Distributions dominated by extreme and extreme events require a completely different way of thinking. We propose a classification and show where conventional statistical tools fail, such as the conventional law of large numbers. We show how robust statistics are not robust at all; how frequency-based predictions fail and how past averages distort future ones. We show implications for real-world decision making and necessary modifications. Ironically, they are often easier to work with. See http://www.fooledbyrandomness.com/FatTails.html for more details and articles.
Biography
Nassim Nicholas Taleb took risks for 21 years before becoming a researcher into philosophical, mathematical, and (especially) practical problems related to probability. Taleb is the author of a multi-volume essay, Incerto (The Black Swan, Fooled by Randomness, and Antifragile), covering broad facets of uncertainty. It has been translated into 36 languages. In addition to his life as a trader, Taleb has also published, in addition to Incerto, more than 45 scientific articles in statistical physics, statistics, philosophy, ethics, economics, international business and quantitative finance, all around the notion of risk. and quantitative finance. probability. He has worked as a professional researcher (Distinguished Professor of Risk Engineering at NYU's School of Engineering and Dean's Professor at U. Mass. Amherst). He currently focuses on the properties of systems capable of handling disorder (“antifragile”). Taleb refuses all honors and everything that “makes knowledge a spectator sport”.
This lecture is part of the Darwin College Lecture Series.
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