Statistical Consequences Of Fat Tails PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Statistical Consequences Of Fat Tails PDF full book. Access full book title Statistical Consequences Of Fat Tails.
| Author | : Nassim Nicholas Taleb |
| Publisher | : |
| Total Pages | : |
| Release | : 2020-06-30 |
| Genre | : |
| ISBN | : 9781544508054 |
Download Statistical Consequences of Fat Tails Book in PDF, ePub and Kindle
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 | : John Wiley & Sons |
| Total Pages | : 536 |
| Release | : 1997-01-14 |
| Genre | : Business & Economics |
| ISBN | : 9780471152804 |
Download Dynamic Hedging Book in PDF, ePub and Kindle
Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
| Author | : Nassim Nicholas Taleb |
| Publisher | : Penguin Press |
| Total Pages | : 256 |
| Release | : 2019-04-04 |
| Genre | : |
| ISBN | : 9780141988368 |
Download The Logic and Statistics of Fat Tails Book in PDF, ePub and Kindle
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.
| Author | : Jayakrishnan Nair |
| Publisher | : Cambridge University Press |
| Total Pages | : 266 |
| Release | : 2022-06-09 |
| Genre | : Mathematics |
| ISBN | : 1009062964 |
Download The Fundamentals of Heavy Tails Book in PDF, ePub and Kindle
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.
| Author | : Nassim Nicholas Taleb |
| Publisher | : Random House Trade |
| Total Pages | : 1873 |
| Release | : 2021-05-04 |
| Genre | : |
| ISBN | : 059324365X |
Download Incerto Book in PDF, ePub and Kindle
The landmark five-book series--all together in one boxed set The Incerto is an investigation of opacity, luck, uncertainty, probability, human error, risk, and decision making when we don't understand the world, expressed in the form of a personal essay with autobiographical sections, stories, parables, and philosophical, historical, and scientific discussions, in non-overlapping volumes that can be accessed in any order. The main thread is that while there is inordinate uncertainty about what is going on, there is great certainty as to what one should do about it. This boxed set includes: FOOLED BY RANDOMNESS THE BLACK SWAN THE BED OF PROCRUSTES ANTIFRAGILE SKIN IN THE GAME
| Author | : P. Hall |
| Publisher | : Academic Press |
| Total Pages | : 321 |
| Release | : 2014-07-10 |
| Genre | : Mathematics |
| ISBN | : 1483263223 |
Download Martingale Limit Theory and Its Application Book in PDF, ePub and Kindle
Martingale Limit Theory and Its Application discusses the asymptotic properties of martingales, particularly as regards key prototype of probabilistic behavior that has wide applications. The book explains the thesis that martingale theory is central to probability theory, and also examines the relationships between martingales and processes embeddable in or approximated by Brownian motion. The text reviews the martingale convergence theorem, the classical limit theory and analogs, and the martingale limit theorems viewed as the rate of convergence results in the martingale convergence theorem. The book explains the square function inequalities, weak law of large numbers, as well as the strong law of large numbers. The text discusses the reverse martingales, martingale tail sums, the invariance principles in the central limit theorem, and also the law of the iterated logarithm. The book investigates the limit theory for stationary processes via corresponding results for approximating martingales and the estimation of parameters from stochastic processes. The text can be profitably used as a reference for mathematicians, advanced students, and professors of higher mathematics or statistics.
| Author | : Kai Wang Fang |
| Publisher | : CRC Press |
| Total Pages | : 165 |
| Release | : 2018-01-18 |
| Genre | : Mathematics |
| ISBN | : 1351093940 |
Download Symmetric Multivariate and Related Distributions Book in PDF, ePub and Kindle
Since the publication of the by now classical Johnson and Kotz Continuous Multivariate Distributions (Wiley, 1972) there have been substantial developments in multivariate distribution theory especially in the area of non-normal symmetric multivariate distributions. The book by Fang, Kotz and Ng summarizes these developments in a manner which is accessible to a reader with only limited background (advanced real-analysis calculus, linear algebra and elementary matrix calculus). Many of the results in this field are due to Kai-Tai Fang and his associates and appeared in Chinese publications only. A thorough literature search was conducted and the book represents the latest work - as of 1988 - in this rapidly developing field of multivariate distributions. The authors are experts in statistical distribution theory.
| Author | : Jana Jurecková |
| Publisher | : John Wiley & Sons |
| Total Pages | : 496 |
| Release | : 1996-04-19 |
| Genre | : Mathematics |
| ISBN | : 9780471822219 |
Download Robust Statistical Procedures Book in PDF, ePub and Kindle
A broad and unified methodology for robust statistics—with exciting new applications Robust statistics is one of the fastest growing fields in contemporary statistics. It is also one of the more diverse and sometimes confounding areas, given the many different assessments and interpretations of robustness by theoretical and applied statisticians. This innovative book unifies the many varied, yet related, concepts of robust statistics under a sound theoretical modulation. It seamlessly integrates asymptotics and interrelations, and provides statisticians with an effective system for dealing with the interrelations between the various classes of procedures. Drawing on the expertise of researchers from around the world, and covering over a decade's worth of developments in the field, Robust Statistical Procedures: Asymptotics and Interrelations: Discusses both theory and applications in its two parts, from the fundamentals to robust statistical inference Thoroughly explores the interrelations between diverse classes of procedures, unlike any other book Compares nonparametric procedures with robust statistics, explaining in detail asymptotic representations for various estimators Provides a timesaving list of mathematical tools for the problems under discussion Keeps mathematical abstractions to a minimum, in spite of its largely theoretical content Includes useful problems and exercises at the end of each chapter Offers strategies for more complex models when using robust statistical procedures Self-contained and rounded in approach, this book is invaluable for both applied statisticians and theoretical researchers; for graduate students in mathematical statistics; and for anyone interested in the influence of this methodology.
| Author | : Mike Steel |
| Publisher | : SIAM |
| Total Pages | : 302 |
| Release | : 2016-09-29 |
| Genre | : Science |
| ISBN | : 161197447X |
Download Phylogeny Book in PDF, ePub and Kindle
Phylogenetics is a topical and growing area of research. Phylogenies (phylogenetic trees and networks) allow biologists to study and graph evolutionary relationships between different species. These are also used to investigate other evolutionary processes?for example, how languages developed or how different strains of a virus (such as HIV or influenza) are related to each other. This self-contained book addresses the underlying mathematical theory behind the reconstruction and analysis of phylogenies. The theory is grounded in classical concepts from discrete mathematics and probability theory as well as techniques from other branches of mathematics (algebra, topology, differential equations). The biological relevance of the results is highlighted throughout. The author supplies proofs of key classical theorems and includes results not covered in existing books, emphasizes relevant mathematical results derived over the past 20 years, and provides numerous exercises, examples, and figures.
| Author | : Michael G. Schimek |
| Publisher | : John Wiley & Sons |
| Total Pages | : 682 |
| Release | : 2013-05-29 |
| Genre | : Mathematics |
| ISBN | : 1118763300 |
Download Smoothing and Regression Book in PDF, ePub and Kindle
A comprehensive introduction to a wide variety of univariate and multivariate smoothing techniques for regression Smoothing and Regression: Approaches, Computation, and Application bridges the many gaps that exist among competing univariate and multivariate smoothing techniques. It introduces, describes, and in some cases compares a large number of the latest and most advanced techniques for regression modeling. Unlike many other volumes on this topic, which are highly technical and specialized, this book discusses all methods in light of both computational efficiency and their applicability for real data analysis. Using examples of applications from the biosciences, environmental sciences, engineering, and economics, as well as medical research and marketing, this volume addresses the theory, computation, and application of each approach. A number of the techniques discussed, such as smoothing under shape restrictions or of dependent data, are presented for the first time in book form. Special features of this book include: * Comprehensive coverage of smoothing and regression with software hints and applications from a wide variety of disciplines * A unified, easy-to-follow format * Contributions from more than 25 leading researchers from around the world * More than 150 illustrations also covering new graphical techniques important for exploratory data analysis and visualization of high-dimensional problems * Extensive end-of-chapter references For professionals and aspiring professionals in statistics, applied mathematics, computer science, and econometrics, as well as for researchers in the applied and social sciences, Smoothing and Regression is a unique and important new resource destined to become one the most frequently consulted references in the field.
