R K Posted February 16, 2016 Share Posted February 16, 2016 http://www.bankofengland.co.uk/research/Pages/onebank/seminars/180216.aspx One Bank Flagship Seminar by Nassim Nicholas Taleb - Tail Risk Measurement Heuristics The first part of this talk – The Law of Large Numbers in the Real World – presents fat tails, defines them, and shows how the conventional statistics fail to operate in the real world, particularly with econometric variables, for two main reasons: 1) we need a lot, a lot more data for fat tails; and 2) we are going about estimators the wrong way. The second part – Detecting Fragility – presents heuristics to detect fragility in portfolios. Fragility is shown to be ‘anything that is harmed by volatility’. The good news is that while (tail) risk is not measurable, fragility is. All places for this event have now been allocated. View the webcast live here from 4:15pm on Thursday 18 February 2016 Join the conversation, use the Twitter Hashtag for this event: #BoETaleb Quote Link to comment Share on other sites More sharing options...
interestrateripoff Posted February 16, 2016 Share Posted February 16, 2016 Even if they had the data they wouldn't use it. For years the Fed didn't look at the right data. Quote Link to comment Share on other sites More sharing options...
Silverfinger Posted February 16, 2016 Share Posted February 16, 2016 (edited) Ask Taleeb if he knows what a Schroedinger's Swan is. Greetings from me. Edited February 16, 2016 by Silverfinger Quote Link to comment Share on other sites More sharing options...
reddog Posted February 16, 2016 Share Posted February 16, 2016 nice find, looks interesting, not the sort of person you would expect the BOE to be entertaining. I hope they record it, as I'll be at work then Quote Link to comment Share on other sites More sharing options...
Ah-so Posted February 16, 2016 Share Posted February 16, 2016 nice find, looks interesting, not the sort of person you would expect the BOE to be entertaining. I hope they record it, as I'll be at work then Why wouldn't they have a well known writer on economics along to talk? Quote Link to comment Share on other sites More sharing options...
renting til I die Posted February 16, 2016 Share Posted February 16, 2016 thanks for this. Shoud be an interesting talk at least. Quote Link to comment Share on other sites More sharing options...
A.steve Posted February 16, 2016 Share Posted February 16, 2016 I'd like to listen... I hope someone captures the live stream and posts it somewhere... Quote Link to comment Share on other sites More sharing options...
goldbug9999 Posted February 17, 2016 Share Posted February 17, 2016 (edited) All the people spouting all the chartist guff like "head and shoulders" and "elliot wave" should read Fooled by Randomness ... because they have been. Edited February 17, 2016 by goldbug9999 Quote Link to comment Share on other sites More sharing options...
Ah-so Posted February 18, 2016 Share Posted February 18, 2016 Bump Quote Link to comment Share on other sites More sharing options...
renting til I die Posted February 18, 2016 Share Posted February 18, 2016 Watching now but you can't see his slides which sucks a bit. Quote Link to comment Share on other sites More sharing options...
R K Posted February 19, 2016 Author Share Posted February 19, 2016 Watching now but you can't see his slides which sucks a bit. It does. Probably helps if youve read Anti-fragile Link in OP or starts at 1hr 20m or so in here with intro from haldane. Quote Link to comment Share on other sites More sharing options...
Steppenpig Posted February 19, 2016 Share Posted February 19, 2016 Who wants to stroke his beard? It looks unusually soft. Quote Link to comment Share on other sites More sharing options...
Bloo Loo Posted February 19, 2016 Share Posted February 19, 2016 Why wouldn't they have a well known writer on economics along to talk? Bankophobia Quote Link to comment Share on other sites More sharing options...
renting til I die Posted February 20, 2016 Share Posted February 20, 2016 (edited) It does. Probably helps if youve read Anti-fragile Link in OP or starts at 1hr 20m or so in here with intro from haldane. I've only read the black swan so will have to get a copy of anti-fragile. He has always pointed out the problems with normal distributions, so the fat tails and highlighting the poor understanding of stats was along these same lines. Was an interesting lecture nevertheless. Edited February 20, 2016 by renting til I die Quote Link to comment Share on other sites More sharing options...
R K Posted February 20, 2016 Author Share Posted February 20, 2016 I've only read the black swan so will have to get a copy of anti-fragile. He has always pointed out the problems with normal distributions, so the fat tails and highlighting the poor understanding of stats was along these same lines. Was an interesting lecture nevertheless. I can recommend it. My favourite. Same themes with more mathematical underpinnings and wider application and pulled the whole thing together for me Quote Link to comment Share on other sites More sharing options...
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