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Author: Nassim Nicholas Taleb Publisher: ISBN: 9781544508054 Category : Languages : en Pages :
Book Description
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.
Author: Nassim Nicholas Taleb Publisher: ISBN: 9781544508054 Category : Languages : en Pages :
Book Description
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.
Author: Tor Lattimore Publisher: Cambridge University Press ISBN: 1108486827 Category : Business & Economics Languages : en Pages : 537
Book Description
A comprehensive and rigorous introduction for graduate students and researchers, with applications in sequential decision-making problems.
Author: Peter Tankov Publisher: CRC Press ISBN: 1135437947 Category : Business & Economics Languages : en Pages : 552
Book Description
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Author: Alexey N. Karapetyants Publisher: Springer Nature ISBN: 3030768295 Category : Mathematics Languages : en Pages : 413
Book Description
This volume is part of the collaboration agreement between Springer and the ISAAC society. This is the second in the two-volume series originating from the 2020 activities within the international scientific conference "Modern Methods, Problems and Applications of Operator Theory and Harmonic Analysis" (OTHA), Southern Federal University, Rostov-on-Don, Russia. This volume focuses on mathematical methods and applications of probability and statistics in the context of general harmonic analysis and its numerous applications. The two volumes cover new trends and advances in several very important fields of mathematics, developed intensively over the last decade. The relevance of this topic is related to the study of complex multi-parameter objects required when considering operators and objects with variable parameters.
Author: George Yin Publisher: Springer ISBN: 3030254984 Category : Mathematics Languages : en Pages : 593
Book Description
This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.
Author: Paul Wilmott Publisher: ISBN: 9780952208204 Category : Finance Languages : es Pages : 457
Book Description
Análisis de los diferentes modelos matemáticos aplicados a los precios de opción. Se estudian además los elementos matemáticos básicos necesarios para el análisis de la ecuación Black-Scholes.
Author: Nikolay O. Sorokhtin Publisher: John Wiley & Sons ISBN: 1119650976 Category : Science Languages : en Pages : 608
Book Description
A valuable resource for geologists, engineers, and students across multiple disciplines, this is the most comprehensive and in-depth study of the development of the Baltic Shield, its features as a representative of other similar areas around the world, and the implications for practical applications, such as oil and ore production. Like Sorokhtin's most recent book, The Origins of Natural Diamonds, also available from Wiley-Scrivener at www.wiley.com, this is not just the story of the origin and evolution of the Baltic Shield, but a story about the evolution of the Earth's geology in general. Important to geologists, geophysicists, and engineers across multiple disciplines, written by experts on the Earth's geological evolution, this volume represents the state-of-the-art in major Earth geological processes. Of particular importance to mining engineers and petroleum engineers, it is also a practical guide for those who work in the mining or petroleum industry. Before presenting the most in-depth discussion of the Baltic Shield available and its implications for study by geologists and various industries such as the petroleum industry, the authors present a theory for how the Earth, as we know it, came into existence and developed. They base this theory on scientific evidence and mathematical models, using this as a basis for further explanation of the Earth's geological evolution. Valuable as either a learning tool for the student or as a reference or refresher for the veteran scientist or engineer, the authors explain important geological processes, such as the Earth's origin, composition, and structure, the Earth's energy balance, continental drift, tectonic activity, the evolution of the Earth's crust, and others. It is within this geological framework that the authors offer practical guidance for engineers and scientists who work in industry or academia. It is a must-have for any geologist, geophysicist, or engineer working in mining or petroleum engineering.
Author: Nassim Nicholas Taleb
Author: Nassim Nicholas Taleb
Author: Tor Lattimore
Author: Peter Tankov
Author: Alexey N. Karapetyants
Author: Pierre H. Berard
Author: Reiner M. Dreizler
Author: George Yin
Author: Paul Wilmott
Author: Felix E. Browder
Author: Nikolay O. Sorokhtin