially resetting the definition of what's commercially viable across the board. If the 20th century was about hits, the 21st will be equally about niches.

Discrete Time Series, Processes, and Applications in Finance

Author : Gilles Zumbach
Publisher : Springer Science & Business Media
ISBN 13 : 3642317413
Total Pages : 326 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Discrete Time Series, Processes, and Applications in Finance by : Gilles Zumbach

Download or read book Discrete Time Series, Processes, and Applications in Finance written by Gilles Zumbach and published by Springer Science & Business Media. This book was released on 2012-09-26 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys empirical properties of financial time series, discusses their mathematical basis, and describes uses in risk evaluation, option pricing or portfolio construction. The author introduces and assesses a range of processes against the benchmark.

The Archaeology of Portable Art

Author : Michelle Langley
Publisher : Routledge
ISBN 13 : 1315299097
Total Pages : 342 pages
Book Rating : 4.3/5 (152 download)

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Book Synopsis The Archaeology of Portable Art by : Michelle Langley

Download or read book The Archaeology of Portable Art written by Michelle Langley and published by Routledge. This book was released on 2018-04-17 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: The development of complex cultural behaviour in our own species is perhaps the most significant research issue in modern archaeology. Until recently, it was believed that our capacity for language and art only developed after some of our ancestors reached Europe around 40,000 years ago. Archaeological discoveries in Africa now show that modern humans were practicing symbolic behaviours prior to their dispersal from that continent, and more recent discoveries in Indonesia and Australia are once again challenging ideas about human cultural development. Despite these significant discoveries and exciting potentials, there is a curious absence of published information about Asia-Pacific region, and consequently, global narratives of our most celebrated cognitive accomplishment — art — has consistently underrepresented the contribution of Southeast Asia, Australia, and the Pacific Islands. This volume provides the first outline of what this region has to offer to the world of art in archaeology. Readers undertaking tertiary archaeology courses interested in the art of the Asia-Pacific region or human behavioural evolution, along with anyone who is fascinated by the development of our modern ability to decorate ourselves and our world, should find this book a good addition to their library.

The Origin of the Domestic Animals of Africa

Author : Hellmut Epstein
Publisher : New York : Africana Publishing Corporation
ISBN 13 :
Total Pages : 738 pages
Book Rating : 4.:/5 (35 download)

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Book Synopsis The Origin of the Domestic Animals of Africa by : Hellmut Epstein

Download or read book The Origin of the Domestic Animals of Africa written by Hellmut Epstein and published by New York : Africana Publishing Corporation. This book was released on 1971 with total page 738 pages. Available in PDF, EPUB and Kindle. Book excerpt: