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.

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:

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.

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

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.

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.

The Logic and Statistics of Fat Tails

Author : Nassim Nicholas Taleb
Publisher : Penguin Press
ISBN 13 : 9780141988368
Total Pages : 256 pages
Book Rating : 4.9/5 (883 download)

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Book Synopsis The Logic and Statistics of Fat Tails by : Nassim Nicholas Taleb

Download or read book The Logic and Statistics of Fat Tails written by Nassim Nicholas Taleb and published by Penguin Press. This book was released on 2019-04-04 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Logic and Statistics of Fat Tails is the definitive source on fat-tailed distribution and an essential technical read for students, accountants and those working in finance.

Fat-Tailed Distributions

Author : Roger M. Cooke
Publisher : John Wiley & Sons
ISBN 13 : 1848217927
Total Pages : 140 pages
Book Rating : 4.8/5 (482 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 2014-12-03 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.

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

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.

An Introduction to Heavy-Tailed and Subexponential Distributions

Author : Sergey Foss
Publisher : Springer
ISBN 13 : 9781489988324
Total Pages : 0 pages
Book Rating : 4.9/5 (883 download)

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Book Synopsis An Introduction to Heavy-Tailed and Subexponential Distributions by : Sergey Foss

Download or read book An Introduction to Heavy-Tailed and Subexponential Distributions written by Sergey Foss and published by Springer. This book was released on 2013-05-20 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions. One of the highlights of this new edition is that it includes problems at the end of each chapter. Chapter 5 is also updated to include interesting applications to queueing theory, risk, and branching processes. New results are presented in a simple, coherent and systematic way. Graduate students as well as modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference.

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.

The (Mis)Behaviour of Markets

Author : Benoit B. Mandelbrot
Publisher : Profile Books
ISBN 13 : 1847651550
Total Pages : 352 pages
Book Rating : 4.8/5 (476 download)

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Book Synopsis The (Mis)Behaviour of Markets by : Benoit B. Mandelbrot

Download or read book The (Mis)Behaviour of Markets written by Benoit B. Mandelbrot and published by Profile Books. This book was released on 2010-10-01 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.

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:

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.

Tail Risk Killers: How Math, Indeterminacy, and Hubris Distort Markets

Author : Jeffrey McGinn
Publisher : McGraw Hill Professional
ISBN 13 : 0071784918
Total Pages : 385 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Tail Risk Killers: How Math, Indeterminacy, and Hubris Distort Markets by : Jeffrey McGinn

Download or read book Tail Risk Killers: How Math, Indeterminacy, and Hubris Distort Markets written by Jeffrey McGinn and published by McGraw Hill Professional. This book was released on 2012-01-06 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reshape your investing strategy for an increasingly uncertain world “An engrossing, fast-paced, terrific read for anyone interested in the financial imbalances due to too much reliance on math and too little respect for indeterminacy.” —Tyler Durden, ZeroHedge.com The world does not unfold according to a fixed set of rules. It is a dynamical system whose evolution looks like a bell curve with fat “tails.” The same is true of financial markets. However, every day we rely on the certainty and precision of mathematical strategies that assume the contrary to control and grow wealth in markets. Tail Risk Killers shows you how the rigidity of model-based thinking has led to the fragility of today’s global financial marketplace, and it explains how to use adaptive trading strategies to mitigate risk in impending market conditions. Risk management veteran Jeff McGinn pokes holes in prevalent assumptions about how financial markets act that tend to underestimate the likelihood of occurrence of extreme events. Through clear, conversational writing, real-world anecdotes, and easy-tofollow formulas, he provides a glimpse into the way tomorrow’s successful traders are viewing financial markets—with an eye for probability distributions. While illustrating how to protect your assets from tail risk, he shows you how to: Implement the six axioms for risk management Prepare for the unintended consequences of central banks suppressing tail risk Identify and avoid the dark risks hidden in today’s derivative-laden financial system Anticipate the fate of credit default swaps that may not face extinction McGinn argues that the intervention of central banks has robbed global markets of their opportunities to adapt, but this highly relevant book shows you that it is not too late to adapt your portfolio to survive the extreme events that happen more often than popular financial models suggest. Tail Risk Killers helps you discover useful information and processes beyond the focus of industry standards, helps you connect the dots of evolving trading strategies and time your next trade for maximum profitability.