Tag Archives: law of large numbers

One Bank Flagship Seminar by Nassim Nicholas Taleb – Tail Risk Measurement Heuristics 2/18/16

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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 16:15 hrs GMT

Join the conversation, use the Twitter Hashtag for this event: #BoETaleb

http://www.bankofengland.co.uk/research/Pages/onebank/seminars/180216.aspx

Statistics of Violence as Special Case of Fat Tails

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A lecture summarizing the paper on violence with Cirillo to MIT and NECSI data scientists, mostly explaining to data scientists how to work with fat tails and only indirectly addressing Pinker by responding to those fooled by the illusion of drop in violence:

 

https://www.youtube.com/watch?v=R1Dm2ZYeA6U

 

Uploaded on Jul 10, 2015

A lunch discussion at MIT with computer science-data science researchers from MIT and NECSI. The talk is mostly about the methodology for dealing with fat tails, with application to violence.
We show which claims can be made, and which ones cannot be made, from data, and “violence has dropped” is not one of them. We do not focus directly on Steven Pinker’s popular science book (owing to some deficiencies), only indirectly as some people in political science made reference to it.
The paper is here: http://arxiv.org/abs/1505.04722

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